CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$2,000,000 |
$232.40 |
Pricing
supplement no. 225 |
|
To prospectus dated November
7, 2014,
prospectus supplement dated
November 7, 2014, |
Registration
Statement No. 333-199966
Dated
January 22, 2015 |
product
supplement no. 4a-I dated November 7, 2014 and |
Rule
424(b)(2) |
underlying
supplement no. 1a-I dated November 7, 2014 |
|
Structured
Investments |
|
$2,000,000
Capped Buffered Return Enhanced Notes Linked to
the S&P 500® Index due January 26, 2017
|
General
• |
The
notes are designed for investors who seek a return of 1.5 times the appreciation of the S&P 500® Index
up to a maximum return of 15.90% at maturity. Investors should be willing to forgo interest and dividend payments and, if
the Ending Index Level is less than the Initial Index Level by more than 15%, be willing to lose some or all of their principal.
|
• |
The
notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Chase & Co. |
• |
Minimum
denominations of $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
|
Index: |
|
The S&P 500®
Index (Bloomberg ticker: “SPX”) (the “Index”) |
|
|
Upside
Leverage Factor: |
|
1.5 |
|
|
Payment
at Maturity: |
|
If the Ending Index
Level is greater than the Initial Index Level, at maturity you will receive a cash payment that provides you with a return
per $1,000 principal amount note equal to the Index Return multiplied by 1.5, subject to the Maximum Return. Accordingly,
if the Ending Index Level is greater than the Initial Index Level, your payment at maturity per $1,000 principal amount note
will be calculated as follows: |
|
|
|
|
$1,000
+ [$1,000 x (Index Return x 1.5)], subject to the Maximum Return |
|
|
|
|
If the Ending Index Level is
equal to or less than the Initial Index Level by up to 15%, you will receive the principal amount of your notes at maturity.
If the Ending Index Level is
less than the Initial Index Level by more than 15%, you will lose 1.1765% of the principal amount of your notes for every
1% that the Ending Index Level is less than the Initial Index Level by more than 15%, and your payment at maturity per
$1,000 principal amount note will be calculated as follows: |
|
|
|
|
$1,000
+ [$1,000 x (Index Return + 15%) x 1.1765] |
|
|
|
|
You will lose some
or all of your investment at maturity if the Ending Index Level is less than the Initial Index Level by more
than 15%. |
|
|
Maximum
Return: |
|
15.90% |
|
|
Buffer
Amount: |
|
15% |
|
|
Downside
Leverage Factor: |
|
1.1765 |
|
|
Index
Return: |
|
(Ending
Index Level – Initial Index Level) |
|
|
|
|
Initial
Index Level |
|
|
Initial
Index Level: |
|
The closing level
of the Index on the pricing date, which was 2,063.15 |
|
|
Ending
Index Level: |
|
The closing level
of the Index on the Observation Date |
|
|
Pricing
Date: |
|
January 22, 2015 |
|
|
Original Issue Date
(Settlement Date): |
|
January 27, 2015 |
|
|
Observation
Date*: |
|
January 23, 2017 |
|
|
Maturity
Date*: |
|
January 26, 2017 |
|
|
CUSIP: |
|
48127D6Z6 |
|
* |
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" and ”General Terms of Notes — Postponement
of a Payment Date" in the accompanying product supplement no. 4a-I.
|
|
|
|
|
|
|
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-2 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 |
$15 |
$985 |
Total |
$2,000,000 |
$30,000 |
$1,970,000 |
(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 $15.00
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 $987.00 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. 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
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.
Selected
Purchase Considerations
| • | CAPPED APPRECIATION POTENTIAL — The notes
provide the opportunity to enhance equity returns by multiplying a positive Index Return by 1.5, up to the Maximum Return of 15.90%,
for a maximum payment at maturity of $1,159.00 per $1,000 principal amount note. Because the notes are our unsecured and unsubordinated
obligations, payment of any amount on the notes is subject to our ability to pay our obligations as they become due. |
| • | LIMITED PROTECTION AGAINST LOSS — We
will pay you your principal back at maturity if the Ending Index Level is not less than the Initial Index Level by more than 15%.
If the Ending Index Level is less than the Initial Index Level by more than 15%, for every 1% that the Ending Index Level is less
than the Initial Index Level by more than 15%, you will lose an amount equal to 1.1765% of the principal amount of your notes.
Accordingly, you could lose some or all of your initial investment at maturity. |
| • | RETURN LINKED TO THE S&P 500®
INDEX — The return on the notes is linked to the S&P 500® Index. The S&P 500®
Index consists of 500 component stocks selected to provide a performance benchmark for the U.S. equity markets. See “Equity
Index Descriptions — The S&P 500® Index” in the accompanying underlying supplement
no. 1a-I. |
| • | CAPITAL GAINS TAX TREATMENT — You should review
carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4a-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax
counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of
notes. |
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. 4a-I. Assuming this treatment is respected, the gain or loss on your notes should be
treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser
of notes at the issue price. 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.
Withholding
under legislation commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply
to amounts treated as interest paid with respect to the notes, as well as to the payment of gross proceeds of a sale of a note
occurring after December 31, 2016 (including redemption at maturity). You should consult your tax adviser regarding the
potential application of FATCA to the notes.
JPMorgan Structured Investments |
PS-1 |
Capped Buffered Return Enhanced Notes Linked to the
S&P 500® Index |
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index or in any
of the component securities of the Index. These risks are explained in more detail in the “Risk Factors” section of
the accompanying product supplement no. 4a-I dated November 7, 2014 and the “Risk Factors” section of the accompanying
underlying supplement no. 1a-I dated November 7, 2014.
| • | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance
of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. Your investment will
be exposed on a leveraged basis to loss if the Ending Index Level is less than the Initial Index Level by more than 15%. For every
1% that the Ending Index Level is less than the Initial Index Level by more than 15%, you will lose an amount equal to 1.1765%
of the principal amount of your notes. Accordingly, you could lose some or all of your initial investment at maturity. |
| • | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM
RETURN — If the Ending Index Level is greater than the Initial Index Level, for each $1,000 principal amount
note, you will receive at maturity $1,000 plus an additional return that will not exceed the Maximum Return of 15.90%,
regardless of the appreciation in the Index, which may be significant. |
| • | CREDIT RISK OF JPMORGAN CHASE & CO. —
The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit ratings and credit spreads may adversely
affect the market value of the notes. Investors are dependent on JPMorgan Chase & Co.'s ability to pay all amounts due on
the notes. Any actual or potential change in our creditworthiness or credit spreads, as determined by the market for taking our
credit risk, is likely to adversely affect the value of the notes. If we were to default on our payment obligations, you may not
receive any amounts owed to you under the notes and you could lose your entire investment. |
| • | POTENTIAL CONFLICTS — We and our affiliates
play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of
the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of
the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as JPMS's estimated value.
In performing these duties, our economic interests and the economic interests of the calculation agent and other affiliates of
ours are potentially adverse to your interests as an investor in the notes. In addition, our business activities, including hedging
and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the
notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with
the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to
“Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement no. 4a-I for
additional information about these risks. In addition, we are currently one of the companies that make up the Index. We will not
have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value
of the Index and 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 commissions,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s Estimated Value of the Notes”
in this pricing supplement. |
| • | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT
FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — JPMS’s estimated value of the
notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are set. This estimated value
is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could
provide valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and
other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of
the notes could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from
you in secondary market transactions. See “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
| • | JPMS’S ESTIMATED VALUE IS NOT DETERMINED
BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal funding rate used in the determination
of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt.
The discount is based on, among other things, our view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate debt. If JPMS
were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic terms of the
notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect on the terms
of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes” in this
pricing supplement. |
| • | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH
MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS'S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED
TIME PERIOD — We generally expect that some of the costs included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our secondary market credit spreads for structured debt issuances. |
JPMorgan Structured Investments |
PS-2 |
Capped Buffered Return Enhanced Notes Linked to the
S&P 500® Index |
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; |
| • | the dividend rates on the equity securities underlying
the Index; |
| • | interest and yield rates in the market generally; and |
| • | a variety of other economic, financial, political, regulatory
and judicial events. |
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.
| • | NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights
to receive cash dividends or other distributions or other rights that holders of securities composing the Index would have. |
| • | LACK OF LIQUIDITY — The notes will not
be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required
to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily.
Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your
notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. |
JPMorgan Structured Investments |
PS-3 |
Capped Buffered Return Enhanced Notes Linked to the
S&P 500® Index |
What
Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index?
The following
table and examples illustrate the hypothetical total return at maturity on the notes. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. The hypothetical total returns set forth below assume an Initial Index Level of 2,040.00 and
reflect the Maximum Return of 15.90%. Each hypothetical total return or hypothetical payment at maturity set forth below is for
illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes.
The numbers appearing in the following table and examples have been rounded for ease of analysis.
|
Ending Index Level |
Index Return |
Total Return |
Payment at Maturity |
|
|
3,672.00 |
80.00% |
15.90% |
$1,159.00 |
|
|
3,366.00 |
65.00% |
15.90% |
$1,159.00 |
|
|
3,060.00 |
50.00% |
15.90% |
$1,159.00 |
|
|
2,856.00 |
40.00% |
15.90% |
$1,159.00 |
|
|
2,652.00 |
30.00% |
15.90% |
$1,159.00 |
|
|
2,448.00 |
20.00% |
15.90% |
$1,159.00 |
|
|
2,346.00 |
15.00% |
15.90% |
$1,159.00 |
|
|
2,256.24 |
10.60% |
15.90% |
$1,159.00 |
|
|
2,244.00 |
10.00% |
15.00% |
$1,150.00 |
|
|
2,142.00 |
5.00% |
7.50% |
$1,075.00 |
|
|
2,060.40 |
1.00% |
1.50% |
$1,015.00 |
|
|
2,040.00 |
0.00% |
0.00% |
$1,000.00 |
|
|
1,938.00 |
-5.00% |
0.00% |
$1,000.00 |
|
|
1,836.00 |
-10.00% |
0.00% |
$1,000.00 |
|
|
1,734.00 |
-15.00% |
0.00% |
$1,000.00 |
|
|
1,428.00 |
-30.00% |
-17.65% |
$823.53 |
|
|
1,224.00 |
-40.00% |
-29.41% |
$705.88 |
|
|
1,020.00 |
-50.00% |
-41.18% |
$588.24 |
|
|
816.00 |
-60.00% |
-52.94% |
$470.59 |
|
|
612.00 |
-70.00% |
-64.71% |
$352.94 |
|
|
408.00 |
-80.00% |
-76.47% |
$235.29 |
|
|
204.00 |
-90.00% |
-88.24% |
$117.65 |
|
|
0.00 |
-100.00% |
-100.00% |
$0.00 |
|
Hypothetical
Examples of Amounts Payable at Maturity
The following
examples illustrate how a total payment set forth in the table above is calculated.
Example
1: The level of the Index increases from the Initial Index Level of 2,040.00 to an Ending Index Level of 2,142.00. Because
the Ending Index Level of 2,142.00 is greater than the Initial Index Level of 2,040.00 and the Index Return of 5% multiplied by
1.5 does not exceed the Maximum Return of 15.90%, the investor receives a payment at maturity of $1,075 per $1,000 principal amount
note, calculated as follows:
$1,000 +
[$1,000 x (5% x 1.5)] = $1,075
Example
2: The level of the Index decreases from the Initial Index Level of 2,040.00 to an Ending Index Level of 1,734.00. Although
the Index Return is negative, because the Ending Index Level of 1,734.00 is less than the Initial Index Level of 2,040.00 by not
more than the Buffer Amount of 15%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example
3: The level of the Index increases from the Initial Index Level of 2,040.00 to an Ending Index Level of 2,652.00. Because
the Ending Index Level of 2,652.00 is greater than the Initial Index Level of 2,040.00 and the Index Return of 30% multiplied
by 1.5 exceeds the Maximum Return of 15.90%, the investor receives a payment at maturity of $1,159.00 per $1,000 principal amount
note, the maximum payment on the notes.
Example
4: The level of the Index decreases from the Initial Index Level of 2,040.00 to an Ending Index Level of 1,428.00.
Because the Index Return is negative and the Ending Index Level of 1,428.00 is less than the Initial Index Level of 2,040.00 by
more than the Buffer Amount of 15%, the investor receives a payment at maturity of $823.53 per $1,000 principal amount note, calculated
as follows:
$1,000 +
[$1,000 x (-30% + 15%) x 1.1765] = $823.53
Example
5: The level of the Index decreases from the Initial Index Level of 2,040.00 to an Ending Index Level of 0.00. Because the
Index Return is negative and the Ending Index Level of 0.00 is less than the Initial Index Level of 2,040.00 by more than the
Buffer Amount of 15%, the investor does not receive a payment at maturity, calculated as follows:
$1,000 +
[$1,000 x (-100% + 15%) x 1.1765] = $0
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 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-4 |
Capped Buffered Return Enhanced Notes Linked to the
S&P 500® Index |
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 2,063.15. 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 the Observation Date. We cannot give you assurance that the performance of the Index will result
in the return of any of your initial investment, subject to the credit risk of JPMorgan Chase & Co.
Historical Performance of S&P 500®
Index
Source: Bloomberg
|
JPMorgan Structured Investments |
PS-5 |
Capped Buffered Return Enhanced Notes Linked to the
S&P 500® Index |
JPMS’s
Estimated Value of the Notes
JPMS’s
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using our internal funding
rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s
estimated value does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if
any exists) at any time. The internal funding rate used in the determination of JPMS’s estimated value generally represents
a discount from the credit spreads for our conventional fixed-rate debt. For additional information, see “Selected Risk
Considerations — JPMS’s Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate
Debt.” The value of the derivative or derivatives underlying the economic terms of the notes is derived from JPMS’s
internal pricing models. These models are dependent on inputs such as the traded market prices of comparable derivative instruments
and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates
and other factors, as well as assumptions about future market events and/or environments. Accordingly, JPMS’s estimated
value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors and
assumptions existing at that time. See “Selected Risk Considerations — JPMS’s Estimated Value Does Not Represent
Future Values of the Notes and May Differ from Others’ Estimates.”
JPMS’s
estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the
notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain
any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations — JPMS’s
Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information
about factors that will impact any secondary market prices of the notes, see “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition,
we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations
— The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher
Than JPMS’s Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes
are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes.
See “What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index?” and “Hypothetical
Examples of Amount Payable 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 500® Index” 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-6 |
Capped Buffered Return Enhanced Notes Linked to the
S&P 500® Index |
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