CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$1,000,000 |
$116.20 |
Pricing supplement no. 493
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014 and
product supplement no. 4a-I dated November 7, 2014 |
Registration Statement No. 333-199966
Dated March 24, 2015
Rule 424(b)(2) |
Structured
Investments |
|
$1,000,000
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. due March 27, 2020
|
General
· | | The notes are designed for
investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing price of one share of
the Reference Stock is greater than or equal to 80% of the Initial Stock Price, which we refer to as the Interest Barrier. Investors
should be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest
Payments. |
· | | Investors in the notes should
be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined below) has occurred, the
risks of owning the Reference Stock and the risk that no Contingent Interest Payment may be made with respect to some or all Review
Dates. |
· | | The notes will be automatically
called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater
than or equal to the Initial Stock Price. The earliest date on which an automatic call may be initiated, is June 24, 2015. |
· | | The notes are unsecured and
unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase
& Co. |
· | | Minimum denominations of $10,000
and integral multiples of $1,000 in excess thereof |
Key
Terms
Reference Stock: |
The common stock, par value $0.01, of Harley-Davidson, Inc. (Bloomberg ticker: HOG). We refer to Harley-Davidson, Inc. as “Harley-Davidson.” |
Contingent Interest Payments: |
If the notes have not been automatically called and the closing price
of one share of the Reference Stock on any Review Date is greater than or equal to the Interest Barrier, you will receive on the
applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $16.875 (equivalent
to an interest rate of 6.75% per annum, payable at a rate of 1.6875% per quarter).
If the closing price of one share of the Reference Stock on any
Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. |
Interest Barrier / Trigger Level: |
$48.736, which is equal to 80% of the Initial Stock Price (subject to adjustments) |
Contingent Interest Rate: |
6.75% per annum, payable at a rate of 1.6875% per quarter, if applicable |
Automatic Call: |
If the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price, 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 Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. |
Payment at Maturity: |
If the notes have not been automatically called and 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 Contingent Interest Payment applicable to the final Review Date. |
If the notes have not been automatically called and a Trigger Event has occurred, at maturity you will receive 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 less than the principal amount of your notes and may be zero. |
If the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 20% of your principal amount at maturity and could lose up to the entire principal amount of your notes at maturity. |
Trigger Event: |
A Trigger Event occurs if the Final Stock Price (i.e., the closing price of one share of the Reference Stock on the final Review Date) is less than the Trigger Level |
Physical Delivery Amount: |
16.41497, 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 Stock Price (subject to adjustments) |
Cash Value: |
The amount in cash equal to the product of (1) $1,000 divided by the Initial Stock Price and (2) the Final Stock Price, subject to adjustments |
Initial Stock Price: |
The closing price of one share of the Reference Stock on the Pricing Date, which was $60.92 |
Final Stock Price: |
The closing price of one share of the Reference Stock on the final Review Date |
Stock Adjustment Factor: |
Set initially at 1.0 on the Pricing Date and 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-I for further information. |
Pricing Date: |
March 24, 2015 |
Original Issue Date (Settlement Date): |
On or about March 27, 2015 |
Review Dates†: |
June 24, 2015, September 24, 2015, December 24, 2015, March 24, 2016, June 24, 2016, September 26, 2016, December 27, 2016, March 24, 2017, June 26, 2017, September 25, 2017, December 26, 2017, March 26, 2018, June 25, 2018, September 24, 2018, December 24, 2018, March 25, 2019, June 24, 2019, September 24, 2019, December 24, 2019 and March 24, 2020 (the “final Review Date”) |
Interest Payment Dates†: |
The Interest Payment Dates will be June 29, 2015, September 29, 2015, December 30, 2015, March 30, 2016, June 29, 2016, September 29, 2016, December 30, 2016, March 29, 2017, June 29, 2017, September 28, 2017, December 29, 2017, March 29, 2018, June 28, 2018, September 27, 2018, December 28, 2018, March 28, 2019, June 27, 2019, September 27, 2019, December 30, 2019 and the Maturity Date |
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 |
Maturity Date†: |
March 27, 2020 |
CUSIP: |
48125ULC4 |
† | | Subject to postponement in the event of certain market disruption events and as described
under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying —
Notes Linked to a Single Underlying (Other than a Commodity Index)’” 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 and “Selected Risk Considerations” beginning on page PS-3 of this pricing supplement.
Neither
the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved
of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, 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 |
$30 |
$970 |
Total |
$1,000,000 |
$30,000 |
$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 $30.00 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 $953.90 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.
March 24, 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. 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.
JPMorgan Structured Investments
|
PS-1 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
What
Are the Payments on the Notes, Assuming a Range of Performances for the Reference Stock?
If the
notes have not been automatically called and the closing price of one share of the Reference Stock on any Review Date is greater
than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to $16.875 (equivalent to an interest rate of 6.75% per annum, payable at a rate of 1.6875%
per quarter). If the closing price of one share of the Reference Stock on any Review Date is less than the Interest Barrier, no
Contingent Interest Payment will be made with respect to that Review Date. We refer to the Interest Payment Date immediately following
any Review Date on which the closing price of one share of the Reference Stock is less than the Interest Barrier as a “No-Coupon
Date.” The following table reflects the Contingent Interest Rate of 6.75% per annum and illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes depending on how many No-Coupon Dates
occur.
Number of
No-Coupon Dates |
Total Contingent
Coupon Payments |
0 No-Coupon Dates |
$337.500 |
1 No-Coupon Date |
$320.625 |
2 No-Coupon Dates |
$303.750 |
3 No-Coupon Dates |
$286.875 |
4 No-Coupon Dates |
$270.000 |
5 No-Coupon Dates |
$253.125 |
6 No-Coupon Dates |
$236.250 |
7 No-Coupon Dates |
$219.375 |
8 No-Coupon Dates |
$202.500 |
9 No-Coupon Dates |
$185.625 |
10 No-Coupon Dates |
$168.750 |
11 No-Coupon Dates |
$151.875 |
12 No-Coupon Dates |
$135.000 |
13 No-Coupon Dates |
$118.125 |
14 No-Coupon Dates |
$101.250 |
15 No-Coupon Dates |
$84.375 |
16 No-Coupon Dates |
$67.500 |
17 No-Coupon Dates |
$50.625 |
18 No-Coupon Dates |
$33.750 |
19 No-Coupon Dates |
$16.875 |
20 No-Coupon Dates |
$0.000 |
JPMorgan Structured Investments
|
PS-2 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
The following
table illustrates the hypothetical payments on the notes in different hypothetical scenarios. Each hypothetical payment set forth
below assumes an Initial Stock Price of $60.00 and an Interest Barrier and a Trigger Level of $48.00 (equal to 80% of the hypothetical
Initial Stock Price) and reflects the Contingent Interest Rate of 6.75% per annum (payable at a rate of 1.6875% 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 table and examples have been rounded for ease of analysis.
|
Review Dates Prior to the Final Review Date |
Final Review Date |
Closing Price |
Reference Stock Appreciation / Depreciation at Review Date |
Payment on Interest Payment Date or Call Settlement Date (1)(2) |
Reference Stock Appreciation / Depreciation at Final Review Date |
Payment at Maturity If a Trigger Event Has Not Occurred (2)(3) |
Payment at Maturity If a Trigger Event Has Occurred (2)(3)(4) |
Total Value of Payment Received at Maturity If a Trigger Event Has Occurred (3)(4) |
$108.000 |
80.00% |
$1,016.875 |
80.00% |
$1,016.875 |
N/A |
N/A |
$102.000 |
70.00% |
$1,016.875 |
70.00% |
$1,016.875 |
N/A |
N/A |
$96.000 |
60.00% |
$1,016.875 |
60.00% |
$1,016.875 |
N/A |
N/A |
$90.000 |
50.00% |
$1,016.875 |
50.00% |
$1,016.875 |
N/A |
N/A |
$84.000 |
40.00% |
$1,016.875 |
40.00% |
$1,016.875 |
N/A |
N/A |
$78.000 |
30.00% |
$1,016.875 |
30.00% |
$1,016.875 |
N/A |
N/A |
$72.000 |
20.00% |
$1,016.875 |
20.00% |
$1,016.875 |
N/A |
N/A |
$69.000 |
15.00% |
$1,016.875 |
15.00% |
$1,016.875 |
N/A |
N/A |
$66.000 |
10.00% |
$1,016.875 |
10.00% |
$1,016.875 |
N/A |
N/A |
$63.000 |
5.00% |
$1,016.875 |
5.00% |
$1,016.875 |
N/A |
N/A |
$60.000 |
0.00% |
$1,016.875 |
0.00% |
$1,016.875 |
N/A |
N/A |
$57.000 |
-5.00% |
$16.875 |
-5.00% |
$1,016.875 |
N/A |
N/A |
$54.000 |
-10.00% |
$16.875 |
-10.00% |
$1,016.875 |
N/A |
N/A |
$48.000 |
-20.00% |
$16.875 |
-20.00% |
$1,016.875 |
N/A |
N/A |
$47.994 |
-20.01% |
N/A |
-20.01% |
N/A |
16 shares of the Reference Stock or the Cash Value |
$799.900 |
$42.000 |
-30.00% |
N/A |
-30.00% |
N/A |
$700.000 |
$36.000 |
-40.00% |
N/A |
-40.00% |
N/A |
$600.000 |
$30.000 |
-50.00% |
N/A |
-50.00% |
N/A |
$500.000 |
$24.000 |
-60.00% |
N/A |
-60.00% |
N/A |
$400.000 |
$18.000 |
-70.00% |
N/A |
-70.00% |
N/A |
$300.000 |
$12.000 |
-80.00% |
N/A |
-80.00% |
N/A |
$200.000 |
$6.000 |
-90.00% |
N/A |
-90.00% |
N/A |
$100.000 |
$0.000 |
-100.00% |
N/A |
-100.00% |
N/A |
$0.000 |
(1) | | The notes will be automatically
called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater
than or equal to the Initial Stock Price. |
(2) | | You will receive a Contingent
Interest Payment in connection with a Review Date if the closing price of one share of the Reference Stock on that Review Date
is greater than or equal to the Interest Barrier. |
(3) | | A Trigger Event occurs if
the Final Stock Price (i.e., the closing price of one share of the Reference Stock on the final Review Date) is less than
the Trigger Level. |
(4) | | If you receive the Physical
Delivery Amount, (a) any fractional shares are not included in the number of shares of the Reference Stock payable at maturity
in the table above and (b) the total value of payment received at maturity shown in the table above includes the value of any
fractional shares, which will be paid in cash. |
Hypothetical
Examples of Amounts Payable on the Notes
The following
examples illustrate how payments on the notes in different hypothetical scenarios are calculated.
Example
1: The closing price of one share of the Reference Stock increases from the Initial Stock Price of $60 to a closing price of $72.00
on the first Review Date. Because the closing price of one share of the Reference Stock on the first Review Date is greater
than the Interest Barrier, the investor is entitled to receive a Contingent Interest Payment in connection with the first Review
Date. In addition, because the closing price of one share of the Reference Stock on the first Review Date is greater than the
Initial Stock Price, the notes are automatically called. Accordingly, the investor receives a payment of $1,016.875 per $1,000
principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $16.875 per $1,000
principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note.
Example
2: Contingent Interest Payments are paid in connection with one of the Review Dates preceding the third Review Date, the closing
price of one share of the Reference Stock is less than the Initial Stock Price of $60 on each of the Review Dates preceding the
third Review Date and the closing price of one share of the Reference Stock increases from the Initial Stock Price of $60 to a
closing price of $72.00 on the third Review Date. The investor receives a payment of $16.875 per $1,000 principal amount note
in connection with one of the Review Dates preceding the third Review Date, but the notes are not automatically called on any
of the Review Dates preceding the third Review Date because the closing price of one share of the Reference Stock is less than
the Initial Stock Price on each of the Review Dates preceding the third Review Date. Because the closing price of one share of
the Reference Stock on the third Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent
Interest Payment in
JPMorgan Structured Investments
|
PS-3 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
connection
with the third Review Date. In addition, because the closing price of one share of the Reference Stock on the third Review Date
is greater than the Initial Stock Price, the notes are automatically called. Accordingly, the investor receives a payment of $1,016.875
per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $16.875
per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. As a result, the
total amount paid on the notes over the term of the notes is $1,033.75 per $1,000 principal amount note.
Example
3: The notes are not automatically called prior to maturity, Contingent Interest Payments are paid in connection with each of
the Review Dates preceding the final Review Date and the closing price of one share of the Reference Stock increases from the
Initial Stock Price of $60 to a Final Stock Price of $72.00 — A Trigger Event has not occurred. The investor receives
a payment of $16.875 per $1,000 principal amount note in connection with each of the Review Dates preceding the final Review Date.
Because the notes are not automatically called prior to maturity, a Trigger Event has not occurred and the Final Stock Price is
greater than the Interest Barrier, the investor receives at maturity a payment of $1,016.875 per $1,000 principal amount note.
This payment consists of a Contingent Interest Payment of $16.875 per $1,000 principal amount note and repayment of principal
equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes is $1,337.50 per
$1,000 principal amount note. This represents the maximum total payment an investor may receive over the term of the notes.
Example
4: The notes are not automatically called prior to maturity, Contingent Interest Payments are paid in connection with two of the
Review Dates preceding the final Review Date and the closing price of one share of the Reference Stock decreases from the Initial
Stock Price of $60 to a Final Stock Price of $48.00 — A Trigger Event has not occurred. The investor receives a payment
of $16.875 per $1,000 principal amount note in connection with two of the Review Dates preceding the final Review Date. Because
the notes are not automatically called prior to maturity, a Trigger Event has not occurred and the Final Stock Price is equal
to the Interest Barrier, even though the Final Stock Price is less than the Initial Stock Price, the investor receives at maturity
a payment of $1,016.875 per $1,000 principal amount note. This total value reflects a Contingent Interest Payment of $16.875 per
$1,000 principal amount note and repayment of the principal equal to $1,000 per $1,000 principal amount note. The total amount
paid on the notes over the term of the notes is $1,050.625 per $1,000 principal amount note.
Example
5: The notes are not automatically called prior to maturity, Contingent Interest Payments are paid in connection with each of
the Review Dates preceding the final Review Date and the closing price of one share of the Reference Stock decreases from the
Initial Stock Price of $60 to a Final Stock Price of $24 — A Trigger Event has occurred. The investor receives a payment
of $16.875 per $1,000 principal amount note in connection with each of the Review Dates preceding the final Review Date. Because
the notes are not automatically called prior to maturity, a Trigger Event has occurred and the Final Stock Price is less than
the Interest Barrier, the investor receives at maturity the Physical Delivery Amount (or, at our election, the Cash Value). Because
the Final Stock Price of the Reference Stock is $24, the total value of your payment at maturity, whether in cash or shares of
the Reference Stock, is $400 per $1,000 principal amount note, calculated as follows:
($1,000 / $60) × $24 = $400
The total
value of the payments on the notes over the term of the notes is $720.625 per $1,000 principal amount note.
Example
6: The notes are not automatically called prior to maturity, no Contingent Interest Payments are paid in connection with the Review
Dates preceding the final Review Date and the closing price of one share of the Reference Stock decreases from the Initial Stock
Price of $60 to a Final Stock Price of $18 — A Trigger Event has occurred. Because the notes are not automatically called
prior to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date,
a Trigger Event has occurred and the Final Stock Price is less than the Interest Barrier, the investor receives no payments over
the term of the notes, other than the Physical Delivery Amount (or, at our election, the Cash Value). Because the Final Stock
Price of the Reference Stock is $18, the total value of your payment at maturity, whether in cash or shares of the Reference Stock,
is $300 per $1,000 principal amount note, calculated as follows:
($1,000 / $60) × $18 = $300
The hypothetical
payments on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These
hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and
expenses were included, the hypothetical payments shown above would likely be lower.
JPMorgan Structured Investments
|
PS-4 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
Selected
Purchase Considerations
· | | QUARTERLY CONTINGENT INTEREST
PAYMENTS — The notes offer the potential to earn a Contingent Interest Payment in connection with each quarterly Review
Date of $16.875 per $1,000 principal amount note (equivalent to an interest rate of 6.75% per annum, payable at a rate of 1.6875%
per quarter). If the notes have not been automatically called and the closing price of one share of the Reference Stock on any
Review Date is greater than or equal to the Interest Barrier, you will receive a Contingent Interest Payment on the applicable
Interest Payment Date. If the closing price of one share of the Reference Stock on any Review Date is less than the Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. If payable, a Contingent Interest Payment will be
made to the holders of record at the close of business on the business day immediately preceding the applicable Interest Payment
Date. Because the notes are our unsecured and unsubordinated obligations, payment of any amount on the notes is subject to
our ability to pay our obligations as they become due. |
· | | POTENTIAL EARLY EXIT AS
A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing price of one share of the Reference Stock on any Review Date
(other than the final Review Date) is greater than or equal to the Initial Stock Price, your notes will be automatically called
prior to the Maturity Date. Under these circumstances, you will receive a cash payment, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable
Call Settlement Date. |
· | | THE NOTES DO NOT GUARANTEE
THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically
called, we will pay you your principal back at maturity only if a Trigger Event has not occurred. However, if the notes have
not been automatically called and a Trigger Event has occurred, you will lose more than 20% of your principal amount at maturity
and could lose up to the entire principal amount of your notes at maturity. |
· | | RETURN LINKED TO A SINGLE
REFERENCE STOCK — The return on the notes is linked to the performance of a single Reference Stock, which is the common
stock of Harley-Davidson. For additional information see “The Reference Stock” in this pricing supplement. |
· | | TAX TREATMENT — You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4a-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax
purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary
income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying
product supplement no. 4a-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this
is a reasonable treatment, but that 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 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 and the relevance of factors such as the nature of the underlying property to which the instruments
are linked. 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 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. |
Non-U.S.
Holders — Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments on the notes, and (if they are
recharacterized, in whole or in part, as debt instruments) could also apply to the payment of gross proceeds of a sale of a note
occurring after December 31, 2016 (including an automatic call or redemption at maturity). You should consult your tax adviser
regarding the potential application of FATCA to the notes.
In
the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
JPMorgan Structured Investments
|
PS-5 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference Stock.
These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no.
4a-I.
· | | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the notes have not been automatically
called and a Trigger Event has occurred, you will receive 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 less than the principal amount of your notes and may be zero. Accordingly, under
these circumstances, you will lose more than 20% of your principal amount at maturity and could lose up to the entire principal
amount of your notes at maturity. |
· | | THE NOTES DO NOT GUARANTEE
THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ from those of conventional
debt securities in that, among other things, whether we pay interest is linked to the performance of the Reference Stock. If the
notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if the
closing price of one share of the Reference Stock on that Review Date is greater than or equal to the Interest Barrier. If the
closing price of one share of the Reference Stock on that Review Date is less than the Interest Barrier, no Contingent Interest
Payment will be made with respect to that Review Date, and the Contingent Interest Payment that would otherwise have been payable
with respect to that Review Date will not be accrued and subsequently paid. Accordingly, if the closing price of one share of
the Reference Stock on each Review Date is less than the Interest Barrier, you will not receive any interest payments over the
term of the notes. |
· | | CREDIT RISK OF JPMORGAN
CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit ratings and credit
spreads may adversely affect the market value of the notes. Investors are dependent on JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. 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 AUTOMATIC CALL FEATURE
MAY FORCE A POTENTIAL EARLY EXIT — If the notes are automatically called, the amount of Contingent Interest Payments
made on the notes may be less than the amount of Contingent Interest Payments that might have been payable if the notes were held
to maturity, and, for each $1,000 principal amount note, you will receive on the applicable Call Settlement Date $1,000 plus
the Contingent Interest Payment applicable to the relevant Review Date. |
· | | REINVESTMENT RISK —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately three months and you
will not receive any Contingent 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 in the event the notes are automatically called prior to the Maturity Date. |
· | | THE APPRECIATION POTENTIAL
OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE PRICE OF THE REFERENCE STOCK — The
appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be 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. Accordingly, the return on the notes may be significantly less than the
return on a direct investment in the Reference Stock during the term of the notes. |
· | | 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. |
We
and/or our affiliates may also currently or from time to time engage in business with Harley-Davidson, including extending loans
to, or making equity investments in, Harley-Davidson or providing advisory services to Harley-Davidson. In addition, one or more
of our affiliates may publish research reports or otherwise express opinions with respect to Harley-Davidson, and these reports
may or may not recommend that investors buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake
an independent investigation of the Reference Stock issuer that in your judgment is appropriate to make an informed decision with
respect to an investment in the notes.
· | | IF YOU RECEIVE SHARES OF
THE REFERENCE STOCK AT MATURITY, THE VALUE OF THOSE SHARES MAY BE LESS ON THE MATURITY DATE THAN ON THE FINAL REVIEW DATE
— If the notes have not been automatically called and a Trigger Event has occurred, at maturity you will receive the number
of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Under these circumstances,
the value of the Physical Delivery Amount on the final Review Date will be less than $1,000 for each |
JPMorgan Structured Investments
|
PS-6 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
$1,000
principal amount note and could decrease further during the period between the final Review Date and the Maturity Date. We will
make no adjustments to the Physical Delivery Amount to account for any fluctuations in the value of the Physical Delivery Amount,
and you will bear the risk of any decrease in the value of the Physical Delivery Amount between the final Review Date and the
Maturity Date.
· | | THE BENEFIT PROVIDED BY
THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL REVIEW DATE — If the Final Stock Price is less than the Trigger Level (i.e.,
a Trigger Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Level will terminate
and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock. Under these circumstances,
you will receive the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash
Value). The market value of the Physical Delivery Amount or the Cash Value will most likely be less than the principal amount
of your notes and may be zero. |
· | | JPMS’S ESTIMATED
VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s estimated value
is only an estimate using several factors. The original issue price of the notes exceeds JPMS’s estimated value because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These
costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s
Estimated Value of the Notes” in this pricing supplement. |
· | | JPMS’S ESTIMATED
VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — JPMS’s estimated
value of the notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are set. This
estimated value is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions about
market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions could provide valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market
conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates,
the value of the notes could change significantly based on, among other things, changes in market conditions, our creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy
notes from you in secondary market transactions. See “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
· | | JPMS’S ESTIMATED
VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal funding rate
used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional
fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher
issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate
debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic
terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect
on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes”
in this pricing supplement. |
· | | THE VALUE OF THE NOTES
AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT
ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS
in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this
initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes
as published by JPMS (and which may be shown on your customer account statements). |
· | | SECONDARY MARKET PRICES
OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude
selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the
original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date
could result in a substantial loss to you. See the immediately following risk consideration for information about additional factors
that will impact any secondary market prices of the notes. |
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 price of one share of the Reference Stock,
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; |
JPMorgan Structured Investments
|
PS-7 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
· | | the actual and expected volatility
in the price of the Reference Stock; |
· | | the time to maturity of the
notes; |
· | | whether the closing price
of one share of the Reference Stock has been, or is expected to be, less than the Interest Barrier on any Review Date and whether
a Trigger Event is expected to occur; |
· | | the likelihood of an automatic
call being triggered; |
· | | the dividend rate on the Reference
Stock; |
· | | interest and yield rates in
the market generally; |
· | | the occurrence of certain
events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor, including
a merger or acquisition; 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 OWNERSHIP OR DIVIDEND
RIGHTS IN THE REFERENCE STOCK — As a holder of the notes, you will not have any ownership interest or rights in the
Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock 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
Reference Stock and the notes. |
· | | NO AFFILIATION WITH THE
REFERENCE STOCK ISSUER — We are not affiliated with the issuer of the Reference Stock. 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. |
· | | SINGLE STOCK RISK —
The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such as stock
price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions
and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic
and political conditions. |
· | | VOLATILITY RISK —
Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of the Pricing Date that the
closing price of one share of the Reference Stock could be less than its Interest Barrier on a Review Date and/or that a Trigger
Event could occur. The Reference Stock’s volatility, however, can change significantly over the term of the notes. The closing
price of the Reference Stock could fall sharply on any day during the term of the notes, which could result in your not receiving
any Contingent Interest Payment or a significant loss of principal, or both. |
· | | 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. |
· | | THE ANTI-DILUTION PROTECTION
FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments to the Stock
Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent will not make an
adjustment in response to all events that could affect the Reference Stock. 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 should also be aware that 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. |
JPMorgan Structured Investments
|
PS-8 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
The Reference
Stock
Public
Information
All information
contained herein on the Reference Stock and on Harley-Davidson is derived from publicly available sources, without independent
verification. According to its publicly available filings with the SEC, Harley-Davidson designs, manufactures and sells at wholesale
primarily heavyweight touring, custom and performance motorcycles as well as motorcycle parts, accessories, general merchandise
and related services. The common stock, par value $0.01, of Harley-Davidson (Bloomberg ticker: HOG), 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 Harley-Davidson in the accompanying product supplement no. 4a-I. Information
provided to or filed with the SEC by Harley-Davidson pursuant to the Exchange Act can be located by reference to SEC file number
001-09183, 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 Regarding the Reference Stock
The following
graph sets forth the historical performance of the common stock of Harley-Davidson based on the weekly closing prices of one share
of the common stock of Harley-Davidson from January 8, 2010 through March 20, 2015. The closing price of one share of the common
stock of Harley-Davidson on March 24, 2015 was $60.92. We obtained the closing prices below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices have been adjusted by Bloomberg
for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since
its inception, the Reference Stock has experienced significant fluctuations. The historical performance 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 any Review Date, including the final Review Date. We cannot give you assurance that the performance
of the Reference Stock will result in the return of any of your principal amount.
JPMS’s
Estimated Value of the Notes
JPMS’s
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using our internal funding
rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s
estimated value does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if
any exists) at any time. The internal funding rate used in the determination of JPMS’s estimated value generally represents
a discount from the credit spreads for our conventional fixed-rate debt. For additional information, see “Selected
Risk Considerations — JPMS’s Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional
Fixed-Rate Debt.” The value of the derivative or derivatives underlying the economic terms of the notes is derived from
JPMS’s internal pricing models. These models are dependent on inputs such as the traded market prices of comparable derivative
instruments and on various other inputs, some of which are market-observable, and which can include volatility, 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
JPMorgan Structured Investments
|
PS-9 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
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 Are the Payments on the Notes, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical
Examples of Amounts Payable on the Notes” 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.
JPMorgan Structured Investments
|
PS-10 |
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. |
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