CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$1,003,000 |
$116.55 |
May 21, 2015 |
Registration Statement No. 333-199966; Rule 424(b)(2) |
|
|
JPMorgan Chase & Co.
Structured Investments
$1,003,000
Reverse Exchangeable Notes Linked to the Class A Common Stock of LinkedIn Corporation due May 31, 2016
| ● | The notes are designed for investors who seek a higher interest rate than either the current dividend yield on the Reference
Stock or the yield on a conventional debt security with the same maturity issued by us. The notes will pay 8.50% per annum interest
over the term of the notes, payable at a rate of 2.125% per quarter. |
| ● | Investors in the notes should be willing to accept the risks of owning equities in general and the Class A common stock of
LinkedIn Corporation in particular, and the risk of losing some or all of their principal. |
| ● | Investors should also be willing to forgo dividend payments, in exchange for Interest Payments. |
| ● | The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to
the credit risk of JPMorgan Chase & Co. |
| ● | Minimum denominations of $1,000 and integral multiples thereof |
| ● | The notes priced on May 21, 2015 and are expected to settle on or about May
27, 2015. |
Investing in the notes involves a number of risks.
See “Risk Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-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, 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 |
$5 |
$995 |
Total |
$1,003,000 |
$5,015 |
$997,985 |
(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 $5.00 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
beginning on page PS-87 of the accompanying product supplement no. 4a-I. |
The estimated value of the notes as determined by
JPMS, when the terms of the notes were set, was $975.90 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.
Pricing supplement no. 746 to product supplement
no. 4a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Key
Terms
Reference Stock: The
Class A common stock, par value $0.0001 per share, of LinkedIn Corporation (Bloomberg ticker: LNKD). We refer to LinkedIn Corporation
as “LinkedIn.”
Interest Payments: You
will receive on each Interest Payment Date for each $1,000 principal amount note an Interest Payment equal to $21.25 (equivalent
to an Interest Rate of 8.50% per annum, payable at a rate of 2.125% per quarter)
Interest Rate: 8.50%
per annum, payable at a rate of 2.125% per quarter
Trigger Value:
$137.928, which is 70.00% of the Initial Value
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period, the closing price of one share of the Reference Stock is less
than the Trigger Value.
Monitoring Period:
The period from
but excluding the Pricing Date to and including the Observation Date
Pricing Date: May
21, 2015
Original Issue Date (Settlement Date):
On or about
May 27, 2015
Interest Payment Dates*: August
27, 2015, November 27, 2015, February 29, 2016 and the Maturity Date
Observation Date*: May
25, 2016
Maturity Date*: May
31, 2016
* Subject
to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to a Single Underlying” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement no. 4a-I |
|
Payment at Maturity: If
(i) the Final Value is greater than or equal to the Initial Value or (ii) a Trigger Event has not occurred, you will receive a
cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable to
the Maturity Date.
If (i)
the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred, you will receive at maturity per $1,000 principal
amount note, in addition to the Interest Payment applicable to the Maturity Date, the number of shares of the Reference Stock equal
to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash.
The market value of the
Physical Delivery Amount or the Cash Value will most likely be substantially less than the principal amount of your notes, and
may be zero.
Physical Delivery Amount: 5.0751,
which is the number of shares of the Reference Stock, per $1,000 principal amount note, equal to $1,000 times the Stock
Adjustment Factor, divided by the Initial Value
Cash Value: For
each $1,000 principal amount note, $1,000 times the Final Value, divided by the Initial Value
Initial Value: $197.04,
which was the closing price of one share of the Reference Stock on the Pricing Date.
Final Value: The
closing price of one share of the Reference Stock on the Observation Date
Stock Adjustment Factor: The
Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to
1.0 on the pricing date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting
the Reference Stock. See “The Underlyings —Reference Stocks— Anti-Dilution Adjustments” and “The
Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement no. 4a-1 for further
information.
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|
|
PS 1| Structured Investments
Reverse Exchangeable Notes Linked to the Class
A Common Stock of LinkedIn Corporation |
|
|
How
the Notes Work
Payment at Maturity
Total Interest Payments
The total Interest Payments of $85.00 per $1,000
principal amount note over the term of the notes is based on the Interest Rate of 8.50% per annum.
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes, assuming a range of performances for the Reference Stock on the Observation Date. The hypothetical payments set forth
below assume an Initial Value of $100.00, a Trigger Value of $70.00 (equal to 70.00% of the hypothetical Initial Value) and reflect
the Interest Rate of 8.50% per annum (payable at a rate of
2.125% per quarter). Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual
payment applicable to a purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1 — The Final Value
of $105.00 is greater than or equal to the Initial Value of $100.00 and a Trigger Event has occurred
Because the Final Value is greater than or equal
to the Initial Value, even though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note,
will be $1,021.25 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When added to the Interest Payments
received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,085.00.
Example 2 — The Final Value
of $75.00 is less than the Initial Value of $100.00 and a Trigger Event has NOT occurred
Because a Trigger Event has not occurred, even
though the Final Value is less than the Initial Value, the payment at maturity, for each $1,000 principal amount note, will be
$1,021.25 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When added to the Interest Payments received
with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,085.00.
Example 3 — The Final Value
of $50.00 is less than the Initial Value of $100.00 and a Trigger Event has occurred
Because the Final Value is less than the Initial
Value and a Trigger Event has occurred, you will receive at maturity, in addition to the Interest Payment applicable to the Maturity
Date, the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value).
Fractional shares will be paid in cash. Assuming that the value of the Physical Delivery Amount on the Maturity Date is equal to
the Cash Value, the value of the payment at maturity will be $585.00 per $1,000 principal amount note, calculated as follows.
$1,000 + [$1,000 × $50.00 / $100.00] + $85.00
= $585.00
|
|
PS 2| Structured Investments
Reverse Exchangeable Notes Linked to the Class
A Common Stock of LinkedIn Corporation |
|
|
When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $585.00. The actual
value of the Physical Delivery Amount will be less than the Cash Value if the price of the Reference Stock on the Maturity Date
is less than the Final Value.
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the
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.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
| ● | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If (i) the Final Value is less than the Initial Value and (ii) a Trigger Event
has occurred, you will receive at maturity a predetermined number of shares of the Reference Stock (or, at our election, the Cash
Value), the market value of which will most likely be substantially less than the principal amount of your notes, and may be zero. |
| ● | CREDIT RISK OF JPMORGAN CHASE & CO. —
Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential
change in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely to adversely
affect the value of the notes. If we were to default on our payment obligations, you may not receive any amounts owed to you under
the notes and you could lose your entire investment. |
| ● | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES
regardless of any appreciation in the price of the Reference Stock, which may be significant. You will not participate in any appreciation
in the price of the Reference Stock. |
| ● | POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement. |
| ● | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
If, on any day during the Monitoring Period, the closing price of one share of the Reference Stock is less than the Trigger Value
(i.e., a Trigger Event occurs), the benefit provided by the Trigger Value will terminate and you will be fully exposed to
any depreciation in the closing price of one share of the Reference Stock. You will be subject to this potential loss of principal
even if the Reference Stock subsequently recovers such that the closing price of one share of the Reference Stock is greater than
or equal to the Trigger Value. |
| ● | YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
| ● | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We have not independently verified any of the information about the Reference Stock issuer contained in this pricing supplement.
You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock
issuer’s public disclosure of information, whether contained in SEC filings or otherwise. |
| ● | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
The calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. The calculation
agent may make adjustments in response to events that are not described in the accompanying product supplement to account for any
diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a
holder of the notes in making these determinations. |
| ● | THE RISK OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE PRICE OF THE REFERENCE
STOCK IS VOLATILE. |
| ● | LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. |
| ● | JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
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PS 3| Structured Investments
Reverse Exchangeable Notes Linked to the Class
A Common Stock of LinkedIn Corporation |
|
|
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 —
See “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
| ● | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT —
The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit
spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the
notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs
for our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads,
we would expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate
would have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated
Value of the Notes” in this pricing supplement. |
| ● | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published
by JPMS (and which may be shown on your customer account statements). |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our secondary market credit spreads for structured debt issuances and, also, because
secondary market prices (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 the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any
sale by you prior to the Maturity Date could result in a substantial loss to you. |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs
and the price of the Reference Stock. Additionally, independent pricing vendors and/or third party broker-dealers may publish a
price for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower)
than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See “Risk
Factors — Risks Relating to the Estimated Value of Secondary Market Prices of the Notes — Secondary market prices of
the notes will be impacted by many economic and market factors” in the accompanying product supplement. |
The
Reference Stock
All information contained herein on the Reference
Stock and on LinkedIn is derived from publicly available sources, without independent verification. According to its publicly available
filings with the SEC, LinkedIn is a professional network on the Internet. The Class A common stock of LinkedIn, par value $0.0001
per share, is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed
on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of LinkedIn in the accompanying product
supplement no. 4a-I. Information provided to or filed with the SEC by LinkedIn pursuant to the Exchange Act can be located by reference
to SEC file number 001-35168, and can be accessed through www.sec.gov. We do not make
any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical
performance of the Class A common stock of LinkedIn based on the weekly historical closing prices of one share of the Reference
Stock from May 20, 2011 through May 15, 2015. The closing price of one share of the Reference Stock on May 21, 2015 was $197.04.
We obtained the closing prices below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification. The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
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PS 4| Structured Investments
Reverse Exchangeable Notes Linked to the Class
A Common Stock of LinkedIn Corporation |
|
|
The historical closing prices of one share of
the Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing
price of one share of the Reference Stock on the Pricing Date, the Observation Date or any day during the Monitoring Period. We
cannot give you assurance that the performance of the Reference Stock will result in the return of any of your principal amount.
Historical Performance
of the Class A Common Stock of LinkedIn Corporation
Source: Bloomberg
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. Based 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 requires you to purchase the Reference Stock (or, at our option, receive
the Cash Value thereof) from us at maturity for an amount equal to the Deposit under circumstances where the payment due at maturity
is the Physical Delivery Amount (or the Cash Value thereof) and (y) a Deposit of $1,000 per $1,000 principal amount note to secure
your potential obligation under the Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit” in the
accompanying product supplement no. 4a-I, and in particular in the subsection thereof entitled “— Notes with a Term
of Not More than One Year.” 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 IRS or a court may adopt, 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 on
a number of issues, the most relevant of which for investors in 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. investors
should be subject to withholding tax. 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.
We will determine the portion of each interest
payment on the notes that we will allocate to interest on the Deposit and to Put Premium, respectively, and will provide that allocation
in the pricing supplement for the notes. If the notes had priced on May 21, 2015, we would have allocated 9.18% of each interest
payment to interest on the Deposit and the remainder to Put Premium. The actual allocation that we will determine for the notes
may differ from this hypothetical allocation, and will depend upon a variety of factors, including actual market conditions and
our borrowing costs for debt instruments of comparable maturities on the Pricing Date. 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.
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PS 5| Structured Investments
Reverse Exchangeable Notes Linked to the Class
A Common Stock of LinkedIn Corporation |
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Withholding under legislation commonly referred
to as “FATCA” will apply to amounts treated as interest or other “fixed or determinable annual or periodical”
income for U.S. federal income tax purposes paid with respect to the notes.
You should consult your tax adviser 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.
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.
JPMS’s estimated value does not represent
future values of the notes and may differ from others’ estimates. 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.
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 “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. 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. 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. This initial predetermined time
period 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.”
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PS 6| Structured Investments
Reverse Exchangeable Notes Linked to the Class
A Common Stock of LinkedIn Corporation |
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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 “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Reference Stock” 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.
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. 4a-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.4a-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.
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PS 7| Structured Investments
Reverse Exchangeable Notes Linked to the Class
A Common Stock of LinkedIn Corporation |
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