CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$1,104,000 |
$128.29 |
July
22, 2015 |
Registration Statement No. 333-199966; Rule 424(b)(2) |
JPMorgan Chase & Co.
Structured Investments
$1,104,000
Auto Callable Yield Notes Linked to the
Least Performing of
the Financial Select Sector SPDR® Fund, the EURO STOXX
50® Index and the Russell
2000® Index due October 27, 2016
| · | The notes are designed for investors who seek a higher interest rate than the current yield on a conventional debt security
with the same maturity issued by us. |
| · | The notes will be automatically called if the closing level or closing price, as applicable, of each Underlying on any Review
Date (other than the final Review Date) is greater than or equal to its Initial Value. |
| · | Investors should be willing to forgo the potential to participate in the appreciation of any of the Financial Select Sector
SPDR® Fund, the EURO STOXX 50® Index or the Russell 2000® Index and to forgo dividend
payments. Investors should be willing to assume the risk that they will receive less interest if the notes are automatically redeemed
and the risk that, if the notes are not automatically redeemed, they may lose some or all of their principal at maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to
the credit risk of JPMorgan Chase & Co. |
| · | Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on July 22, 2015 and are expected to settle on or about July 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, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement no. 1a-I and “Selected Risk Considerations” beginning on page
PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$23.50 |
$976.50 |
Total |
$1,104,000 |
$25,944 |
$1,078,056 |
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $23.50 per $1,000 principal
amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
beginning on page PS-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 $955.80 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. 976 to product supplement
no. 4a-I dated November 7, 2014, underlying supplement no. 1a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Key
Terms
Underlyings:
The Financial Select Sector SPDR® Fund (Bloomberg ticker:
XLF) (the “Fund”), the EURO STOXX 50® Index (Bloomberg ticker: SX5E) and the Russell 2000®
Index (Bloomberg ticker: RTY) (together with the EURO STOXX 50® Index, the “Indices”)(each of the Fund
and the Indices, an “Underlying,” and collectively, “the Underlyings”)
Interest Payments:
If the notes have not been automatically called, you will receive
on each Interest Payment Date for each $1,000 principal amount note an Interest Payment equal to $5.00 per month (equivalent to
an Interest Rate of 6.00% per annum, payable at a rate of 0.50% per month).
Interest Rate:
6.00% per annum, payable at a rate of 0.50% per month
Pricing
Date: July 22, 2015
Original Issue
Date (Settlement Date): On or about July 27, 2015
Review Dates*:
October 22, 2015, January 22, 2016, April 22, 2016, July 22, 2016 and
October 24, 2016 (final Review Date)
Interest Payment
Dates*: August 27, 2015, September 25, 2015, October 27, 2015, November
27, 2015, December 28, 2015, January 27, 2016, February 25, 2016, March 28, 2016, April 27, 2016, May 26, 2016, June 27, 2016,
July 27, 2016, August 25, 2016, September 27, 2016 and the Maturity Date
Maturity Date*:
October 27, 2016
Trigger Value:
With respect to the Financial Select Sector SPDR® Fund,
$16.8828, which is equal to 66.00% of its Initial Value, subject to adjustments. With respect to the EURO STOXX 50®
Index, 2,399.4828, which is equal to 66.00% of its Initial Value. With respect to the Russell 2000® Index, 830.511,
which is equal to 66.00% of its Initial Value.
Call Settlement
Date*: If the notes are automatically called on any Review Date (other
than the final Review Date), the first Interest Payment Date immediately following that Review Date
Least Performing
Underlying: The Underlying with the Least Performing Underlying Return
Least Performing
Underlying Return: The lowest of the Underlying Returns of the Underlyings
Underlying
Return: With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
* 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 Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement no. 4a-I
|
Initial Value:
With respect to the Fund, $25.58, the closing price of one share of
the Fund on the Pricing Date (the “Initial Share Price”). With respect to the EURO STOXX 50® Index,
3,635.58, and with respect to the Russell 2000® Index, 1,258.350, which were the closing levels of the respective
Indices on the Pricing Date (the “Initial Index Level”). We refer to each of the Initial Share Price for the Fund and
the Initial Index Levels for each Index as an “Initial Value.”
Final Value:
With respect to the Fund, the closing price of one share of the Fund
on the Final Review Date (the “Final Share Price”). With respect to each Index, the closing level of the Index on the
Final Review Date (the “Ending Index Level”). We refer to each of the Final Share Prices for the Fund and the Ending
Index Level for each Index as a “Final Value.”
Share Adjustment
Factor: With respect to the Fund, set equal to 1.0 on the Pricing Date.
The share adjustment factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See “The Underlyings
— Funds — Price of One Share of a Fund” on page PS-70 of the accompanying product supplement and “The Underlyings
— Funds — Anti-Dilution Adjustments” on page PS-73 of the accompanying product supplement for further information.
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period,
the closing level or closing price, as applicable, of any Underlying is less than its Trigger Value
Monitoring
Period: The period from but excluding the Pricing Date to and including
the final Review Date
Automatic Call:
If the closing level or closing
price, as applicable, of each Underlying on any Review Date (other than the final Review Date) is greater than or equal to its
Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus (b) the Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments
will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and (i) the
Final Value of each Underlying is greater than or equal to its 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 final Review Date.
If the notes have not been automatically called and (i) the
Final Value of any Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per
$1,000 principal amount note, in addition to the Interest Payment, will be calculated as follows:
$1,000 + ($1,000 × Least Performing
Underlying Return)
If the notes have not been automatically called and (i) the
Final Value of any Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of
your principal amount at maturity.
|
PS-1 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
Index |
|
How
the Notes Work
Payments in Connection with Review Dates
Preceding the Final Review Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
PS-2 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
Index |
|
Total Interest Payments
The table below illustrates the hypothetical total
Interest Payments per $1,000 principal amount note over the term of the notes based on the Interest Rate of 6.00% per annum, depending
on how many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the
hypothetical total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount
shown in the table below.
Number of Interest
Payments |
Total Interest Payments |
15 |
$75.00 |
12 |
$60.00 |
9 |
$45.00 |
6 |
$30.00 |
3 |
$15.00 |
Hypothetical Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Review Dates. Each hypothetical payment set forth below assumes that the closing level or closing price, as applicable,
of the Underlying that is not the Least Performing Underlying on each Review Date is greater than or equal to its Initial Value
(and therefore its Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
| · | An initial Value for the Least Performing Underlying of 100.00; |
| · | A Trigger Value for the Least Performing Underlying of 66.00 (equal to 66.00% of its hypothetical Initial Value); and |
| · | A Interest Rate of 6.00% per annum (payable at a rate of 0.50% per month). |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Underlying.
The actual Initial Value of each Underlying is
the closing level or closing price, as applicable, of that Underlying on the Pricing Date and is specified under “Key Terms
– Initial Value” in this pricing supplement. For historical data regarding the actual closing levels or closing prices,
as applicable, of each Underlying, please see the historical information set forth under “The Underlyings” in this
pricing supplement.
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 — Notes are automatically
called on the first Review Date
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
101.00 |
Notes are automatically called |
|
Total Payment |
$1,015.00 (1.50% return) |
Because the closing level of each Underlying on
the first Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,005.00 (or $1,000 plus the Interest Payment applicable to the corresponding
Interest Payment Date), payable on the applicable Call Settlement 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 $1,015.00. No further payments
will be made on the notes.
Example 2 — Notes are automatically
called on the second Review Date
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
95.00 |
Notes NOT automatically called |
Second Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,030.00 (3.00% return) |
PS-3 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
Index |
|
Because the closing level of each Underlying on
the second Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,005.00 (or $1,000 plus the Interest Payment applicable to the corresponding
Interest Payment Date), payable on the applicable Call Settlement 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 $1,030.00. No further payments
will be made on the notes.
Example 3 — Notes have NOT been automatically
called, the Final Value is greater than or equal to the Initial Value and a Trigger Event has Occurred
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
95.00 |
Notes NOT automatically called |
Second Review Date |
90.00 |
Notes NOT automatically called |
Third Review Date |
85.00 |
Notes NOT automatically called |
Fourth Review Date |
80.00 |
Notes NOT automatically called |
Final Review Date |
105.00 |
Final Value is greater than or equal to Initial Value |
|
Total Payment |
$1,075.00 (7.50% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Initial Value, even though a Trigger
Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,005.00 (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 $1,075.00.
Example 4 — Notes have NOT been automatically
called, the Final Value is less than the Initial Value and a Trigger Event has NOT Occurred
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
85.00 |
Notes NOT automatically called |
Second Review Date |
80.00 |
Notes NOT automatically called |
Third Review Date |
75.00 |
Notes NOT automatically called |
Fourth Review Date |
70.00 |
Notes NOT automatically called |
Final Review Date |
90.00 |
Final Value is less than Initial Value |
|
Total Payment |
$1,075.00 (7.50% return) |
Because the notes have not been automatically
called and a Trigger Event has not occurred, even though the Final Value of the Least Performing Underlying is less than the Initial
Value, the payment at maturity, for each $1,000 principal amount note, will be $1,005.00 (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 $1,075.00.
PS-4 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
Index |
|
Example 5 — Notes have NOT been automatically
called, the Final Value is less than the Initial Value and a Trigger Event has Occurred
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
80.00 |
Notes NOT automatically called |
Third Review Date |
70.00 |
Notes NOT automatically called |
Fourth Review Date |
66.00 |
Notes NOT automatically called |
Final Review Date |
50.00 |
Final Value is less than Initial Value |
|
Total Payment |
$575.00 (-42.50% return) |
Because the notes have not been automatically
called, the Final Value of the Least Performing Underlying is less than its Initial Value, a Trigger Event has occurred and the
Least Performing Underlying Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated
as follows.
$1,000 + [$1,000 × 50.00/ 100.00] + $5.00
= $505.00
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 $575.00.
The hypothetical
returns and 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 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” sections of the accompanying product supplement
and underlying supplement.
| · | 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 (i) the Final Value of any Underlying is less than its Initial
Value and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final
Value of the Least Performing Underlying is less than its Initial Value. Accordingly, under these circumstances, you will lose
some or all of your principal amount at maturity.
| · | 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
value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying.
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.
PS-5 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
Index |
|
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH UNDERLYING — |
Poor performance by any of the Underlyings
over the term of the notes may negatively affect whether you will receive your payment at maturity and will not be offset or mitigated
by positive performance by any other Underlying.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | 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 level or closing price, as applicable, of any Underlying is less than its Trigger Value (i.e., a Trigger
Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you
will be fully exposed to any depreciation in the closing level or closing price, as applicable, of the Least Performing Underlying.
You will be subject to this potential loss of principal even if that Underlying subsequently recovers such that the closing level
or closing price, as applicable, of that Underlying is greater than or equal to its Trigger Value.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called,
the term of the notes may be reduced to as short as three months and you will not receive any Interest Payments after the applicable
Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at
a comparable return and/or with a comparable interest rate for a similar level of risk.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION
STOCKS WITH RESPECT TO THE RUSSELL 2000® INDEX — |
Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX
50® INDEX — |
The equity securities included in the
EURO STOXX 50® Index have been issued by non-U.S. companies. Investments in securities linked to the value of such
non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S.
equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH NO DIRECT EXPOSURE TO FLUCTUATIONS
IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50® INDEX — |
The value of your notes will not be
adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in
the EURO STOXX 50® Index are based, although any currency fluctuations could affect the performance of the EURO
STOXX 50® Index.
| · | WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE FINANCIAL SELECT SECTOR INDEX, |
but we will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the Financial Select Sector Index, which
is the Underlying Index (as defined under “The Underlyings” below) of the Fund.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH THE FINANCIAL SERVICES
INDUSTRY WITH RESPECT TO THE FUND — |
All
or substantially all of the equity securities held by the Fund are issued by companies whose primary line of business is directly
associated with the financial sector, including the following industries: diversified financial services; insurance; commercial
banks; capital markets; real estate investment trusts (“REITs”); consumer finance; thrifts and mortgage finance; and
real estate management and development. The Fund is concentrated in the financial sector, which means the Fund will be more affected
by the performance of the financial sector than a fund or index that was more diversified.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk,
which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
PS-6 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
Index |
|
| · | DIFFERENCES BETWEEN THE FUND AND ITS UNDERLYING INDEX — |
The Fund does not fully replicate its
Underlying Index (as defined under “The Underlyings” below) and may hold securities not included in its Underlying
Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the
calculation of its Underlying Index. Furthermore, because the shares of the Fund are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share of
the Fund. All of these factors may lead to a lack of correlation between the Fund and its Underlying Index.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for the Fund for certain events affecting the shares of the Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY UNDERLYING OR HAVE ANY RIGHTS
WITH RESPECT TO THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL OR CLOSING PRICE, AS APPLICABLE, OF AN UNDERLYING FALLING BELOW
ITS TRIGGER VALUE IS GREATER IF THE LEVEL OF THAT UNDERLYING IS VOLATILE. |
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
| · | JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC)
OF THE NOTES — |
JPMS’s estimated value is only
an estimate using several factors. The original issue price of the notes exceeds JPMS’s estimated value because costs associated
with 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).
PS-7 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
Index |
|
| · | 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 values of the Underlyings. 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.
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Auto Callable Yield Notes Linked to the Least
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The
Underlyings
The Financial Select Sector SPDR® Fund
seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly
traded equity securities of companies in the Financial Select Sector Index (the “Underlying Index”). Companies in the
Financial Select Sector Index include a wide array of diversified financial services firms whose business lines range from investment
management to commercial and business banking. For additional information about the Fund, see the information set forth under “Fund
Descriptions — The Financial Select Sector SPDR® Fund” in the accompanying underlying supplement.
The EURO STOXX 50® Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the
“Licensors”), which are used under license. The notes based on the EURO STOXX 50® Index are in no way
sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall
have any liability with respect thereto. For additional information about the EURO STOXX 50® Index, see “Equity
Index Descriptions — The EURO STOXX 50® Index” in the accompanying underlying supplement.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000® Index, see “Equity Index Descriptions — The Russell 2000® Index”
in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing levels and closing prices from January 8, 2010 through July
17, 2015. The closing price of one share of the Financial Select SPDR® Fund on July 22, 2015 was $25.58. The closing
level of the EURO STOXX 50® Index on July 22, 2015 was 3,635.58. The closing level of the Russell 2000®
Index on July 22, 2015 was 1,258.350. We obtained the closing levels and closing prices below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. Although Russell Investments publishes the official closing
levels of the Russell 2000® Index to six decimal places, Bloomberg publishes the closing levels of the Russell 2000®
Index to only three decimal places.
The historical closing levels and closing prices
of each Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing
level or closing price, as applicable, of any Underlying on any Review Date. We cannot give you assurance that the performance
of the Underlyings will result in the return of any of your principal amount or the payment of any interest. We make no representation
as to the amount of dividends, if any, that the Fund or the equity securities held by the Fund will pay in the future. In any event,
as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the Fund or the equity
securities held by the Fund.
PS-9 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
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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 the advice
of Sidley Austin llp, our special tax counsel, and on current market conditions,
in determining our reporting responsibilities we intend to treat the notes for U.S. federal income tax purposes as units each comprising:
(x) a Put Option written by you that is terminated if an Automatic Call occurs and that, if not terminated, in circumstances where
the payment due at maturity is less than $1,000 (excluding accrued and unpaid interest), requires you to pay us an amount equal
to $1,000 multiplied by the absolute value of the Least Performing Underlying Return and (y) a Deposit of $1,000 per $1,000 principal
amount note to secure your potential obligation under the Put Option. By purchasing the notes, you agree (in the absence of an
administrative determination or judicial ruling to the contrary) to follow this treatment and the allocation described in the following
paragraph. However, there are other reasonable treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt, in which case the timing and character of any income or loss on the notes could be significantly and adversely affected.
In addition, in 2007, the Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments. While it is not clear whether the notes would be
viewed as similar to the typical prepaid forward contract described in the notice, it is possible that any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the notes, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which
for holders of the notes are the character of income or loss (including whether the Put
PS-10 | Structured Investments
Auto Callable Yield Notes Linked to the Least
Performing of the Financial Select Sector SPDR® Fund, the EURO STOXX 50® Index and the Russell 2000®
Index |
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Premium might be currently included as ordinary
income) and the degree, if any, to which income realized by Non-U.S. Holders should be subject to withholding tax.
In determining our reporting responsibilities,
we intend to treat 20.00% of each interest payment as interest on the Deposit and 80.00% of each interest payment as Put Premium.
Assuming that the treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest
on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement,
including a settlement following an Automatic Call.
Non-U.S. Holders – Additional Tax
Consideration
Non-U.S. Holders should note that recently
proposed Treasury regulations, if finalized in their current form, could impose a withholding tax at a rate of 30% (subject to
reduction under an applicable income tax treaty) on amounts attributable to U.S.-source dividends that are paid or “deemed
paid” after December 31, 2015 under certain financial instruments, if certain other conditions are met. However, in a recently
published notice, the IRS and the Treasury Department announced their intent that the proposed regulations, if finalized, would
only apply to certain financial instruments (such as the notes) that are issued on or after 90 days after the date of publication
of final regulations. Accordingly, the proposed regulations, if finalized, generally should not apply to the notes. As significant
aspects of the application of these proposed regulations to the notes are uncertain, depending on the exact content of any final
regulations, we (or other withholding agents) might determine that withholding is required with respect to notes held by a Non-U.S.
Holder or that the Non-U.S. Holder must provide information to establish that withholding is not required. Non-U.S. Holders should
consult their tax advisers regarding the potential application of these proposed regulations. If withholding is so required, we
will not be required to pay any additional amounts with respect to amounts so withheld.
Non-U.S. Holders should also note that final
Treasury regulations were released on legislation that imposes a withholding tax of 30% on payments to certain foreign entities
unless information reporting and diligence requirements are met, as described in “Material U.S. Federal Income Tax Consequences-FATCA”
in the accompanying product supplement no. 4a-I. Pursuant to the final regulations, such withholding tax will generally apply to
obligations that are issued on or after July 1, 2014; therefore, the notes will generally be subject to this withholding tax. However,
the withholding tax described above will not apply to payments of gross proceeds from the sale, exchange or other disposition (including
upon maturity) of the notes made before January 1, 2017.
Both U.S. and Non-U.S. Holders should consult
their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the issue
price should also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible
alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
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.
PS-11 | Structured Investments
Auto Callable Yield Notes Linked to the Least
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Index |
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JPMS’s
estimated value of the notes is lower than the original issue price of the notes because costs associated with 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, if any, 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, if any. 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.”
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 Underlyings” in this pricing supplement for a description of the market exposure provided by the notes.
The original
issue price of the notes is equal to JPMS’s estimated value of the notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes
In the opinion of Sidley Austin LLP,
as counsel to the Company, when the notes offered by this pricing supplement have been executed and issued by the Company and authenticated
by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding
obligations of the Company, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above. This opinion is given as of the date hereof and is limited to the Federal laws of the United States, the laws
of the State of New York and the General Corporation Law of the State of Delaware as in effect on the date hereof. In addition,
this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture
and the genuineness of signatures and certain factual matters, all as stated in the letter of such counsel dated November 7, 2014,
which has been filed as Exhibit 5.3 to the Company’s registration statement on Form S-3 filed with the Securities and Exchange
Commission on November 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 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
PS-12 | Structured Investments
Auto Callable Yield Notes Linked to the Least
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Index |
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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 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.
PS-13 | Structured Investments
Auto Callable Yield Notes Linked to the Least
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