CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$1,073,000 |
$124.68 |
Pricing supplement no. 3010
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011,
product supplement no. 8-I dated November 14, 2011 and
underlying supplement no. 1-I dated November 14, 2011 |
Registration Statement No. 333-177923
Dated October 22, 2014
Rule 424(b)(2) |
Structured
Investments |
|
$1,073,000
6.00% per annum Auto Callable Yield Notes due January 27, 2016 Linked to the Least Performing of the iShares® MSCI
Emerging Markets ETF, the iShares® MSCI EAFE ETF and the Russell 2000® Index
|
General
· | | The notes are designed for
investors who seek a higher interest rate than the current yield on a conventional debt security with the same maturity issued
by us. Investors should be willing to forgo the potential to participate in the appreciation of any of the iShares®
MSCI Emerging Markets ETF, the iShares® MSCI EAFE ETF or the Russell 2000® Index and to forgo dividend
payments. Investors should be willing to assume the risk that they will receive less interest if the notes are automatically called
and the risk that, if the notes are not automatically called, they may lose some or all of their principal at maturity. |
· | | The notes will pay 6.00% per
annum interest over the term of the notes, assuming no automatic call, payable at a rate of 0.50% per month. However, the notes
do not guarantee any return of principal at maturity. Instead, if the notes are not automatically called, the payment at maturity
will be based on the performance of the Least Performing Underlying and whether the closing level or closing price, as applicable,
of any Underlying is less than its Starting Underlying Level by more than the applicable Buffer Amount on any day during the Monitoring
Period, as described below. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. |
· | | The notes will be automatically
called if the closing level or closing price, as applicable, of each Underlying on the relevant Call Date is greater than or equal
to the applicable Starting Underlying Level. If the notes are automatically called, payment on the applicable Call Settlement
Date for each $1,000 principal amount note will be a cash payment of $1,000, plus any accrued and unpaid interest, as described
below. |
· | | Unsecured and unsubordinated
obligations of JPMorgan Chase & Co. maturing January 27, 2016* |
· | | The payment at maturity is
not linked to a basket composed of the Underlyings. The payment at maturity is linked to the performance of each
of the Underlyings individually, as described below. |
· | | Minimum denominations of $1,000
and integral multiples thereof |
· | | 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. 8-I, supersede the terms set forth in product supplement no. 8-I. In particular, notwithstanding anything
to the contrary in product supplement no. 8-I, the notes will be automatically called if the closing level or closing price, as
applicable, of each Underlying is greater than or equal to the applicable Starting Underlying Level. See “Key Terms
— Automatic Call” below. |
Key
Terms
Underlyings: |
The Russell 2000® Index (the “Index”) and the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF (each, a “Fund” and collectively, the “Funds”), (each of the Index and the Funds, an “Underlying” and collectively, the “Underlyings”) |
Interest Rate: |
6.00% per annum over the term of the notes, assuming no automatic call, payable at a rate of 0.50% per month |
Automatic Call: |
If on any Call Date, the closing level or closing price, as applicable, of each Underlying is greater than or equal to the applicable Starting Underlying Level, the notes will be automatically called on that Call Date. |
Payment if Called: |
If the notes are automatically called, on the relevant Call Settlement Date, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest to but excluding that Call Settlement Date. |
Buffer Amount: |
With respect to the Russell 2000® Index, 405.84264, which is equal to 37.00% of its Starting Underlying Level. With respect to the iShares® MSCI Emerging Markets ETF, $15.0738, which is equal to 37.00% of its Starting Underlying Level, subject to adjustments. With respect to the iShares® MSCI EAFE ETF, $22.681, which is equal to 37.00% of its Starting Underlying Level, subject to adjustments. |
Pricing Date: |
October 22, 2014 |
Original Issue Date (settlement date): |
On or about October 27, 2014 |
Observation Date*: |
January 22, 2016 |
Maturity Date*: |
January 27, 2016 |
CUSIP: |
48127DL63 |
Monitoring Period: |
The period from but excluding the Pricing Date to and including the Observation Date |
Interest Payment Dates*: |
Interest on the notes will be payable monthly on November 28, 2014, December 26, 2014, January 27, 2015, February 26, 2015, March 26, 2015, April 27, 2015, May 28, 2015, June 25, 2015, July 27, 2015, August 27, 2015, September 25, 2015, October 27, 2015, November 27, 2015, December 28, 2015 and the Maturity Date (each such day, an “Interest Payment Date”). See “Selected Purchase Considerations — Monthly Interest Payments” in this pricing supplement for more information. |
Payment at Maturity: |
If the notes are not automatically called, the payment at maturity,
in excess of any accrued and unpaid interest, will be based on whether a Trigger Event has occurred and the performance of the
Least Performing Underlying. If the notes are not automatically called, for each $1,000 principal amount note, you will receive
$1,000 plus any accrued and unpaid interest at maturity, unless:
(a) the Ending Underlying Level of any Underlying is
less than its Starting Underlying Level; and
(b) a Trigger Event has occurred.
If the notes are not automatically called and the conditions
described in (a) and (b) are satisfied, at maturity you will lose 1% of the principal amount of your notes for every 1% that the
Ending Underlying Level of the Least Performing Underlying is less than its Starting Underlying Level. Under these circumstances,
your payment at maturity per $1,000 principal amount note, in addition to any accrued and unpaid interest, will be calculated as
follows:
$1,000 + ($1,000 × Least Performing
Underlying Return)
You will lose some or all of your principal at maturity
if the notes are not automatically called and the conditions described in (a) and (b) are both satisfied. |
Trigger Event: |
A Trigger Event occurs if, on any day during the Monitoring Period, the closing level or closing price, as applicable, of any Underlying is less than its Starting Underlying Level by more than the applicable Buffer Amount. |
Underlying Return: |
With respect to each Underlying, the Underlying Return is calculated
as follows:
Ending Underlying Level – Starting Underlying
Level
Starting Underlying Level |
Call Dates*: |
January 22, 2015 (first Call Date), April 22, 2015 (second Call Date), July 22, 2015 (third Call Date) and October 22, 2015 (last Call Date) |
Call Settlement Dates*: |
With respect to each Call Date, the first Interest Payment Date occurring after that Call Date |
Other Key Terms: |
See “Additional Key Terms” on the next page. |
* | | Subject to postponement as described under “Description of Notes — Payment
at Maturity,” “Description of Notes — Interest Payments” and “Description of Notes — Postponement
of a Determination Date” in the accompanying product supplement no. 8-I. |
Investing
in the Auto Callable Yield Notes involves a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying
product supplement no. 8-I, “Risk Factors” beginning on page US-1 of the accompanying underlying supplement no. 1-I
and “Selected Risk Considerations” beginning on page PS-4 of this pricing supplement.
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, underlying
supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$23.50 |
$976.50 |
Total |
$1,073,000 |
$25,215.50 |
$1,047,784.50 |
(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 $23.50 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-48 of
the accompanying product supplement no. 8-I. |
The estimated
value of the notes as determined by JPMS, when the terms of the notes were set, was $957.40 per $1,000 principal amount note.
See “JPMS’s Estimated Value of the Notes” in this pricing supplement for additional information.
The notes
are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are
they obligations of, or guaranteed by, a bank.
October
22, 2014
Additional
Terms Specific to the Notes
You should
read this pricing supplement together with the prospectus dated November 14, 2011, as supplemented by the prospectus supplement
dated November 14, 2011 relating to our Series E medium-term notes of which these notes are a part, and the more detailed information
contained in product supplement no. 8-I dated November 14, 2011 and underlying supplement no. 1-I dated November 14, 2011. This
pricing supplement, together with the documents listed below, contains the terms of the notes, supplements the term sheet related
hereto and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in “Risk
Factors” in the accompanying product supplement no. 8-I and “Risk Factors” in the accompanying underlying supplement
no. 1-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may
access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
Our Central
Index Key, or CIK, on the SEC website is 19617. As used in this pricing supplement, the “Company,” “we,”
“us” and “our” refer to JPMorgan Chase & Co.
Additional Key Terms
Starting Underlying Level: |
With respect to the iShares® MSCI Emerging Markets ETF, $40.74, and with respect to the the iShares® MSCI EAFE ETF, $61.30, which were the closing prices of one share of the respective Funds on the Pricing Date divided by the Share Adjustment Factor for each Fund (the “Initial Share Price”). With respect to the Index, 1,096.872, the closing level of the Index on the Pricing Date (the “Initial Index Level”). We refer to each of the Initial Share Prices for a Fund and the Initial Index Level for the Index as a “Starting Underlying Level.” |
Ending Underlying Level: |
With respect to a Fund, the closing price of one share of that Fund on the Observation Date (the “Final Share Price”). With respect to the Index, the closing level of the Index on the Observation Date (the “Ending Index Level”). We refer to each of the Final Share Prices for a Fund and the Ending Index Level for the Index as an “Ending Underlying Level.” |
Share Adjustment Factor: |
With respect to each Fund, set equal to 1.0 on the Pricing Date and subject to adjustment under certain circumstances. See “General Terms of Notes — Anti-Dilution Adjustments” in the accompanying product supplement no. 8-I. |
Least Performing Underlying: |
The Underlying with the Least Performing Underlying Return |
Least Performing Underlying Return: |
The lowest of the Underlying Return of the iShares® MSCI Emerging Markets ETF, the Underlying Return of the iShares® MSCI EAFE ETF and the Underlying Return of the Russell 2000® Index |
Supplemental
Terms of the Notes
Notwithstanding
anything to the contrary in the accompanying product supplement no. 8-I, the “closing level” of the Russell 2000®
Index or any relevant successor index (as defined in the accompanying product supplement no. 8-I) on any relevant day will
equal the closing level of the Russell 2000® Index or that successor index, as applicable, as published by Bloomberg
Financial Markets with respect to that day. Currently, Bloomberg Financial Markets publishes the closing level of the Russell
2000® Index to three decimal places, whereas Russell Investment Group (“Russell”), the index sponsor
of the Russell 2000® Index, publishes the official closing level of the Russell 2000® Index to six
decimal places. As a result, the closing level of the Russell 2000® Index published by Bloomberg Financial Markets
will likely be slightly different from the official closing level of the Russell 2000® Index published by Russell.
Selected
Purchase Considerations
· | | THE NOTES OFFER A HIGHER
INTEREST RATE THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE MATURITY ISSUED BY US — The notes will pay interest at
the Interest Rate specified on the cover of this pricing supplement, assuming no automatic call, which is higher than the yield
currently available on debt securities of comparable maturity issued by us. 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. |
· | | MONTHLY INTEREST PAYMENTS
— The notes offer monthly interest payments as specified on the cover of this pricing supplement, assuming no automatic
call. Interest will be payable on November 28, 2014, December 26, 2014, January 27, 2015, February 26, 2015, March 26, 2015, April
27, 2015, May 28, 2015, June 25, 2015, July 27, 2015, |
JPMorgan Structured Investments
|
PS-1 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
August
27, 2015, September 25, 2015, October 27, 2015, November 27, 2015, December 28, 2015 and the Maturity Date (each such day, an
“Interest Payment Date”). Interest will be payable to the holders of record at the close of business on the business
day immediately preceding the applicable Interest Payment Date (which may be a Call Settlement Date). If an Interest Payment Date
is not a business day, payment will be made on the next business day immediately following such day, but no additional interest
will accrue as a result of the delayed payment.
· | | POTENTIAL EARLY EXIT AS
A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing level or closing price, as applicable, of each Underlying is
greater than or equal to the applicable Starting Underlying Level on any Call Date, your notes will be automatically called prior
to the maturity date. Under these circumstances, on the relevant Call Settlement Date, for each $1,000 principal amount note,
you will receive $1,000 plus accrued and unpaid interest to but excluding that Call Settlement Date. |
· | | THE NOTES DO NOT GUARANTEE
THE RETURN OF YOUR PRINCIPAL IF THE NOTES ARE NOT AUTOMATICALLY CALLED — If the notes are not automatically called,
we will pay you your principal back at maturity only if a Trigger Event has not occurred or the Ending Underlying Level of each
Underlying is not less than its Starting Underlying Level. A Trigger Event occurs if, on any day during the Monitoring Period,
the closing level or closing price, as applicable, of any Underlying is less than its Starting Underlying Level by more than the
applicable Buffer Amount. However, if the notes are not automatically called, a Trigger Event has occurred and the Ending Underlying
Level of any Underlying is less than its Starting Underlying Level, you could lose the entire principal amount of your notes. |
· | | EXPOSURE TO EACH OF THE
UNDERLYINGS — The return on the notes is linked to the Least Performing Underlying, which will be any of the iShares®
MSCI Emerging Markets ETF, the iShares® MSCI EAFE ETF or the Russell 2000® Index. |
The
iShares® MSCI Emerging Markets ETF is an exchange-traded fund of iShares, Inc., which is a registered investment
company that consists of numerous separate investment portfolios. The iShares® MSCI Emerging Markets ETF seeks
to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly
traded securities in emerging markets as measured by the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free-float
adjusted average of the U.S. dollar values of all of the equity securities constituting the MSCI indices for selected emerging
markets countries. We refer to the MSCI Emerging Markets Index as the “Underlying Index.” For additional information
about the iShares® MSCI Emerging Markets ETF, see the information set forth under “Fund Descriptions —
The iShares® MSCI Emerging Markets Index Fund” in the accompanying underlying supplement no. 1-I. As of July
1, 2013, the iShares® MSCI Emerging Markets Index Fund was renamed the iShares® MSCI Emerging Markets
ETF. All references to the iShares® MSCI Emerging Markets Index Fund in the accompanying underlying supplement
1-I are deemed to refer to the iShares® MSCI Emerging Markets ETF.
The
iShares® MSCI Emerging Markets ETF is an exchange-traded fund of iShares®, Inc., a registered investment company, which
seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging
Markets Index, which we refer to as the Underlying Index with respect to the iShares® MSCI Emerging Markets ETF. The MSCI
Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance
of global emerging markets. On July 1, 2013, the name of the iShares® MSCI Emerging Markets ETF was changed from the iShares®
MSCI Emerging Markets Index Fund to the current name. For additional information about the Fund, see the information set forth
under “Fund Descriptions — The iShares® MSCI Emerging Markets Index Fund” in the accompanying underlying
supplement no. 1-I.
The
Russell 2000® Index consists of the middle 2,000 companies included in the Russell 3000E™ Index and, as a
result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000®
Index. The Russell 2000® Index is designed to track the performance of the small capitalization segment of the
U.S. equity market. For additional information on the Russell 2000® Index, see the information set forth under
“Equity Index Descriptions — The Russell 2000® Index” in the accompanying underlying supplement
no. 1-I.
· | | TAX TREATMENT AS A UNIT
COMPRISING A PUT OPTION AND A DEPOSIT — You should review carefully the section entitled “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement no. 8-I. Based on the advice of Sidley Austin llp,
our special tax counsel, and on current market conditions, in determining our reporting responsibilities we intend to treat the
notes for U.S. federal income tax purposes as units each comprising: (x) a Put Option written by you that is terminated if an
Automatic Call occurs and that, if not terminated, in circumstances where the payment due at maturity is less than $1,000 (excluding
accrued and unpaid interest), requires you to pay us an amount equal to $1,000 multiplied by the absolute value of the Least Performing
Underlying Return and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put
Option. By purchasing the notes, you agree (in the absence of an administrative determination or judicial ruling to the contrary)
to follow this treatment and the allocation described in the following paragraph. However, 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 |
JPMorgan Structured Investments
|
PS-2 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
any
income or loss on the notes could be significantly and adversely affected. In addition, in 2007, the Treasury Department and the
IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the notes would be viewed as similar to the typical prepaid forward contract
described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
The notice focuses on a number of issues, the most relevant of which for holders of the notes are the character of income or loss
(including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income realized
by Non-U.S. Holders should be subject to withholding tax.
In determining our reporting responsibilities, we intend to treat 10.50% of each interest payment as interest on the Deposit and
89.50% of each interest payment as Put Premium. Assuming that the treatment of the notes as units each comprising a Put Option
and a Deposit is respected, amounts treated as interest on the Deposit will be taxed as ordinary income, while the Put Premium
will not be taken into account prior to sale or settlement, including a settlement following an Automatic Call.
Non-U.S.
Holders – Additional Tax Considerations
Non-U.S.
Holders should note that recently proposed Treasury regulations, if finalized in their current form, could impose a withholding
tax at a rate of 30% (subject to reduction under an applicable income tax treaty) on amounts attributable to U.S.-source dividends
that are paid or “deemed paid” after December 31, 2015 under certain financial instruments, if certain other conditions
are met. However, in a recently published notice, the IRS and the Treasury Department announced their intent that the proposed
regulations, if finalized, would only apply to certain financial instruments (such as the notes) that are issued on or after 90
days after the date of publication of final regulations. Accordingly, the proposed regulations, if finalized, generally should
not apply to the notes. As significant aspects of the application of these proposed regulations to the notes are uncertain,
depending on the exact content of any final regulations, we (or other withholding agents) might determine that withholding is
required with respect to notes held by a Non-U.S. Holder or that the Non-U.S. Holder must provide information to establish that
withholding is not required. Non-U.S. Holders should consult their tax advisers regarding the potential application of these proposed
regulations. If withholding is so required, we will not be required to pay any additional amounts with respect to amounts so withheld.
Non-U.S.
Holders should note that final Treasury regulations were released on legislation that imposes a withholding tax of 30% on payments
to certain foreign entities unless information reporting and diligence requirements are met, as described in “Material U.S.
Federal Income Tax Consequences-Tax Consequences to Non-U.S. Holders-Recent Legislation” in the accompanying product supplement.
Pursuant to the final regulations, such withholding tax will generally apply to obligations that are issued on or after July 1,
2014; therefore, the notes will generally be subject to this withholding tax. However, the withholding tax described above will
not apply to payments of gross proceeds from the sale, exchange or other disposition (including upon maturity) of the notes made
before January 1, 2017.
Both
U.S. and Non-U.S. Holders should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the 2007 notice. Purchasers
who are not initial purchasers of notes at the issue price should also consult their tax advisers with respect to the tax consequences
of an investment in the notes, including possible alternative treatments, as well as the allocation of the purchase price of the
notes between the Deposit and the Put Option.
JPMorgan Structured Investments
|
PS-3 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in any or all of the Underlyings
or any of the equity securities included in the Index or held by the Funds. These risks are explained in more detail in the “Risk
Factors” section of the accompanying product supplement no. 8-I dated November 14, 2011 and the “Risk Factors”
section of the accompanying underlying supplement no. 1-I dated November 14, 2011.
· | | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the notes are not automatically
called, we will pay you your principal back at maturity only if a Trigger Event has not occurred or the Ending Underlying Level
of each Underlying is greater than or equal to its Starting Underlying Level. If the notes are not automatically called, a Trigger
Event has occurred and the Ending Underlying Level of any Underlying is less than its Starting Underlying Level, you will lose
1% of your principal amount at maturity for every 1% that the Ending Underlying Level of the Least Performing Underlying is less
than its Starting Underlying Level. Accordingly, you could lose up to the entire principal amount of your notes. |
· | | 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, and therefore investors are subject to our credit risk and to changes in the market's view of our
creditworthiness. Any decline in our credit ratings or increase in the credit spreads charged 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 the Notes Generally” in the accompanying product supplement
no. 8-I for additional information about these risks. |
· | | YOUR RETURN ON THE NOTES
IS LIMITED TO THE PRINCIPAL AMOUNT PLUS ACCRUED INTEREST REGARDLESS OF ANY APPRECIATION IN THE VALUE OF ANY UNDERLYING —
If the notes are not automatically called and a Trigger Event has not occurred or the Ending Underlying Level of each Underlying
is greater than or equal to its Starting Underlying Level, for each $1,000 principal amount note, you will receive $1,000 at maturity
plus any accrued and unpaid interest, regardless of any appreciation in the value of any Underlying, which may be significant.
If the notes are automatically called, for each $1,000 principal amount note, you will receive $1,000 on the relevant Call Settlement
Date plus any accrued and unpaid interest, regardless of the appreciation in the value of any Underlying, which may be
significant. Accordingly, the return on the notes may be significantly less than the return on a direct investment in any Underlying
during the term of the notes. |
· | | YOU ARE EXPOSED TO THE
RISK OF DECLINE IN THE CLOSING LEVEL OR CLOSING PRICE, AS APPLICABLE, OF EACH UNDERLYING — Your return on the notes
and your payment at maturity, if any, is not linked to a basket consisting of the Underlyings. If the notes are not automatically
called, your payment at maturity is contingent upon the performance of each individual Underlying such that you will be equally
exposed to the risks related to all of the Underlyings. Poor performance by any of the Underlyings over the term
of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the
other Underlyings. Accordingly, your investment is subject to the risk of decline in the closing level or closing price, as applicable,
of each Underlying. |
· | | THE BENEFIT PROVIDED BY
THE BUFFER AMOUNT MAY TERMINATE ON ANY DAY DURING THE TERM OF THE NOTES — If, on any day during the Monitoring Period,
the closing level or closing price, as applicable, of any Underlying is less than its Starting Underlying Level by more than the
applicable Buffer Amount, a Trigger Event will occur, and you will be fully exposed to any depreciation in the Least Performing
Underlying. We refer to this feature as a contingent buffer. Under these circumstances, and if the Ending Underlying Level of
any Underlying is less than its Starting Underlying Level, you will lose 1% of the principal amount of your investment for every
1% that the Ending Underlying Level of the Least Performing Underlying is less than its Starting Underlying Level. You will be
subject to this potential loss of principal even if the relevant Underlying subsequently recovers such that the closing level
or closing price, as applicable, of that Underlying is less than its Starting Underlying Level by less than the Buffer Amount.
If these notes had a non-contingent buffer feature, under the same scenario, you would have received the full principal amount
of your notes plus accrued and unpaid interest at maturity. As a result, your investment in the notes may not perform as
well as an investment in a security with a return that includes a non-contingent buffer. |
JPMorgan Structured Investments
|
PS-4 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
· | | YOUR PAYMENT AT MATURITY
MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING — If the notes are not automatically called and a Trigger Event
occurs, you will lose some or all of your investment in the notes if the Ending Underlying Level of any Underlying is below its
Starting Underlying Level. This will be true even if the Ending Underlying Level of each of the other Underlyings is greater than
or equal to its Starting Underlying Level. The Underlyings’ respective performances may not be correlated and, as a result,
if the notes are not automatically called and a Trigger Event occurs, you may receive the principal amount of your notes at maturity
only if there is a broad-based rise in the performance of U.S. equities across diverse markets during the term of the notes. |
· | | THE AUTOMATIC CALL FEATURE
MAY FORCE A POTENTIAL EARLY EXIT — If the notes are automatically called, the amount of interest payable on the notes
will be less than the full amount of interest that would have been payable if the notes were held to maturity, and, for each $1,000
principal amount note, you will receive $1,000 plus accrued and unpaid interest to but excluding the relevant Call Settlement
Date. |
· | | 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
interest payments after the relevant 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. |
· | | JPMS’S ESTIMATED
VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s estimated value
is only an estimate using several factors. The original issue price of the notes exceeds JPMS’s estimated value because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These
costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s
Estimated Value of the Notes” in this pricing supplement. |
· | | JPMS’S ESTIMATED
VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
JPMS’s estimated value of the notes is determined by reference to JPMS’s internal pricing models when the terms
of the notes are set. This estimated value is based on market conditions and other relevant factors existing at that time and
JPMS’s assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors.
Different pricing models and assumptions could provide valuations for notes that are greater than or less than JPMS’s estimated
value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be
incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions. See “JPMS’s Estimated Value of the Notes”
in this pricing supplement. |
· | | JPMS’S ESTIMATED
VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal funding rate
used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional
fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher
issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate
debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic
terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect
on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes”
in this pricing supplement. |
· | | THE VALUE OF THE NOTES
AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT
ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS
in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional 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. |
JPMorgan Structured Investments
|
PS-5 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
The
notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to
maturity. See “— Lack of Liquidity” below.
· | | 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, the level and price of the Underlyings, 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; |
· | | whether a Trigger Event has
occurred or is expected to occur; |
· | | the interest rate on the notes; |
· | | the actual and expected volatility
of the Underlyings; |
· | | the time to maturity of the
notes; |
· | | the likelihood of an automatic
call being triggered; |
· | | the dividend rate on the Funds
and the equity securities included in the Index or held by the Funds; |
· | | the expected positive or negative
correlation between the Index and the Funds, or the expected absence of any such correlation; |
· | | the exchange rate and volatility
of the exchange rate between the U.S. dollar and each of the currencies underlying the stocks comprising the Funds; |
· | | interest and yield rates in
the market generally; |
· | | a variety of economic, financial,
political, regulatory and judicial events; and |
· | | the occurrence of certain
evens to the Funds that may or may not require an adjustment to the Share Adjustment Factor. |
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.
· | | BUFFER AMOUNT APPLIES ONLY
IF YOU HOLD THE NOTES TO MATURITY — Assuming the notes are not automatically called, we will pay you your principal
back at maturity only if the closing level or closing price, as applicable, of each Underlying is not less than its Starting Underlying
Level by more than the applicable Buffer Amount on any day during the Monitoring Period or the Ending Underlying Level of each
Underlying is greater than or equal to its Starting Underlying Level. If the notes are not automatically called and a Trigger
Event has occurred, you will be fully exposed at maturity to any decline in the value of the Least Performing Underlying. |
· | | VOLATILITY RISK —
Greater expected volatility with respect to an Underlying indicates a greater likelihood as of the Pricing Date that the closing
level or closing price, as applicable, of that Underlying could be less than its Starting Underlying Level by more than the applicable
Buffer Amount on any day during the Monitoring Period. An Underlying’s volatility, however, can change significantly over
the term of the notes. The closing level or closing price, as applicable, of an Underlying could fall sharply on any day during
the Monitoring Period, which could result in a significant loss of principal. |
· | | an
investment in the notes is subject to risks associated with small capitalization stocks WITH RESPECT TO THE RUSSELL 2000®
INDEX — The stocks that constitute the Russell
2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies
may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand
adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less
likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price
pressure under adverse market conditions. |
· | | THERE ARE RISKS ASSOCIATED
WITH THE FUNDS — Although the shares of the Funds are listed for trading on NYSE Arca and a number of similar products
have been traded on NYSE Arca and other securities exchanges for varying periods of time, there is no assurance that an active
trading market will continue for the shares of the Funds or that there will be liquidity in the trading market. Each Fund is subject
to management risk, which is the risk that the investment strategies of the applicable Fund’s investment adviser,
the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could
adversely affect the market price of the shares of the Funds and, consequently, the value of the notes. |
· | | DIFFERENCES BETWEEN EACH
FUND AND ITS UNDERLYING INDEX — Each Fund does not fully replicate its Underlying Index and may hold securities not
included in its Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees
that are not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between
each Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities held by each Fund (such
as mergers and spin-offs) may impact the variance between that Fund and its Underlying Index. Finally, because the shares of each
Fund are traded on NYSE Arca and are subject to market supply and investor demand, the market value of one share of each Fund
may differ from the net asset value per share of that Fund. For all of the foregoing reasons, the performance of each Fund may
not correlate with the performance of its Underlying Index. |
JPMorgan Structured Investments
|
PS-6 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
· | | THE NOTES ARE SUBJECT TO
CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUNDS — Because the prices of the equity securities held by the Funds are
converted into U.S. dollars for purposes of calculating the net asset value of the Funds, holders of the notes will be exposed
to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the Funds trade.
Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative
weight of equity securities held by the Funds denominated in each of those currencies. If, taking into account the relevant weighting,
the U.S. dollar strengthens against those currencies, the price of the Funds will be adversely affected and any payment on the
notes may be reduced. Of particular importance to potential currency exchange risk are: |
· | | existing and expected rates
of inflation; |
· | | existing and expected interest
rate levels; |
· | | the balance of payments in
the countries issuing those currencies and the United States and between each country and its major trading partners; |
· | | political, civil or military
unrest in the countries issuing those currencies and the United States; and |
· | | the extent of government surpluses
or deficits in the countries issuing those currencies and the United States. |
All
of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries
issuing those currencies and the United States and other countries important to international trade and finance.
· | | NON-U.S. SECURITIES RISK
WITH RESPECT TO THE FUNDS — The equity securities held by the Funds have been issued by non-U.S. companies. Investments
in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the
home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly
available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the
reporting requirements of the SEC. |
· | | EMERGING MARKETS RISK WITH
RESPECT TO THE ISHARES® MSCI EMERGING MARKETS ETF — The equity securities held by the iShares®
MSCI Emerging Markets ETF have been issued by non-U.S. companies located in emerging markets countries. Countries
with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions
on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more
developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly
vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation
rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases
in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. |
· | | 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. |
· | | NO DIVIDEND PAYMENTS OR
VOTING RIGHTS — As a holder of the notes, you will not have voting rights or rights to receive cash dividends or other
distributions or other rights that holders of shares of the Funds or the securities included in the Index or held by the Funds
would have. |
· | | THE ANTI-DILUTION PROTECTION
FOR THE FUNDs IS LIMITED — The calculation agent will make adjustments to the Share Adjustment Factor for each Fund
for certain events affecting the shares of that Fund. However, the calculation agent will not make an adjustment in response to
all events that could affect the shares of the Funds. 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. |
JPMorgan Structured Investments
|
PS-7 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
What
Is the Total Return on the Notes at Maturity or Upon Automatic Call, Assuming a Range of Performances for the Least Performing
Underlying?
The following
table and examples illustrate the hypothetical total return on the notes at maturity or upon automatic call. The “note total
return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment
at maturity or upon automatic call plus the interest payments received to and including the maturity date or the relevant
Call Settlement Date, as applicable, per $1,000 principal amount note to $1,000. The table and examples below assume that the
Least Performing Underlying is the Russell 2000® Index and that the closing prices of the iShares®
MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF on each Call Date are greater than or equal to its respective
Starting Underlying Level. We make no representation or warranty as to which of the Underlyings will be the Least Performing Underlying
for purposes of calculating your actual payment at maturity, if applicable, or as to what the closing level or closing price,
as applicable, of any Underlying will be on any Call Date. In addition, the following table and examples assume a Starting
Underlying Level for the Least Performing Underlying of 1,150 and reflect the Interest Rate of 6.00% per annum over the term of
the notes (assuming no automatic call) and the Buffer Amount of 37.00% of the Starting Underlying Level of the Least Performing
Underlying. Each hypothetical total return and total payment set forth below is for illustrative purposes only and may
not be the actual total return or total payment applicable to a purchaser of the notes. The numbers appearing in the following
table and examples have been rounded for ease of analysis.
Closing Level of the Least Performing Underlying |
Least Performing Underlying Closing Level Appreciation / Depreciation at Relevant Call Date |
Note Total Return at Relevant Call Settlement Date |
Note Total Return at Maturity Date if a Trigger Event Has Not Occurred (1) |
Note Total Return at Maturity Date if a Trigger Event Has Occurred (1) |
First |
Second |
Third |
Fourth |
2,070.000 |
80.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,897.500 |
65.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,725.000 |
50.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,610.000 |
40.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,495.000 |
30.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,380.000 |
20.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,265.000 |
10.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,207.500 |
5.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,161.500 |
1.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,150.000 |
0.00% |
1.50% |
3.00% |
4.50% |
6.00% |
7.50% |
7.50% |
1,092.500 |
-5.00% |
N/A |
N/A |
N/A |
N/A |
7.50% |
2.50% |
1,063.750 |
-7.50% |
N/A |
N/A |
N/A |
N/A |
7.50% |
0.00% |
1,035.000 |
-10.00% |
N/A |
N/A |
N/A |
N/A |
7.50% |
-2.50% |
920.000 |
-20.00% |
N/A |
N/A |
N/A |
N/A |
7.50% |
-12.50% |
805.000 |
-30.00% |
N/A |
N/A |
N/A |
N/A |
7.50% |
-22.50% |
724.500 |
-37.00% |
N/A |
N/A |
N/A |
N/A |
7.50% |
-27.50% |
724.385 |
-37.01% |
N/A |
N/A |
N/A |
N/A |
N/A |
-27.51% |
690.000 |
-40.00% |
N/A |
N/A |
N/A |
N/A |
N/A |
-32.50% |
575.000 |
-50.00% |
N/A |
N/A |
N/A |
N/A |
N/A |
-42.50% |
460.000 |
-60.00% |
N/A |
N/A |
N/A |
N/A |
N/A |
-52.50% |
345.000 |
-70.00% |
N/A |
N/A |
N/A |
N/A |
N/A |
-62.50% |
230.000 |
-80.00% |
N/A |
N/A |
N/A |
N/A |
N/A |
-72.50% |
115.000 |
-90.00% |
N/A |
N/A |
N/A |
N/A |
N/A |
-82.50% |
0.000 |
-100.00% |
N/A |
N/A |
N/A |
N/A |
N/A |
-92.50% |
(1) A Trigger Event occurs if the closing level or closing
price, as applicable, of any Underlying is less than its Starting Underlying Level by more than 37.00% on any day during the Monitoring
Period.
The following
examples illustrate how a total payment set forth in the table above is calculated.
Example
1: The level of the Least Performing Underlying increases from the Starting Underlying Level of 1,150.000 to a closing level of
1,161.500 on the first Call Date. Because the closing level of each Underlying on the first Call Date is greater than the
applicable Starting Underlying Level, the notes are automatically called, and the investor receives total payments of $1,015.00
per $1,000 principal amount note, consisting of interest payments of $15.00 per $1,000 principal amount note and a payment upon
automatic call of $1,000 per $1,000 principal amount note.
Example
2: The level of the Least Performing Underlying decreases from the Starting Underlying Level of 1,150.000 to a closing level of
1,092.500 on the first Call Date, 1,063.75 on the second Call Date, 1,035.000 on the third Call Date, and increases from the Starting
Underlying Level of 1,150.000 to a closing level of 1,207.500 on the last Call Date. Although the level of the Least Performing
Underlying on each of the first three Call Dates (1,092.500, 1,063.750 and 1,035.000) is less than the Starting Underlying
Level of 1,150.000, because the closing level of each Underlying on the final Call Date is greater than the applicable Starting
Underlying Level, the notes are automatically called, and the investor
JPMorgan Structured Investments
|
PS-8 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
receives
total payments of $1,060.00 per $1,000 principal amount note, consisting of interest payments of $60.00 per $1,000 principal amount
note and a payment upon automatic call of $1,000 per $1,000 principal amount note.
Example
3: The notes have not been automatically called prior to maturity and the level of the Least Performing Underlying increases from
the Starting Underlying Level of 1,150.000 to an Ending Underlying Level of 1,207.500. Because the notes have not been automatically
called prior to maturity and the Ending Underlying Level of the Least Performing Underlying of 1,207.500 is greater than
its Starting Underlying Level of 1,150.000, regardless of whether a Trigger Event has occurred, the investor receives total payments
of $1,075.00 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $75.00 per $1,000
principal amount note over the term of the notes and a payment at maturity of $1,000 per $1,000 principal amount note. This
represents the maximum total payment an investor may receive over the term of the notes.
Example
4: The notes have not been automatically called prior to maturity, a Trigger Event has not occurred and the level of the Least
Performing Underlying decreases from the Starting Underlying Level of 1,150.000 to an Ending Underlying Level of 920.000. Even
though the Ending Underlying Level of the Least Performing Underlying of 920.000 is less than its Starting Underlying Level of
1,150.000, because the notes have not been automatically called prior to maturity and a Trigger Event has not occurred, the investor
receives total payments of $1,075.00 per $1,000 principal amount note over the term of the notes, consisting of interest payments
of $75.00 per $1,000 principal amount note over the term of the notes and a payment at maturity of $1,000 per $1,000 principal
amount note. This represents the maximum total payment an investor may receive over the term of the notes.
Example
5: The notes have not been automatically called prior to maturity, a Trigger Event has occurred and the level of the Least Performing
Underlying decreases from the Starting Underlying Level of 1,150.000 to an Ending Underlying Level of 575.000. Because the
notes have not been automatically called prior to maturity, a Trigger Event has occurred and the Ending Underlying Level of the
Least Performing Underlying of 575.000 is less than its Starting Underlying Level of 1,150.000, the investor receives total payments
of $575.00 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $75.00 per $1,000 principal
amount note over the term of the notes and a payment at maturity of $500 per $1,000 principal amount note, calculated as follows:
[$1,000 + ($1,000 × -50%)] + $75.00
= $575.00
Example
6: The notes have not been automatically called prior to maturity, a Trigger Event has occurred and the level of the Least Performing
Underlying decreases from the Starting Underlying Level of 1,150.000 to an Ending Underlying Level of 0. Because the notes
have not been automatically called prior to maturity, a Trigger Event has occurred and the Ending Underlying Level of the Least
Performing Underlying of 0 is less than its Starting Underlying Level of 1,150.000, the investor receives total payments of $75.00
per $1,000 principal amount note over the term of the notes, consisting solely of interest payments of $75.00 per $1,000 principal
amount note over the term of the notes, calculated as follows:
[$1,000 + ($1,000 × -100%)] + $75.00 =
$75.00
The hypothetical
payments on the notes shown above apply only if you hold the notes for their entire term or until called. These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical payments shown above would likely be lower.
JPMorgan Structured Investments
|
PS-9 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
Historical
Information
The following
graphs show the historical weekly performance of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index from January 2, 2009 through October 17, 2014. The closing price
of the iShares® MSCI Emerging Markets ETF on October 22, 2014 was $40.74. The closing price of the iShares®
MSCI EAFE ETF on October 22, 2014 was $61.30. The closing level of the Russell 2000® Index on October 22,
2014 was 1,096.872.
We obtained
the various closing levels and closing prices of the Underlyings below from Bloomberg Financial Markets, without independent verification.
Although Russell publishes the official closing levels of the Russell 2000® Index to six decimal places, Bloomberg
Financial Markets publishes the closing levels of the Russell 2000® Index to only three decimal places. The historical
levels and prices of each Underlying should not be taken as an indication of future performance, and no assurance can be given
as to the closing level or closing price, as applicable, of any Underlying on any Call Date, the Observation Date or any day during
the Monitoring Period. We cannot give you assurance that the performance of the Underlyings will result in the return of any of
your initial investment. We make no representation as to the amount of dividends, if any, that the Funds or the equity securities
held by the Funds will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends,
if any, that may be payable on the Funds or the equity securities held by the Funds.
JPMorgan Structured Investments
|
PS-10 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |
JPMS’s
Estimated Value of the Notes
JPMS’s
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using our internal funding
rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s
estimated value does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if
any exists) at any time. 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. For additional information, see “Selected
Risk Considerations — JPMS’s Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional
Fixed-Rate Debt.” The value of the derivative or derivatives underlying the economic terms of the notes is derived from
JPMS’s internal pricing models. These models are dependent on inputs such as the traded market prices of comparable derivative
instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates,
interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, JPMS’s
estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time. See “Selected Risk Considerations — 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 lower than the original issue price of the notes 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 paid
to JPMS and other affiliated or unaffiliated dealers, 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. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits realized in hedging
our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates
will retain any remaining hedging profits. See “Selected Risk Considerations — JPMS’s Estimated Value of the
Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information
about factors that will impact any secondary market prices of the notes, see “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition,
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 that is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations
— 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.”
Supplemental
Use of Proceeds
The net
proceeds we receive from the sale of the notes will be used for general corporate purposes and, in part, by us or one or more
of our affiliates in connection with hedging our obligations under the notes.
The notes
are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes.
See “What Is the Total Return on the Notes at Maturity or Upon Automatic Call, Assuming a Range of Performance for the Least
Performing Underlying?” in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected
Purchase Considerations — Exposure to Each of the Underlyings” in this pricing supplement for a description of the
market exposure provided by the notes.
The original
issue price of the notes is equal to JPMS’s estimated value of the notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes plus the estimated cost of hedging our obligations under the notes.
For purposes
of the notes offered by this pricing supplement, the first and second paragraph of the section entitled “Use of Proceeds
and Hedging” on page PS-31 of the accompanying product supplement no. 8-I are deemed deleted in their entirety. Please refer
instead to the discussion set forth above.
Validity
of the Notes
In the opinion
of Sidley Austin LLP, as counsel to the Company, when the notes offered by this pricing supplement have been executed and issued
by the Company and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein,
such notes will be valid and binding obligations of the Company, enforceable in accordance with their terms, subject to applicable
bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable
principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision
of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the Federal
laws of the United States, the laws of the State of New York and the General Corporation Law of the State of Delaware as in effect
on the date hereof. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and the genuineness of signatures and certain factual matters, all as stated in the letter of such
counsel dated November 14, 2011, which has been filed as Exhibit 5.3 to the Company’s registration statement on Form S-3
filed with the Securities and Exchange Commission on November 14, 2011.
JPMorgan Structured Investments
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PS-11 |
Auto Callable Yield Notes Linked to the Least Performing of the iShares® MSCI Emerging Markets ETF, the iShares®
MSCI EAFE ETF and the Russell 2000® Index |