CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$2,130,000 |
$247.51 |
Pricing supplement no. 223
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014
product supplement no. 2a-I dated November 7, 2014 and
underlying supplement no. 1a-I dated November 7, 2014 |
Registration Statement No. 333-199966
Dated January 22, 2015
Rule 424(b)(2) |
Structured
Investments |
|
$2,130,000
Auto Callable Dual Directional Notes Linked to the S&P GSCITM Crude Oil Index Excess Return due February 26, 2016
|
General
· | | The Notes are designed for
investors who seek early exit prior to maturity at a premium if, on any of the Call Valuation Dates, the closing level of the
Index is at or above the Call Level, and who anticipate that the Final Level will be greater than or equal to the Barrier Level
of 66.75% of the Initial Level. If the Notes have not been automatically called and the Final Level is greater than or equal to
the Barrier Level, investors will receive a return on the Notes at maturity equal to the absolute value of any depreciation of
the Index (up to a maximum downside return of 33.25%) from the Initial Level to the Final Level. However, if the Notes have
not been automatically called and the Final Level is less than the Barrier Level, investors will lose some or all of their principal
amount at maturity. Investors in the Notes should be willing to accept this risk of loss and be willing to forgo interest
payments, in exchange for the opportunity to receive a premium payment if the Notes are automatically called or a positive return
if the Notes have not been automatically called and the closing level of the Index has not declined from the Initial Level to
below the Barrier Level. |
· | | The earliest date on which
a call may be initiated is April 22, 2015. |
· | | 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 |
Key
Terms
Index: |
The S&P GSCITM Crude Oil Index Excess Return (Bloomberg ticker: SPGCCLP) |
Automatic Call: |
If the closing level of the Index on any Call Valuation Date is greater than or equal to the Call Level, the Notes will be automatically called for a cash payment per note that will vary depending on the applicable Call Valuation Date and Call Premium Percentage, payable on the applicable Call Settlement Date. |
Call Level: |
100% of the Initial Level for each Call Valuation Date |
Payment if Called: |
For every $1,000 principal amount note, you will receive one payment of $1,000 plus a call premium amount, calculated as follows: |
|
· 3.75% × $1,000 if called on the first Call Valuation Date |
|
· 7.50% × $1,000 if called on the second Call Valuation Date |
|
· 11.25% × $1,000 if called on the third Call Valuation Date |
|
· 15.00% × $1,000 if called on the final Call Valuation Date |
Payment at Maturity: |
If the Notes have not been automatically called and the Final
Level is greater than or equal to the Barrier Level, your payment at maturity 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 Final Level is less than the Barrier Level of 66.75% of the Initial Level, the maximum return under these circumstances,
which we refer to as the maximum downside return, is 33.25%, and your maximum payment at maturity is $1,332.50 per $1,000 principal
amount note.
If the Notes have not been automatically called and the Final
Level is less than the Barrier Level, you will lose 1% of the principal amount of your Notes for every 1% that the Final Level
is less than the Initial Level, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the Notes have not been automatically called and the Final
Level is less than the Barrier Level, you will lose some or all of your principal amount at maturity. |
Barrier Level: |
168.08998, which is 66.75% of the Initial Level. Accordingly, the maximum downside return is 33.25%. |
Index Return: |
Final Level – Initial Level
Initial 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 Level: |
The closing level of the Index on the Initial Valuation Date, which was 251.8202 |
Final Level: |
The closing level of the Index on the final Call Valuation Date |
Initial Valuation Date: |
January 22. 2015 |
Original Issue Date (Settlement Date): |
On or about January 27, 2015 |
Call Valuation Dates*: |
April 22, 2015, July 22, 2015, October 22, 2015 and February 23, 2016 (final Call Valuation Date) |
Call Settlement Date: |
The third business day after the applicable Call Valuation Date, except that if the Notes are called on the final Call Valuation Date, the Call Settlement Date will be the Maturity Date |
Maturity Date*: |
February 26, 2016 |
CUSIP: |
48127DPY8 |
* | | Subject to postponement in the event of certain market disruption events and as described
under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying —
Notes Linked to a Single Index” and “Description of Notes — Payment at Maturity” in the accompanying product
supplement no. 2a-I or early acceleration in the event of a commodity hedging disruption event as described under “General
Terms of Notes — Consequences of a Commodity Hedging Disruption Event — Acceleration of the Notes” in the accompanying
product supplement no. 2a-I and in “Selected Risk Considerations — We May Accelerate Your Notes If a Commodity Hedging
Disruption Event Occurs” in this pricing supplement |
Investing
in the Notes involves a number of risks. See “Risk Factors” beginning on page PS-8 of the accompanying product supplement
no. 2a-I, “Risk Factors” beginning on page US-2 of the accompanying underlying supplement 1a-I and “Selected
Risk Considerations” beginning on page PS-3 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 |
$12.50 |
$987.50 |
Total |
$2,130,000 |
$26,625 |
$2,103,375 |
(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-79 of
the accompanying product supplement no. 2a-I. |
The estimated
value of the Notes as determined by JPMS, when the terms of the Notes were set, was $962.30 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, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not
obligations of, or guaranteed by, a bank.
January 22, 2015
Additional
Terms Specific to the Notes
You should
read this pricing supplement together with the prospectus, as supplemented by the prospectus supplement, each dated November 7,
2014, 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. 2a-I dated November 7, 2014 and underlying supplement no. 1a-I dated November 7, 2014. 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. 2a-I and “Risk Factors” in the accompanying underlying supplement
no. 1a-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, “we,” “us” and “our”
refer to JPMorgan Chase & Co.
Supplemental
Terms of the Notes
For purposes
of the Notes offered by this pricing supplement, the consequences of a commodity hedging disruption event are described under
“General Terms of Notes — Consequences of a Commodity Hedging Disruption Event — Acceleration of the Notes”
in the accompanying product supplement no. 2a-I
The Notes
are not commodity futures contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity
Exchange Act”). The Notes are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly
known as the hybrid instrument exemption, that is available to securities that have one or more payments indexed to the value,
level or rate of one or more commodities, as set out in section 2(f) of that statute. Accordingly, you are not afforded any protection
provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission.
JPMorgan Structured Investments | PS-1 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
Selected
Purchase Considerations
· | | CAPPED APPRECIATION POTENTIAL
IF THE INDEX RETURN IS POSITIVE — If the closing level of the Index is greater than or equal to the Call Level on any
Call Valuation Date, your investment will yield a payment per $1,000 principal amount note of $1,000 plus: (i) 3.75% ×
$1,000 if called on the first Call Valuation Date; (ii) 7.50% × $1,000 if called on the second Call Valuation Date; (iii)
11.25% × $1,000 if called on the third Call Valuation Date; or (iv) 15.00% × $1,000 if called on the final Call Valuation
Date. Because the Notes are our unsecured and unsubordinated obligations, payment of any amount on the Notes is subject to
our ability to pay our obligations as they become due. |
· | | Potential
Early Exit With Appreciation As a Result of Automatic Call Feature
— While the original term of the Notes is approximately thirteen months, the Notes will be called before maturity if the
closing level of the Index is at or above the Call Level on any Call Valuation Date and you will be entitled to the applicable
payment corresponding to that Call Valuation Date set forth on the cover of this pricing supplement. |
· | | POTENTIAL FOR A CAPPED
POSITIVE RETURN ON THE NOTES EVEN IF THE INDEX RETURN IS NEGATIVE — If the Notes have not been automatically called
and the Final Level is greater than or equal to the Barrier Level, you will earn a positive return on the Notes at maturity equal
to the Absolute Index Return. Under these circumstances, you will earn a positive return on the Notes even though the Index Return
is negative. 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 Final Level is less than the Barrier Level of 66.75% of the Initial Level, the
maximum downside return is 33.25%, and your maximum payment at maturity is $1,332.50 per $1,000 principal amount note. If the
Notes have not been automatically called and the Final Level is less than the Barrier Level, you will lose 1% of the principal
amount of your Notes for every 1% that the Final Level is less than the Initial Level. Under these circumstances, you will lose
some or all of your principal amount at maturity. |
· | | RETURN LINKED TO THE S&P
GSCITM Crude Oil Index Excess Return — The return on the Notes is linked to the S&P GSCI™
Crude Oil Index Excess Return, a sub-index of the S&P GSCI™, a composite index of commodity sector returns, calculated,
maintained and published daily by S&P Dow Jones Indices LLC. The S&P GSCI™ is a world production-weighted index
that is designed to reflect the relative significance of principal non-financial commodities (i.e., physical commodities)
in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying
commodities. The S&P GSCI™ Crude Oil Index Excess Return references the front-month West Texas Intermediate (“WTI”)
crude oil futures contract (i.e., the WTI crude futures contract generally closest to expiration) traded on the New York
Mercantile Exchange (the “NYMEX”). The S&P GSCI™ Crude Oil Index Excess Return provides investors with a
publicly available benchmark for investment performance in the crude oil commodity markets. The S&P GSCI™ Crude Oil
Index Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are
potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the Index,
are the designated crude oil futures contracts). By contrast, a “total return” index, in addition to reflecting those
returns, also reflects interest that could be earned on funds committed to the trading of the underlying futures contracts. See
“The S&P GSCITM Indices” 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. 2a-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. |
Based
on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the Notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement no. 2a-I. Assuming this treatment is respected, the gain or loss on your Notes should be
treated as short-term capital gain or loss unless you hold your Notes for more than a year, in which case the gain or loss should
be long-term capital gain or loss. However, the IRS or a court may not respect this treatment, in which case the timing and character
of any income or loss on the Notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to
these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked;
the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding
tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally
can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the
notice requests comments on appropriate transition rules and effective dates, 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. You should consult your tax adviser regarding the U.S. federal income tax consequences of an
investment in the Notes, including possible alternative treatments and the issues presented by this notice.
JPMorgan Structured Investments | PS-2 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
Withholding
under legislation commonly referred to as “FATCA” may apply to amounts treated as interest paid with respect to the
Notes, if they are recharacterized as debt instruments. You should consult your tax adviser regarding the potential application
of FATCA to the Notes.
Selected
Risk Considerations
An investment
in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Index, any of the
futures contracts underlying the Index, the commodity to which those commodity futures contracts relate or any futures contracts
or exchange-traded or over-the-counter instruments based on, or other instruments related to, any of the foregoing. These risks
are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 2a-I and the
“Risk Factors” section of the accompanying underlying supplement no. 1a-I.
· | | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — The Notes do not guarantee any return of principal. If the Notes have not been automatically
called and the Final Level is less than the Barrier Level, you will lose 1% of your principal amount at maturity for every 1%
that the Final Level is less than the Initial Level. Under these circumstances, you will lose some or all of your principal amount
at maturity. |
· | | LIMITED RETURN ON THE NOTES
— If the Notes are automatically called, your gain on the Notes will be limited to the Call Premium Percentage for the
applicable Call Settlement Date, regardless of the appreciation in the Index, which may be significant. If the Notes have not
been automatically called, your potential gain on the Notes will be limited by the Barrier Level. See “— Your Maximum
Gain on the Notes Is Limited by the Barrier Level” below. The closing level of the Index at various times during the term
of the Notes could be higher than on the Call Valuation Dates and at maturity. You may receive a lower payment if called or at
maturity, as the case may be, than you would have if you had invested directly in the Index. |
· | | YOUR MAXIMUM GAIN ON THE
NOTES IS LIMITED BY THE BARRIER LEVEL — If the Notes have not been automatically called and the Final Level is greater
than or equal to the Barrier Level, you will receive at maturity $1,000 plus an additional return equal to the Absolute
Index Return, up to the maximum downside return. Because the payment at maturity will not reflect the Absolute Index Return if
the Final Level is less than the Barrier Level of 66.75% of the Initial Level, the maximum downside return is 33.25%, and your
maximum payment at maturity is $1,332.50 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. 2a-I for additional information about these risks. |
· | | REINVESTMENT RISK —
If your Notes are automatically called, the term of the Notes may be as short as approximately three months. There is no guarantee
that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return for a similar level of
risk in the event the Notes are automatically called prior to the maturity date. |
· | | THE BENEFIT PROVIDED BY
THE BARRIER LEVEL MAY TERMINATE ON THE FINAL REVIEW DATE — If the Notes have not been automatically called and the closing
level of the Index on the final Call Valuation Date (i.e., the Final Level) is less than the Barrier Level, the benefit
provided by the Barrier Level will terminate and you will be fully exposed to any depreciation in the Index. |
· | | THE CALL PREMIUMS ARE NOT
CALCULATED BASED ON A PER ANNUM RATE — The call premium with respect to each Call Valuation Date increases at a fixed
rate from one Call Valuation Date to the next Call Valuation Date, even though the periods between the Call Settlement Dates are
not equal. For example, the period between the second Call Settlement Date and the third Call Settlement Date is approximately
3 months, and the period between the third Call Settlement Date and the Maturity Date is approximately 4 months. Accordingly,
the amount of any payment upon an automatic call will not necessarily reflect a per annum rate applied to the amount of time that
has elapsed since the issuance of the Notes. |
· | | 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 |
JPMorgan Structured Investments | PS-3 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
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, 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. |
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 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; |
· | | supply and demand trends for
the commodity upon which the futures contracts that compose the Index are based or the exchange-traded futures contracts on that
commodity; |
· | | the market price of the commodity
upon which the futures contracts that compose the Index are based or the exchange-traded futures contracts on that commodity; |
· | | interest and yield rates in
the market generally; and |
· | | a variety of other economic,
financial, political, regulatory, geographical, meteorological and judicial events. |
JPMorgan Structured Investments | PS-4 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
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.
· | | WE MAY ACCELERATE YOUR
NOTES IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS — If we or our affiliates are unable to effect transactions necessary
to hedge our obligations under the Notes due to a commodity hedging disruption event, we may, in our sole and absolute discretion,
accelerate the payment on your Notes and pay you an amount determined in good faith and in a commercially reasonable manner by
the calculation agent. If the payment on your Notes is accelerated, your investment may result in a loss and you may not be able
to reinvest your money in a comparable investment. Please see “General Terms of Notes — Consequences of a Commodity
Hedging Disruption Event — Acceleration of the Notes” in the accompanying product supplement no. 2a-I for more information. |
· | | COMMODITY FUTURES CONTRACTS
ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES — The commodity futures contracts that underlie the Index are
subject to legal and regulatory regimes that may change in ways that could adversely affect our ability to hedge our obligations
under the Notes and affect the level of the Index. Any future regulatory changes, including but not limited to changes resulting
from the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”), may have a substantial
adverse effect on the value of your Notes. Additionally, under authority provided by the Dodd-Frank Act, the U.S. Commodity
Futures Trading Commission on November 5, 2013 proposed rules to establish position limits that will apply to 28 agricultural,
metals and energy futures contracts and futures, options and swaps that are economically equivalent to those futures contracts.
The limits will apply to a person’s combined position in futures, options and swaps on the same underlying commodity. The
rules also would set new aggregation standards for purposes of these position limits and would specify the requirements for designated
contract markets and swap execution facilitates to impose position limits on contracts traded on those markets. The rules, if
enacted in their proposed form, may reduce liquidity in the exchange-traded market for those commodity-based futures contracts,
which may, in turn, have an adverse effect on any payments on the Notes. Furthermore, we or our affiliates may be unable
as a result of those restrictions to effect transactions necessary to hedge our obligations under the Notes resulting in a commodity
hedging disruption event, in which case we may, in our sole and absolute discretion, accelerate the payment on your Notes.
See “— We May Accelerate Your Notes If a Commodity Hedging Disruption Event Occurs” above. |
· | | PRICES OF COMMODITY FUTURES
CONTRACTS ARE CHARACTERIZED BY HIGH AND UNPREDICTABLE VOLATILITY, WHICH COULD LEAD TO HIGH AND UNPREDICTABLE VOLATILITY IN THE
INDEX — Market prices of the commodity futures contracts included in the Index tend to be highly volatile and may fluctuate
rapidly based on numerous factors, including the factors that affect the price of the commodity underlying the commodity futures
contracts included in the Index. See “— The Market Price of WTI Crude Oil Will Affect the Value of the Notes”
below. The prices of commodities and commodity futures contracts are subject to variables that may be less significant to the
values of traditional securities, such as stocks and bonds. These variables may create additional investment risks that cause
the value of the Notes to be more volatile than the values of traditional securities. As a general matter, the risk of low liquidity
or volatile pricing around the maturity date of a commodity futures contract is greater than in the case of other futures contracts
because (among other factors) a number of market participants take physical delivery of the underlying commodities. Many commodities
are also highly cyclical. The high volatility and cyclical nature of commodity markets may render such an investment inappropriate
as the focus of an investment portfolio. |
· | | THE MARKET PRICE OF WTI
CRUDE OIL WILL AFFECT THE VALUE OF THE NOTES — Because the Notes are linked to the performance of the Index, which is
composed of futures contracts on WTI crude oil, we expect that generally the market value of the Notes will depend in part on
the market price of WTI crude oil. The price of WTI crude oil is primarily affected by the global demand for and supply of crude
oil, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Crude oil prices
are volatile and subject to dislocation. Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing
and transportation industries, affects the price of crude oil. Crude oil’s end-use as a refined product is often as transport
fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although considerations, including
relative cost, often limit substitution levels. Because the precursors of demand for petroleum products are linked to economic
activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations, such as environmental
or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected by political events,
labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing
regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of the event. Supply for crude
oil may increase or decrease depending on many factors. These include production decisions by the Organization of the Petroleum
Exporting Countries (“OPEC”) and other crude oil producers. Crude oil prices are determined with significant influence
by OPEC. OPEC has the potential to influence oil prices worldwide because its members possess a significant portion of the world’s
oil supply. In the event of sudden disruptions in the supplies of oil, such as those caused by war, natural events, accidents
or acts of terrorism, prices of oil futures contracts could become extremely volatile and unpredictable. Also, sudden and dramatic
changes in the futures market may occur, for example, upon a cessation of hostilities that |
JPMorgan Structured Investments | PS-5 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
may
exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the introduction
of substitute products or commodities. Crude oil prices may also be affected by short-term changes in supply and demand because
of trading activities in the oil market and seasonality (e.g., weather conditions such as hurricanes). It is not possible
to predict the aggregate effect of all or any combination of these factors.
· | | A DECISION BY THE NYMEX
TO INCREASE MARGIN REQUIREMENTS FOR WTI CRUDE OIL FUTURES CONTRACTS MAY AFFECT THE LEVEL OF THE INDEX — If the NYMEX
increases the amount of collateral required to be posted to hold positions in the futures contracts on WTI crude oil (i.e.,
the margin requirements), market participants who are unwilling or unable to post additional collateral may liquidate their
positions, which may cause the level of the Index to decline significantly. |
· | | THE NOTES DO NOT OFFER
DIRECT EXPOSURE TO COMMODITY SPOT PRICES — The Notes are linked to the Index, which tracks commodity futures contracts,
not physical commodities (or their spot prices). The price of a futures contract reflects the expected value of the commodity
upon delivery in the future, whereas the spot price of a commodity reflects the immediate delivery value of the commodity. A variety
of factors can lead to a disparity between the expected future price of a commodity and the spot price at a given point in time,
such as the cost of storing the commodity for the term of the futures contract, interest charges incurred to finance the purchase
of the commodity and expectations concerning supply and demand for the commodity. The price movements of a futures contract are
typically correlated with the movements of the spot price of the referenced commodity, but the correlation is generally imperfect
and price movements in the spot market may not be reflected in the futures market (and vice versa). Accordingly, the Notes may
underperform a similar investment that is linked to commodity spot prices. |
· | | THE INDEX MAY BE MORE VOLATILE
AND MORE SUSCEPTIBLE TO PRICE FLUCTUATIONS OR COMMODITY FUTURES CONTRACTS THAN A BROADER COMMODITIES INDEX — The Index
may be more volatile and susceptible to price fluctuations than a broader commodities index, such as the S&P GSCI™.
In contrast to the S&P GSCI™, which includes contracts on crude oil and non-crude oil commodities, the Index comprises
contracts only on crude oil. As a result, price volatility in the contracts included in the Index will likely have a greater impact
on the Index than it would on the broader S&P GSCI™. In addition, because the Index omits principal market sectors composing
the S&P GSCI™, it will be less representative of the economy and commodity markets as a whole and will therefore not
serve as a reliable benchmark for commodity market performance generally. |
· | | OWNING THE NOTES IS NOT
THE SAME AS OWNING ANY COMMODITIES OR COMMODITY FUTURES CONTRACTS — The return on your Notes will not reflect the return
you would realize if you actually purchased the futures contracts that compose the Index, the commodities upon which the futures
contracts that compose the Index are based, or exchange-traded or over-the-counter instruments based on the Index. You will not
have any rights that holders of such assets or instruments have. |
· | | HIGHER FUTURES PRICES OF
THE COMMODITY FUTURES CONTRACTS UNDERLYING THE INDEX RELATIVE TO THE CURRENT PRICES OF SUCH CONTRACTS MAY AFFECT THE VALUE OF
THE INDEX AND THE VALUE OF THE NOTES — The Index is composed of futures contracts on physical commodities. Unlike equities,
which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain
date for delivery of the underlying physical commodity. As the exchange-traded futures contracts that compose the Index approach
expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in August
may specify an October expiration. As time passes, the contract expiring in October is replaced with a contract for delivery in
November. This process is referred to as “rolling.” If the market for these contracts is (putting aside other considerations)
in “contango,” where the prices are higher in the distant delivery months than in the nearer delivery months, the
purchase of the November contract would take place at a price that is higher than the price of the October contract, thereby creating
a negative “roll yield.” Contango could adversely affect the value of the Index and thus the value of Notes
linked to the Index. The futures contracts underlying the Index have historically been in contango. |
· | | SUSPENSION OR DISRUPTIONS
OF MARKET TRADING IN THE COMMODITY MARKETS AND RELATED FUTURES MARKETS MAY ADVERSELY AFFECT THE LEVEL OF THE INDEX, AND THEREFORE
THE VALUE OF THE NOTES — The commodity markets are subject to temporary distortions or other disruptions due to various
factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention.
In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures
contract prices that may occur during a single day. These limits are generally referred to as “daily price fluctuation limits”
and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.”
Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have
the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or
prices. These circumstances could adversely affect the level of the Index and, therefore, the value of your Notes. |
· | | THE NOTES ARE LINKED TO
AN EXCESS RETURN INDEX AND NOT A TOTAL RETURN INDEX — The Notes are linked to an excess return index and not a total
return index. An excess return index, such as the Index, reflects the returns that are potentially available through an
unleveraged investment in the contracts |
JPMorgan Structured Investments | PS-6 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
composing
that index. By contrast, a “total return” index, in addition to reflecting those returns, also reflects interest
that could be earned on funds committed to the trading of the underlying futures contracts.
· | | NO INTEREST PAYMENTS
— As a holder of the Notes, you will not receive any interest payments. |
· | | 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. |
JPMorgan Structured Investments | PS-7 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
Hypothetical
Examples of Amount Payable upon Automatic Call or at Maturity
The following
table illustrates the hypothetical simple total return (i.e., not compounded) on the Notes that could be realized with
respect to the applicable Call Valuation Date for a range of movements in the Index as shown under the column “Appreciation
/ Depreciation of the Index at Call Valuation Date.” The following table and examples assume that a commodity hedging disruption
event has not occurred and a hypothetical Initial Level of 250 and a Call Level of 250 (equal to 100% of the hypothetical Initial
Level) and reflect the Barrier Level of 166.875 (equal to 66.75% of the hypothetical Initial Level) and therefore a maximum downside
return of 33.25% and that the Call Premium Percentages used to calculate the call premium applicable to the first, second, third
and final Call Valuation Dates are 3.75%, 7.50%, 11.25% and 15.00%, respectively, regardless of the appreciation of the Index,
which may be significant. There will be only one payment on the Notes whether called or at maturity. An entry of “N/A”
indicates that the Notes would not be called on the applicable Call Valuation Date and no payment would be made for such date.
Each hypothetical total return or payment on the Notes set forth below is for illustrative purposes only and may not be the actual
total return or payment on the Notes 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
Index at
Call
Valuation
Date |
Appreciation /
Depreciation of
the Index at Call
Valuation Date |
Total Return
at First Call
Settlement |
Total Return
at Second
Call
Settlement |
Total Return
at Third Call
Settlement |
Total Return
at Maturity |
450.000 |
80.00% |
3.75% |
7.50% |
11.25% |
15.00% |
425.000 |
70.00% |
3.75% |
7.50% |
11.25% |
15.00% |
400.000 |
60.00% |
3.75% |
7.50% |
11.25% |
15.00% |
375.000 |
50.00% |
3.75% |
7.50% |
11.25% |
15.00% |
350.000 |
40.00% |
3.75% |
7.50% |
11.25% |
15.00% |
325.000 |
30.00% |
3.75% |
7.50% |
11.25% |
15.00% |
300.000 |
20.00% |
3.75% |
7.50% |
11.25% |
15.00% |
275.000 |
10.00% |
3.75% |
7.50% |
11.25% |
15.00% |
250.000 |
0.00% |
3.75% |
7.50% |
11.25% |
15.00% |
237.500 |
-5.00% |
N/A |
N/A |
N/A |
5.00% |
225.000 |
-10.00% |
N/A |
N/A |
N/A |
10.00% |
212.500 |
-15.00% |
N/A |
N/A |
N/A |
15.00% |
200.000 |
-20.00% |
N/A |
N/A |
N/A |
20.00% |
187.500 |
-25.00% |
N/A |
N/A |
N/A |
25.00% |
175.000 |
-30.00% |
N/A |
N/A |
N/A |
30.00% |
166.875 |
-33.25% |
N/A |
N/A |
N/A |
33.25% |
166.850 |
-33.26% |
N/A |
N/A |
N/A |
-33.26% |
150.000 |
-40.00% |
N/A |
N/A |
N/A |
-40.00% |
125.000 |
-50.00% |
N/A |
N/A |
N/A |
-50.00% |
100.000 |
-60.00% |
N/A |
N/A |
N/A |
-60.00% |
75.000 |
-70.00% |
N/A |
N/A |
N/A |
-70.00% |
50.000 |
-80.00% |
N/A |
N/A |
N/A |
-80.00% |
25.000 |
-90.00% |
N/A |
N/A |
N/A |
-90.00% |
0.000 |
-100.00% |
N/A |
N/A |
N/A |
-100.00% |
The following
examples illustrate how the payment on the Notes in different hypothetical scenarios is calculated.
Example
1: The level of the Index increases from the Initial Level of 250 to a closing level of 275 on the first Call Valuation Date.
Because the closing level of the Index on the first Call Valuation Date of 275 is greater than the Call Level of 250, the
Notes are automatically called, and the investor receives a single payment on the first Call Settlement Date of $1,037.50 per
$1,000 principal amount note.
Example
2: The level of the Index decreases from the Initial Level of 250 to a closing level of 225 on the first Call Valuation Date,
166.875 on the second Call Valuation Date and 150 on the third Call Valuation Date and increases from the Initial Level of 250
to a closing level of 275 on the final Call Valuation Date. Because the closing level of the Index on each of the first three
Call Valuation Dates (225, 166.875 and 150) is less than the Call Level of 250, the Notes are not automatically called on these
Call Valuation Dates. However, because the closing level on the final Call Valuation Date of 275 is greater than the Call Level
of 250, the Notes are automatically called on the final Call Valuation Date, and the investor receives a single payment at maturity
of $1,150 per $1,000 principal amount note.
Example
3: The level of the Index decreases from the Initial Level of 250 to a closing level of 225 on the first Call Valuation Date,
166.875 on the second Call Valuation Date, 150 on the third Call Valuation Date and 237.50 on the final Call Valuation Date.
Because the closing level of the Index on each of the Call Valuation Dates (225, 166.875, 150 and 237.50) is less than the Call
Level of 250, the Notes are not automatically called. However, because the Final Level is greater than the Barrier Level and the
Absolute Index Return is 5%, the investor receives a payment of maturity of $1,050 per $1,000 principal amount note, calculated
as follows:
$1,000 + ($1,000 × 5%) = $1,050
JPMorgan Structured Investments | PS-8 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
Example
4: The level of the Index decreases from the Initial Level of 250 to a closing level of 225 on the first Call Valuation Date,
166.875 on the second Call Valuation Date, 150 on the third Call Valuation Date and 166.875 on the final Call Valuation Date.
Because the closing level of the Index on each of the Call Valuation Dates (225, 166.875, 150 and 166.875) is less than the
Call Level of 250, the Notes are not automatically called. However, because the Final Level of 166.875 is equal to the Barrier
Level and the Absolute Index Return is equal to the maximum downside return of 33.25%, the investor receives a payment of maturity
of $1,332.50 per $1,000 principal amount note, the maximum payment at maturity, calculated as follows:
$1,000 + ($1,000 × 33.25%) = $1,332.50
Example
5: The level of the Index decreases from the Initial Level of 250 to a closing Level of 237.50 on the first Call Valuation Date,
225 on the second Call Valuation Date, 166.875 on the third Call Valuation Date and 150 on the final Call Valuation Date.
Because (a) the closing level of the Index on each of the Call Valuation Dates (237.50, 225, 166.875 and 150) is less than the
Call Level of 250, (b) the Final Level of 150 is less than the Barrier Level, and (c) the Index Return is -40%, the Notes are
not automatically called and the investor receives a payment at maturity that is less than the principal amount for each $1,000
principal amount note, calculated as follows:
$1,000 + ($1,000 × -40%) =
$600
The hypothetical
returns and the hypothetical payments on the Notes shown above apply only if you hold the Notes for their entire term or until
automatically 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 returns and hypothetical payments shown above would likely
be lower.
JPMorgan Structured Investments | PS-9 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
Historical
Information
The following
graph sets forth the historical performance of the Index based on the weekly historical closing levels of the Index from January
8, 2010 through January 16, 2015. The closing level of the Index on January 22, 2015 was 251.8202. We obtained the closing levels
of the Index below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The historical
closing levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the
closing level of the Index on any Call Valuation Date. We cannot give you assurance that the performance of the Index will result
in the return of any of your principal amount.
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, 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
JPMorgan Structured Investments | PS-10 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
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 Notes
are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the Notes.
See “Hypothetical Examples of Amount Payable upon Automatic Call or at Maturity” in this pricing supplement for an
illustration of the risk-return profile of the Notes and “Selected Purchase Considerations — Return Linked to the
S&P GSCITM Crude Oil Index Excess Return” 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.
Validity
of the Notes
In the opinion
of Davis Polk & Wardwell LLP, as our special products counsel, when the Notes offered by this pricing supplement have been
executed and issued by us and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated
herein, such Notes will be our valid and binding obligations, 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 of America, the laws of the State of New York and the General Corporation Law of the State
of Delaware. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the Notes and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated November 7, 2014, which was filed as an exhibit
to the Registration Statement on Form S-3 by us on November 7, 2014.
JPMorgan Structured Investments | PS-11 |
Auto Callable Dual Directional Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
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