CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$1,812,000 |
$210.56 |
Pricing supplement no.511
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014
product supplement no. 1a-I dated November 7, 2014 and
underlying supplement no. 1a-I dated November 7, 2014 |
Pricing supplement to
Product Supplement No. 1a-I
Registration Statement No. 333-199966
Dated March 26, 2015; Rule 424(b)(2) |
|
|
Structured
Investments |
|
$1,812,000
Callable
Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap
Rate and the S&P 500® Index due
March 29, 2030
|
General
| · | Unsecured and unsubordinated obligations of JPMorgan Chase & Co.
maturing March 29, 2030, subject to postponement as described below. |
| · | The notes are designed for investors who believe that (a) the 30-Year
U.S. Dollar Constant Maturity Swap Rate will be equal to or greater than the 2-Year U.S. Dollar Constant Maturity Swap Rate on
each Accrual Determination Date, and (b) the Index Level of the S&P 500® Index (i) will remain at or above the
Minimum Index Level of 75% of the Initial Index Level on each Accrual Determination Date and (ii) will be greater than or equal
to the Barrier Level of 50% of the Initial Index Level on the Observation Date. |
| · | The notes are designed for investors who seek periodic interest payments
that will accrue at a per annum rate equal to the then applicable Interest Factor (8.00% for years one through seven and
10.00% for years eight through fifteen), provided that on each Accrual Determination Date during such Interest Period, (i) the
Spread (the 30-Year U.S. Dollar Constant Maturity Swap Rate minus the 2-Year U.S. Dollar Constant Maturity Swap Rate) is
equal to or greater than 0.00% and (ii) the Index Level of the S&P 500® Index is greater than or equal to the
Minimum Index Level (75% of the Index Level of the S&P 500® Index on the Pricing Date), subject to the Maximum
Interest Rate and the Minimum Interest Rate. |
| · | At maturity, an investor in the notes will lose at least 50% of principal
and may lose all of the initial investment in the notes if the Index Level of the S&P 500® Index declines below
the Barrier Level on the Observation Date. |
| · | If, for an entire Interest Period, either (i) the Spread is less than
0.00% or (ii) the level of the S&P 500® Index is less than the Minimum Index Level, the Interest Rate for such
Interest Period will be equal to zero. In addition, investors should be willing to assume the risk that if the Ending Index Level
is less than the Barrier Level, they will lose at least 50% of their principal and may lose their entire initial investment at
maturity. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. |
| · | Subject to satisfaction of the Accrual Provision, interest on the notes
will be calculated based on the applicable Interest Factor set forth below. In no event will the Interest Rate be greater than
the Maximum Interest Rate as set forth below or less than the Minimum Interest Rate of 0.00% per annum. |
| · | At our option, we may call your notes prior to their scheduled Maturity
Date on one of the Redemption Dates set forth below. For more information, see “Key Terms” and “Selected Risk
Considerations” in this pricing supplement. |
| · | The terms of the notes as set forth below, to the extent they differ
or conflict with those set forth in the accompanying product supplement no. 1a-1, will supersede the terms set forth in product
supplement no. 1a-1. In particular, whether the Accrual Provision is satisfied will depend on the Index Level on the applicable
Accrual Determination Date (rather than the Spread on a USD CMS Determination Date and the Index Level on an Equity Index Determination
Date as described in product supplement no. 1a-1), as set forth below. Please refer to “Additional Key Terms — Accrual
Provision,” “Additional Key Terms — Accrual Determination Date,” “Key Terms — Redemption Feature”
and “Selected Purchase Considerations — Periodic Interest Payments” in this pricing supplement for more information. |
| · | Notes may be purchased in minimum denominations of $1,000 and in integral
multiples of $1,000 thereafter. |
| · | The notes priced on March 26, 2015 and are expected to settle on or
about March 31, 2015. |
Key Terms
Payment at Maturity: |
If the Ending Index Level is greater than or equal to the Barrier
Level, you will receive the principal amount of your notes at maturity.
If the Ending Index Level is less than the Barrier Level, you will
lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level, and
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the Ending Index Level is less than the Barrier Level, you
will lose at least 50.00% of your principal and may lose your entire initial investment at maturity.
Regardless of whether the Ending Index Level is greater than, equal
to or less than the Initial Index Level, at maturity you will also receive any accrued and unpaid interest on your notes, subject
to the Maximum Interest Rate and the Minimum Interest Rate. |
Initial Index Level: |
2,056.15 |
Ending Index Level: |
The Index Level on the Observation Date |
Index Return: |
(Ending Index Level - Initial Index Level)
Initial Index Level |
Barrier Level: |
1,028.075, which is 50.00% of the Initial Index Level |
Redemption Feature: |
On the last calendar day of each March, June, September and December, commencing on September 30, 2015 and ending on the Maturity Date (each, a “Redemption Date”), we may redeem your notes in whole but not in part at a price equal to 100% of the principal amount being redeemed plus any accrued and unpaid interest to but excluding the Redemption Date, subject to the Business Day Convention and the Interest Accrual Convention described below and in the accompanying product supplement no. 1a-1. |
Interest: |
We will pay you interest on each Interest Payment Date based on the applicable Day Count Fraction and subject to the Interest Accrual Convention, as applicable, described below and in the accompanying product supplement no. 1a-1. |
Interest Period: |
The period beginning on and including the Original Issue Date of the notes and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date, subject to the Interest Accrual Convention described below and in the accompanying product supplement no. 1a-1. |
Interest Payment Dates: |
Interest on the notes will be payable in arrears on the last calendar day of each March, June, September and December, commencing on June 30, 2015 to and including the Maturity Date, subject to the Business Day Convention and Interest Accrual Convention described below and in the accompanying product supplement no. 1a-1. |
Interest Rate: |
For each Interest Period, the Calculation
Agent will determine the Interest Rate* per annum applicable to each Interest Period, calculated in thousandths of
a percent, with five ten-thousandths of a percent rounded upwards, based on the following formula:
,
where
“Actual Days” means, with respect
to each Interest Payment Date, the actual number of calendar days in the immediately preceding Interest Period; and
“Variable Days” means, with
respect to each Interest Payment Date, the actual number of calendar days during the immediately preceding Interest Period on which
the Accrual Provision is satisfied.
*The Interest Rate as described above
is a rate per annum, may not equal the applicable Interest Factor during any Interest Period and is subject to the Minimum
Interest Rate and a Maximum Interest Rate. The Interest Rate will depend on the number of calendar days during any given Interest
Period on which the Accrual Provision is satisfied. See the definition for “Variable Days” and “Accrual Provision”
herein, as well as the formula for Interest Rate set forth above. |
Other Key Terms: |
Please see “Additional Key Terms” in this pricing supplement for other key terms. |
Investing in the Callable Range Accrual Notes involves a number
of risks. See “Risk Factors” beginning on page PS-18 of the accompanying product supplement no. 1a-I, “Risk Factors”
beginning on page US-2 of the accompanying underlying supplement no. 1a-I and “Selected Risk Considerations” beginning
on page PS-4 of this pricing supplement.
Neither the U.S. Securities and Exchange Commission, or 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, the accompanying product supplement no. 1a-I, the accompanying underlying supplement no. 1a-I or the accompanying
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 |
$39.44 |
$960.56 |
Total |
$1,812,000 |
$71,465.28 |
$1,740,534.72 |
(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 $39.44 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-60 of the accompanying product supplement no. 1a-I.
The estimated value of the notes as determined by JPMS, when
the terms of the notes were set, was $881.90 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 and are not insured or guaranteed
by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a
bank.
March 26, 2015
Additional Terms Specific to the Notes
You should read this pricing supplement together with the prospectus
dated November 7, 2014, as supplemented by the prospectus supplement 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. 1a-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. 1a-I, the accompanying underlying supplement no. 1a-I and “Selected Risk Considerations” below, 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):
| · | Underlying supplement no. 1a-I dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617.
As used in this pricing supplement, the “Company,” “we,” “us” and “our” refer to
JPMorgan Chase & Co.
Additional Key Terms
Interest Factor: |
For each Interest Period beginning on and including the Original Issue Date and ending on but excluding March 21, 2022, 8.00% per annum; and for each Interest Period beginning on and including March 31, 2022 and ending on but excluding March 29, 2030, 10.00% per annum |
Spread: |
The 30-Year CMS Rate minus the 2-Year CMS Rate, as determined on the applicable Accrual Determination Date. |
Minimum Interest Rate: |
0.00% per annum |
Maximum Interest Rate: |
Equal to the Interest Factor applicable to such Interest Period. |
Accrual Provision: |
For each Interest Period, the Accrual Provision shall be deemed to have been satisfied on each calendar day during such Interest Period on which both (i) the Spread, as determined on the Accrual Determination Date relating to such calendar day, is equal to or greater than 0.00% and (ii) the Index Level of the S&P 500® Index, as determined on the Accrual Determination Date relating to such calendar day, is greater than or equal to the Minimum Index Level. If either (i) the Spread as determined on the Accrual Determination Date relating to such calendar day is less than 0.00% or (ii) the Index Level of the S&P 500® Index as determined on the Accrual Determination Date relating to such calendar day is less than the Minimum Index Level, then the Accrual Provision shall be deemed not to have been satisfied for such calendar day. Notwithstanding the foregoing and anything to the contrary in the accompanying product supplement no. 1a-1, the Accrual Provision will be deemed to have not been satisfied on a calendar day if a market disruption event occurred or was continuing, as applicable, on the originally scheduled Accrual Determination Date for that calendar day (including any originally scheduled Accrual Determination Date relating to an Exclusion Period). |
Accrual Determination Date: |
For each calendar day during an Interest Period, the second Trading Day prior to such calendar day. Notwithstanding the foregoing, for all calendar days in the Exclusion Period, the Accrual Determination Date will be the first Trading Day that precedes such Exclusion Period. The Accrual Provision will be deemed to have not been satisfied on a calendar day if a market disruption event occurred or was continuing, as applicable, on the originally scheduled Accrual Determination Date for that calendar day. |
Exclusion Period: |
For each Interest Period, the period commencing on the sixth Business Day prior to but excluding each Interest Payment Date. |
Index Level: |
On any Trading Day, the official closing level of the S&P 500® Index (the “Index”) published following the regular official weekday close of trading for the S&P 500® Index as published by Bloomberg Financial Services on such Trading Day. In certain circumstances, the Index Level will be based on the alternative calculation of the S&P 500® Index as described under “General Terms of Notes — Discontinuation of an Equity Index; Alteration of Method of Calculation” in the accompanying product supplement no. 1a-1. |
Minimum Index Level: |
1,542.1125, which is 75.00% of the Index Level of the S&P 500® Index on the Pricing Date. |
Trading Day: |
For purposes of the Accrual Provision, a day, as determined by the
calculation agent (a) on which trading is generally conducted on (i) the relevant exchanges for securities underlying the S&P
500® Index or the relevant successor index, if applicable, and (ii) the exchanges on which futures or options contracts
related to the S&P 500® Index or the relevant successor index, if applicable, are traded, other than a day on
which trading on such relevant exchange or exchange on which such futures or options contracts are traded is scheduled to close
prior to its regular weekday closing time and (b) which is a U.S. Government Securities Business Day.
For purposes of the Observation Date, a day, as determined by the
calculation agent on which trading is generally conducted on (i) the relevant exchanges for securities underlying the S&P 500®
Index or the relevant successor index, if applicable and (ii) the exchanges on which futures or options contracts related to the
S&P 500® Index or the relevant successor index, if applicable, are traded, other than a day on which trading
on such relevant exchange or exchange on which such futures or options contracts are traded is scheduled to close prior to its
regular weekday closing time.
|
Business Day: |
Any day other than a day on which banking institutions in the City of New York are authorized or required by law, regulation or executive order to close or a day on which transactions in dollars are not conducted |
U.S. Government Securities Business Day: |
Any day, other than a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association (“SIFMA”) recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities. |
30-Year CMS Rate: |
With respect to any Accrual Determination Date, the 30-Year U.S. Dollar Constant Maturity Swap Rate, which is the rate for a U.S. dollar swap with a designated maturity of 30 years that appears on Reuters page “ISDAFIX1” (or any successor page) at approximately 11:15 a.m., New York City time, on the Accrual Determination Date, as determined by the Calculation Agent. On the applicable Accrual Determination Date, if the 30-Year CMS Rate cannot be determined by reference to Reuters page “ISDAFIX1” (or any successor page), then the Calculation Agent will determine the 30-Year CMS Rate in accordance with the fallbacks set forth under “What is a CMS Rate?” below. |
2-Year CMS Rate: |
With respect to any Accrual Determination Date, the 2-Year U.S. Dollar
Constant Maturity Swap Rate, which is the rate for a U.S. dollar swap with a designated maturity of 2 years that appears on Reuters
page “ISDAFIX1” (or any successor page) at approximately 11:15 a.m., New York City time, on the Accrual Determination
Date, as determined by the Calculation Agent. On the applicable Accrual Determination Date, if the 2-Year CMS Rate cannot be determined
by reference to Reuters page “ISDAFIX1” (or any successor page), then the Calculation Agent will determine the 2-Year
CMS Rate in accordance with the fallbacks set forth under “What is a CMS Rate?” below.
We refer to the 30-Year CMS Rate and the 2-Year CMS Rate each as a
“CMS Rate” and together as the “CMS Rates”. |
Pricing Date: |
March 26, 2015 |
Original Issue Date (Settlement Date): |
On or about March 31, 2015, subject to the Business Day Convention. |
Observation Date*: |
March 26, 2030 |
Maturity Date*: |
March 29, 2030, subject to the Business Day Convention. |
Business Day Convention: |
Following |
Interest Accrual Convention: |
Unadjusted |
JPMorgan Structured Investments — |
PS- 2 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
Day Count Fraction: |
30/360 |
CUSIP: |
48125UCP5 |
* Subject to postponement in the event
of a market disruption event and as described under “Description of Notes—Payment on the Notes—Payment At Maturity”
and “Description of Notes—Payment on the Notes—Postponement of an Observation Date” in the accompanying
product supplement no. 1a-1.
JPMorgan Structured Investments — |
PS- 3 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
Selected Purchase Considerations
| · | LIMITED
PROTECTION AGAINST LOSS - We will pay you your principal back at maturity if the Ending Index Level is not less than the Barrier
Level. If the Ending Index Level is less than the Barrier Level, for every 1% that the Ending Index Level is less than the Initial
Index Level, you will lose an amount equal to 1% of the principal amount of your notes. If the Ending Index Level is less than
the Barrier Level, you will lose at least 50.00% of your principal and may lose your entire principal at maturity. |
| · | RETURN
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. For additional information about the S&P 500®
Index, see the information set forth under “Equity Index Descriptions — The S&P 500® Index”
in the accompanying underlying supplement no. 1a-I. |
| · | PRESERVATION OF CAPITAL UPON EARLY REDEMPTION — Regardless
of the performance of the CMS Rates or the S&P 500® Index, we will pay you at least the principal amount of
your notes upon early redemption. Because the notes are our unsecured and unsubordinated obligations, payment of any amount upon
early redemption is subject to our ability to pay our obligations as they become due. |
| · | PERIODIC INTEREST PAYMENTS — The notes offer periodic interest
payments on each Interest Payment Date. For all Interest Periods, the notes will pay at the applicable variable Interest Rate,
which takes into account the Accrual Provision. The interest payments for all Interest Periods will be affected by both the levels
of the CMS Rates and the official closing level of the S&P 500® Index as described under “Interest Rate”
on the cover of this pricing supplement, but will not reflect the performance of such rates or such Index. In no event will the
Interest Rate during any Interest Period be greater than the applicable Maximum Interest Rate set forth above or less than the
Minimum Interest Rate of 0.00% per annum. The yield on the notes may be less than the overall return you would receive from a conventional
debt security that you could purchase today with the same maturity as the notes. |
| · | POTENTIAL EARLY REDEMPTION BY US AT OUR OPTION — At our
option, we may redeem the notes, in whole but not in part, on each of the Redemption Dates set forth above, commencing on September
30, 2015, at a price equal to 100% of the principal amount being redeemed plus any accrued and unpaid interest, subject to the
Business Day Convention and the Interest Accrual Convention described on the cover of this pricing supplement and in the accompanying
product supplement no. 1a-1. Any accrued and unpaid interest on notes redeemed will be paid to the person who is the holder of
record of such notes at the close of business on the Business Day immediately preceding the applicable Redemption Date. |
| · | TAX TREATMENT— You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 1a-I. The proper U.S.
federal income tax treatment of the notes is uncertain. Based upon our numerical analysis, we intend to treat the notes as “contingent
payment debt instruments” for U.S. federal income tax purposes. In addition, you and we agree to treat the notes as “contingent
payment debt instruments” for U.S. federal income tax purposes. Assuming this characterization is respected, you will generally
be required to accrue and recognize original issue discount (“OID”) as interest income in each year at the “comparable
yield,” as determined by us, even though the actual interest payments made with respect to the notes during a taxable year
may differ from the amount of OID that must be accrued during that taxable year. In addition, solely for purposes of determining
the amount of OID that you will be required to accrue, we are also required to construct a “projected payment schedule”
in respect of the notes representing a series of payments the amount and timing of which would produce a yield to maturity on the
notes equal to the comparable yield. You will be required to make adjustments to the amount of OID you must recognize each taxable
year to reflect the difference, if any, between the actual amount of interest payments made and the projected amount of the interest
payments (as reflected in the projected payment schedule). Under the forgoing rules, you will not be required to separately include
in income the interest payments you receive with respect to the notes. To obtain the comparable yield and the projected payment
schedule in respect of the notes, contact a certified financial analyst at the Global Securities Group desk at (800) 576-3529.
Generally, amounts received at maturity or earlier sale or disposition in excess of your tax basis, if any, will be treated as
additional interest income while any loss will be treated as an ordinary loss to the extent of all previous interest inclusions
with respect to the notes, which will be deductible against other income (e.g., employment and interest income), with the balance
treated as capital loss, the deductibility of which may be subject to limitations. There can be no assurance, however, that
this characterization of the notes will be respected. If the Internal Revenue Service (the “IRS”) were to successfully
assert an alternative characterization of the notes, the timing and character of income, gain or loss recognized with respect to
the notes could significantly differ from that described herein. Prospective purchasers are urged to consult their own tax advisers
regarding the U.S. federal income tax consequences of an investment in the notes. Purchasers who are not initial purchasers
of notes at their issue price on the Original Issue Date should consult their tax advisers with respect to the tax consequences
of an investment in the notes, and the potential application of special rules. |
Non-U.S. Holders should note that
because the United States federal income tax treatment (including the applicability of withholding) of the notes is uncertain,
and although the Company believes it is reasonable to take a position that the notes are properly treated as contingent payment
debt instruments and, therefore, that the interest payments are not subject to U.S. withholding tax (at least if the applicable
IRS Form W-8 is provided), a withholding agent could possibly
JPMorgan Structured Investments — |
PS- 4 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
nonetheless
withhold on these payments (generally at a rate of 30%, subject to the possible reduction or elimination 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).
In the event of any withholding, we will not be required to pay any additional amounts with respect to amounts so withheld. If
you are a Non-U.S. Holder, 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.
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-Tax Consequences
to Non-U.S. Holders” in the accompanying product supplement. 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. The withholding tax described above will not apply to payments of gross proceeds from the sale, exchange or other
disposition of the notes made before January 1, 2017.
Subject to certain assumptions and
representations received from us, the discussion in this section entitled “Tax Treatment”, when read in combination
with the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement, constitutes
the full opinion of Sidley Austin llp regarding the material U.S. federal income
tax treatment of owning and disposing of the notes.
Selected Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 1a-1
dated November 7 , 2014 and 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 to loss
if the Ending Index Level is less than the Barrier Level. For every 1% that the Ending Index Level is less than the Barrier Level,
you will lose an amount equal to 1% of the principal amount of your notes. Accordingly, if the Ending Index Level is less than
the Barrier Level, you will lose at least 50.00% of your principal and may lose your entire principal at maturity. |
| · | THE NOTES ARE NOT ORDINARY DEBT SECURITIES AND ARE SUBJECT TO AN INTEREST
ACCRUAL PROVISION; THE INTEREST RATE ON THE NOTES IS VARIABLE AND WILL NOT EXCEED
THE APPLICABLE MAXIMUM INTEREST RATE AS SET FORTH ABOVE AND MAY BE EQUAL TO 0.00% — The terms of the notes differ from
those of ordinary debt securities in that the rate of interest you will receive is not fixed, but will vary based on both the level
of the S&P 500® Index and whether the Spread is positive, zero or negative over the course of each Interest
Period. For each Interest Period, there is a Maximum Interest Rate per annum equal to the applicable Interest Factor set forth
above on the cover of this pricing supplement. This is because the variable Interest Rate on the notes, while determined by reference
to the Spread and the official closing level of the S&P 500® Index as described on the cover of this pricing
supplement, does not actually pay an amount based directly on such levels. Your return on the notes for any Interest Period will
not exceed the applicable Interest Factor for such Interest Period, regardless of how positive the Spread may be or of any appreciation
in the S&P 500® Index, either of which may be significant. Moreover, each calendar day during an Interest Period
for which the Index Level of the S&P 500® Index is less than the Minimum Index Level or the Spread is less than
0.00% (as determined based on the level of the S&P 500® Index and the Spread on the applicable Accrual Determination
Date) will result in a reduction of the Interest Rate per annum payable for the corresponding Interest Period. If, for an entire
Interest Period, either (i) the Spread is less than 0.00% or (ii) the official closing level of S&P 500® Index
is less than the Minimum Index Level, the Interest Rate for such Interest Period will be equal to 0.00% and you will not receive
any interest payment for such Interest Period. In that event, you will not be compensated for any loss in value due to inflation
and other factors relating to the value of money over time during such period. |
| · | THE NOTES REFERENCE AN EQUITY INDEX AND THE CMS RATES — If,
on any Accrual Determination Date, either (i) the Spread is less than 0.00% or (ii) the Index Level of the S&P 500®
Index is less than the Minimum Index Level, the notes will not accrue interest on that day. If the notes do not satisfy the Accrual
Provision for each calendar day in an Interest Period, the Interest Rate payable on the notes will be equal to 0.00% per annum
for such Interest Period. You should carefully consider the movement, current level and overall trend in equity markets and swap
rates, prior to purchasing these notes. Although the notes do not directly reference the CMS Rates or the level of the S&P
500® Index, the interest, if any, payable on your notes is contingent upon, and related to, each of these levels. |
| · | THE INTEREST RATE ON THE NOTES IS SUBJECT TO A MAXIMUM INTEREST RATE
— The rate of interest payable on the notes is variable; however, it is still subject to a Maximum Interest Rate. The
Interest Rate on the notes will not exceed the applicable Maximum Interest Rate in any Interest Period. Although the notes are
subject to an Accrual Provision, the interest (if any) payable on the notes accrues at a rate based on the applicable Interest
Factor |
JPMorgan Structured Investments — |
PS- 5 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
set forth above, and therefore
the amount of interest payable on the notes remains subject to the Maximum Interest Rate.
| · | You Are Exposed to Performance Risk of
Each THE CMS Rates and the S&P 500® Index
— Your Interest Rate applicable to each Interest Period
is not linked to the aggregate performance of the CMS Rates and the S&P 500® Index. For instance, whether or
not a calendar day is a Variable Day within an Interest Period will be contingent upon the Spread and the performance of the S&P
500® Index as determined on the applicable Accrual Determination Date. Unlike an investment in an instrument with
a return linked to a basket of underlying assets, in which risk is mitigated through diversification among all of the components
of the basket, an investment in the notes will expose you to the risks related to each of the CMS Rates and the S&P 500®
Index. Poor performance of the 30-Year CMS Rate, as compared to the 2-Year CMS Rate (meaning that the Spread could be negative),
or the S&P 500® Index (meaning that it decreases to be less than the Minimum Index Level) during the term of
the notes may negatively affect your return on the notes and will not be offset or mitigated by a positive performance of the other.
Accordingly, your investment is subject to the performance risk of each of the CMS Rates and the S&P 500® Index.
|
| · | THE INTEREST RATE ON THE NOTES MAY BE BELOW
THE RATE OTHERWISE PAYABLE ON SIMILAR VARIABLE RATE notes ISSUED BY US
— The value of the notes will depend on the Interest Rate on the notes, which will be affected by the Spread and the
level of the S&P 500® Index. If the Spread is less than zero or the level of the S&P 500®
Index is less than the Minimum Index Level on any Accrual Determination Date, the Interest Rate on the notes may be less than returns
on similar variable rate notes issued by us that are not linked to the CMS Rates and the S&P 500® Index, or
that are only linked to one of the S&P 500® Index or the Spread. We have no control over any fluctuations in
the CMS Rates or the S&P 500® Index. |
| · | THE RETURN OF ANY PRINCIPAL COMPONENT OF YOUR PAYMENT AT MATURITY
WILL BE DETERMINED BY THE PERFORMANCE OF THE INDEX — If the notes are not called and the Ending Index Level is
less than the Barrier Level, you will lose at least 50.00% of your investment in the notes and may lose all of your investment.
|
| · | THE METHOD OF DETERMINING WHETHER THE ACCRUAL PROVISION HAS BEEN SATISFIED
MAY NOT DIRECTLY CORRELATE TO THE ACTUAL SPREAD OR the ACTUAL LEVEL OF the
S&P 500® Index — The determination of
the Interest Rate per annum payable for any Interest Period will be based on the actual number of days in that Interest Period
on which the Accrual Provision is satisfied, as determined on each Accrual Determination Date. However, we will use the same level
of the Spread and the same Index Level of the S&P 500® Index to determine whether the Accrual Provision is satisfied
for the period commencing on the sixth Business Day prior to but excluding each applicable Interest Payment Date, which period
we refer to as the Exclusion Period. The Spread and the Index Level used will be, respectively, the Spread and the Index Level
of the S&P 500® Index on the first Trading Day immediately preceding the Exclusion Period, regardless of what
the actual Spread or the actual closing level of the S&P 500® Index is for the calendar days in that period
or whether the Accrual Provision could have otherwise been satisfied if actually tested in the Exclusion Period. As a result, the
determination as to whether the Accrual Provision has been satisfied for any Interest Period may not directly correlate to the
actual Spread or actual Index Levels of the S&P 500® Index, which will in turn affect the Interest Rate calculation. |
| · | YOUR RETURN ON THE NOTES IS LIMITED TO THE PRINCIPAL AMOUNT PLUS ACCRUED
INTEREST REGARDLESS OF ANY APPRECIATION IN THE VALUE OF THE INDEX — If the notes are not called and the Ending
Index Level is greater than or equal to the Barrier Level, for each $1,000 principal amount note, you will receive $1,000 at maturity
plus any accrued and unpaid interest, regardless of any appreciation in the value of the Index, which may be significant. In addition,
if the notes are called, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest, regardless
of the appreciation in the value of the Index, which may be significant. Accordingly, the return on the notes may be significantly
less than the return on a direct investment in the Index during the term of the notes. |
| · | LONGER DATED NOTES MAY BE MORE RISKY THAN SHORTER DATED NOTES
— By purchasing a note with a longer tenor, you are more exposed to fluctuations in interest rates than if you purchased
a note with a shorter tenor. Specifically, you may be negatively affected if certain interest rate scenarios occur. The applicable
discount rate, which is the prevailing rate in the market for notes of the same tenor, will likely be higher for notes with longer
tenors than if you had purchased a note with a shorter tenor. Therefore, assuming the notes have not been called and that short
term rates rise, as described above, the market value of a longer dated note will be lower than the market value of a comparable
short term note with similar terms. |
| · | WE MAY CALL YOUR NOTES PRIOR TO THEIR SCHEDULED MATURITY DATE —
We may choose to call the notes early or choose not to call the notes early on any Redemption Date in our sole discretion. If the
notes are called early, you will receive the principal amount of your notes plus accrued and unpaid interest to, but not including
the Redemption Date. The aggregate amount that you will receive through and including the Redemption Date may be less than the
aggregate amount that you would have received had the notes not been called early. If we call the notes early, you will not receive
interest payments after the applicable Redemption 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 redeemed prior to the Maturity Date. We |
JPMorgan Structured Investments — |
PS- 6 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
may
choose to call the notes early, for example, if U.S. interest rates decrease significantly or if volatility of U.S. interest rates
decreases significantly.
| · | NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder
of the notes you will not have voting rights, or rights to receive cash dividends or other distributions, or other rights that
holders of securities composing the S&P 500® Index would have. |
| · | REINVESTMENT RISK — If we redeem the notes, the term
of the notes may be reduced and you will not receive interest payments after the applicable Redemption 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 redeemed prior to the Maturity Date. |
| · | VARIABLE RATE NOTES DIFFER FROM FIXED RATE NOTES — The variable
Interest Rate for all Interest Periods will be determined in part based on the Accrual Provision set forth on the cover of this
pricing supplement, which is contingent upon the Spread and the Index Level of the S&P 500® Index and may be
less than returns otherwise payable on debt securities issued by us with similar maturities. You should consider, among other things,
the overall potential annual percentage rate of interest to maturity of the notes as compared to other investment alternatives. |
| · | MARKET DISRUPTION EVENTS MAY ADVERSELY AFFECT THE RATE AT WHICH THE
NOTES ACCRUE INTEREST — The rate at which the notes accrue
interest for an Interest Period will be based on the Spread and the Index Level of the S&P 500® Index on the
applicable Accrual Determination Date, subject to the Maximum Interest Rate. Notwithstanding anything to the contrary herein or
in the accompanying product supplement no. 1a-I, if a market disruption event with respect to the Index occurs or is continuing
on any Accrual Determination Date, the Accrual Provision will be deemed to have not been satisfied on such Accrual Determination
Date (including any originally scheduled Accrual Determination Date relating to an Exclusion Period). Because your notes will not
accrue interest unless the Accrual Provision is satisfied, if a market disruption event continues for an extended period of time,
the amount of interest that accrues on the notes may be severely limited. |
| · | 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
as well as modeling and structuring the economic terms of the notes, 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 the Notes Generally” in the accompanying
product supplement no. 1a-I for additional information about these risks. |
We are also currently one of the companies
that make up the S&P 500® 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 S&P 500® Index and the notes.
| · | THE INTEREST RATE ON THE NOTES IS BASED, IN PART, ON THE SPREAD, AND
THEREFORE ON THE PERFORMANCE AND RELATIVE PERFORMANCE OF LONGER AND SHORTER TERM INTEREST RATES, WHICH MAY RESULT IN THE APPLICATION
OF THE MINIMUM INTEREST RATE — The Spread is calculated as (a) the 30-Year CMS Rate minus (b) the 2-Year CMS Rate.
The CMS Rates may be influenced by a number of factors, including (but not limited to) monetary policies, fiscal policies, inflation,
general economic conditions and public expectations with respect to such factors. The effect that any single factor may have on
the CMS Rates or may be partially offset by other factors. We cannot predict the factors that may cause the CMS Rates, and consequently
the Spread, to increase or decrease. A negative Spread (indicating that the 30-Year CMS Rate is less than the 2-Year CMS Rate)
on an Accrual Determination Date will cause the Accrual Provision to be not satisfied on that Accrual Determination Date. The amount
of interest you accrue on the notes in any Interest Period may therefore decrease even if either or both of the CMS Rates increase.
Under these circumstances, particularly if short term interest rates rise significantly relative to long term interest rates, the
Interest Rate during any Interest Period may adversely affected and may be equal to 0.00% per annum, and you will not be compensated
for any loss in value due to inflation and other factors relating to the value of money over time during such period. |
| · | 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 |
JPMorgan Structured Investments — |
PS- 7 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
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, and estimated hedging costs, including, but not limited to: |
| · | the performance of the CMS Rates; |
| · | the performance of the Index; |
| · | 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 time to maturity of the notes; |
| · | dividend rates on the equity securities underlying the Index; |
| · | the expected positive or negative correlation between the CMS Rates and
the S&P 500® Index or the expected absence of such correlation; |
| · | interest and yield rates in the market
generally, as well as the volatility of those rates; |
| · | the likelihood, or expectation, that the
notes will be redeemed by us, based on prevailing market interest rates or otherwise; and |
| · | a variety of other economic, financial,
political, regulatory and judicial events. |
JPMorgan Structured Investments — |
PS- 8 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
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.
| · | SECONDARY MARKET PRICES OF THE NOTES ARE SENSITIVE TO BOTH INTEREST
RATES AND THE PERFORMANCE OF THE INDEX — If interest rates
rise generally, the secondary market prices of the notes will be adversely impacted because of the relatively long term of the
notes and the increased probability that that the Interest Rate for the notes will be less than such rates. Additionally,
if the Index Level declines, even if the Index Level has not declined below the Barrier Level, the secondary market prices of the
notes will also be adversely impacted because of the increased probability that the Accrual Provision may not be satisfied over
the remaining term of the notes and the increased probability that you may lose some or all of your principal at maturity.
If both interest rates rise and the Index Level declines, the secondary market prices of the notes may decline more rapidly than
other securities that are only linked to the CMS Rates or the Index, or if the amount payable at maturity was not linked to the
performance of the Index relative to the Barrier Level. |
| · | 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. |
| · | MARKET FACTORS MAY INFLUENCE WHETHER WE EXERCISE OUR RIGHT TO REDEEM
THE NOTES PRIOR TO THEIR SCHEDULED MATURITY — We have the right to redeem the notes prior to the Maturity Date, in whole
but not in part, on the specified Redemption Dates. It is more likely that we will redeem the notes prior to the Maturity Date
if (i) the Spread is greater than or equal to 0.00% and (ii) the Index Level of the S&P 500® Index is greater
than or equal to the Minimum Index Level on the applicable Accrual Determination Date. If the notes are called prior to the Maturity
Date, you may be unable to invest in securities with similar risk and yield as the notes. Your ability to realize a higher than
market yield on the notes is limited by our right to redeem the notes prior to their scheduled maturity, which may adversely affect
the value of the notes in the secondary market, if any. |
| · | The INTEREST RATE will be affected by a
number of factors — The interest rate will depend in part
on the CMS Rates. A number of factors can affect the value of your notes and/or the amount of interest that you will receive, including,
but not limited to: |
| · | changes in, or perceptions, about the future CMS Rates; |
| · | general economic conditions; |
| · | prevailing interest rates; and |
| · | policies of the Federal Reserve Board regarding interest rates. |
These and other factors may have a
negative impact on the payment of interest on the notes and on the value of the notes in the secondary market.
| · | The CMS Rates may be volatile
— The CMS Rates are subject to volatility due to a variety
of factors affecting interest rates generally, including but not limited to: |
| · | sentiment regarding the U.S. and global economies; |
| · | expectation regarding the level of price inflation; |
| · | sentiment regarding credit quality in U.S. and global credit markets; |
| · | central bank policy regarding interest rates; and |
| · | performance of capital markets. |
JPMorgan Structured Investments — |
PS- 9 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
Hypothetical Examples of Calculation of
the Interest Rate on the Notes for an Interest Period
The following examples illustrate how to calculate the Interest
Rate on the notes for four Interest Periods. For purposes of the following examples, we have assumed that the notes are not called
prior to their scheduled Maturity Date, that there are 90 days in the applicable Interest Period and that the Interest Factor is
8.00% per annum, which is Interest Factor for each Interest Period during the first seven years of the notes. The hypothetical
Spread, Index Levels and Interest Rates in the following examples are for illustrative purposes only and may not correspond to
the actual Spread, Index Levels or Interest Rates for any Interest Period applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1: The Spread is greater than or equal to 0.00%
and the Index Level is greater than or equal to the Minimum Index Level on 70 calendar days during the Interest Period. Because
the Accrual Provision is satisfied for 70 calendar days and the Interest Factor for the Interest Period is 8.00% per annum, the
Interest Rate for the Interest Period is 6.22% per annum, calculated as follows:
8.00% × (70 / 90) = 6.22% per annum
Example 2: The Spread is greater than or equal to 0.00%
and the Index Level is greater than or equal to the Minimum Index Level on 50 calendar days during the Interest Period. Because
the Accrual Provision is satisfied for 50 calendar days and the Interest Factor for the Interest Period is 8.00% per annum, the
Interest Rate for the Interest Period is 4.44% per annum, calculated as follows:
8.00% × (50 / 90) = 4.44% per annum
Example 3: The Spread is greater than or equal to 0.00%
and the Index Level is greater than or equal to the Minimum Index Level on 90 calendar days during the Interest Period. Because
the Accrual Provision is satisfied for all 90 calendar days and the Interest Factor for the Interest Period is 8.00% per annum,
the Interest Rate for the Interest Period is 8.00% per annum, calculated as follows:
8.00% × (90 / 90) = 8.00% per annum
Example 4: The Spread is greater than or equal to 0.00%,
but the Index Level is less than the Minimum Index Level on each calendar day during such Interest Period. Regardless of the
Interest Factor, because the Accrual Provision is not satisfied on any calendar day, the Interest Rate for the Interest Period
is 0.00% per annum.
Hypothetical Examples of Amounts Payable
at Maturity
The following examples illustrate how to calculate the payment
at maturity. For purposes of the following examples, we have assumed an Initial Index Level of 2,000 and a Barrier Level of 1,000,
and that the notes are not called prior to their scheduled Maturity Date. Each hypothetical payment at maturity set forth below
is for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. In addition,
the effect of any accrued and unpaid interest has been excluded.
Example 1: The level of the Index increases from the Initial
Index Level of 2,000 to an Ending Index Level of 2,500. Because the Ending Index Level of 2,500 is greater than the Initial
Index Level of 2,000, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The level of the Index decreases from the Initial
Index Level of 2,000 to an Ending Index Level of 1,400. Although the Index Return is negative, because the Ending Index Level
of 1,400 is not less than the Barrier Level of 1,000, the investor receives a payment at maturity of $1,000 per $1,000 principal
amount note.
Example 3: The level of the Index decreases from the Initial
Index Level of 2,000 to an Ending Index Level of 900. Because the Index Return is negative and the Ending Index Level of 900
is less than the Barrier Level of 1,000, the investor receives a payment at maturity of $450.00 per $1,000 principal amount note,
calculated as follows:
$1,000 + ($1,000 × -55.00%) = $450.00
Example 4: The level of the Index decreases from the Initial
Index Level of 2,000 to an Ending Index Level of 0. Because the Index Return is negative and the Ending Index Level of 0 is
less than the Barrier Level of 1,000, the investor receives a payment at maturity of $0.00 per $1,000 principal amount note, calculated
as follows:
$1,000 + ($1,000 × -100%) = $0.00
The hypothetical payments on the notes shown above apply
only if the notes are not called prior to maturity and 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 payments shown above would likely be lower.
JPMorgan Structured Investments — |
PS- 10 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
What is a CMS Rate?
A CMS Rate is a rate for a U.S. dollar swap with a Designated
Maturity and which appears on Reuters page “ISDAFIX1” (or any successor page) at approximately 11:15 a.m., New York
City time, on each Accrual Determination Date, as determined by the Calculation Agent.
On each Accrual Determination Date, if the 30-Year CMS Rate
or the 2-Year CMS Rate cannot be determined by reference to Reuters page “ISDAFIX1” (or any successor page), then the
Calculation Agent will determine the 30-Year CMS Rate or the 2-Year CMS Rate, as applicable, for such day on the basis of the mid-market
semi-annual swap rate quotations to the Calculation Agent provided by five leading swap dealers in the New York City interbank
market (the “Reference Banks”) at approximately 11:15 a.m., New York City time, on such Accrual Determination Date,
and, for this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed
leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate swap transaction with a term equal
to the applicable 30 year or 2 year maturity commencing on such Accrual Determination Date and in an amount, as determined by the
Calculation Agent, that is representative for a single transaction in the relevant market at the relevant time (the “Representative
Amount”) with an acknowledged dealer of good credit in the swap market, where the floating leg, calculated on an actual/360
day count basis, is equivalent to USD LIBOR with a designated maturity of three months. The Calculation Agent will request the
principal New York City office of each of the Reference Banks to provide a quotation of its rate. If at least three quotations
are provided, the rate for that day will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the
event of equality, one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest). If fewer than
three quotations are provided as requested, the rate will be determined by the Calculation Agent in good faith and in a commercially
reasonable manner.
The “Designated Maturity” is 2 years or 30 years,
as the case may be, depending on whether the 2-Year CMS Rate or the 30-Year CMS Rate is being calculated.
What is 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. For additional information on the S&P 500®
Index, see the information set forth under “Equity Index Descriptions — The S&P 500® Index”
in the accompanying underlying supplement no. 1a-I.
Historical Information
Historical Information
The following graphs set forth the weekly historical
performance of the CMS Rates and the Spread from January 8, 2010 through March 20, 2015. We obtained the rates used to construct
the graph below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of the
information obtained from Bloomberg Financial Markets.
The 30-Year CMS Rate, as it appeared on Reuters page
“ISDAFIX1” on March 26, 2015 was 2.407%. The 2-Year CMS Rate, as it appeared on Reuters page “ISDAFIX1”
on March 26, 2015 was 0.856%. The Spread on March 26, 2015 was 1.551%.
The CMS Rates and the Spread data in the following
graphs were obtained from Bloomberg Financial Markets at approximately 3:30 p.m. on the relevant dates and may not be indicative
of the Spread, which is determined on any date of determination by reference to the CMS Rates published on Reuters page "ISDAFIX1"
at approximately 11:15 a.m., New York City time. The historical CMS Rates and the Spread should not be taken as an indication
of future performance, and no assurance can be given as to the CMS Rates or the Spread on any Accrual Determination Date. We cannot
give you assurance that the performance of the CMS Rates and the Spread will result in any positive interest payments in any Interest
Period subsequent to the final Initial Interest Period.
JPMorgan Structured Investments — |
PS- 11 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
The following graph sets forth the weekly historical performance
of the S&P 500® Index for the period from January 8, 2010 through March 20, 2015. The Index closing level on
March 26, 2015 was 2,056.15.
We obtained the Index Levels used to construct the graph
below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of the information
obtained from Bloomberg Financial Markets. The historical levels of the Index should not be taken as an indication of future performance,
and no assurance can be given as to the Index Level on any of the Accrual Determination Dates. We cannot give you assurance that
the performance of the Index will result in any positive interest payments or return of principal at maturity.
JPMorgan Structured Investments — |
PS- 12 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
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JPMS’s Estimated Value of the Notes
JPMS’s estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using our internal funding rate for structured debt described below,
and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value does not represent
a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal
funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.” The value of the
derivative or derivatives underlying the economic terms of the notes is derived from JPMS’s internal pricing models. These
models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs,
some of which are market-observable, and which can include volatility, interest rates and other factors, as well as assumptions
about future market events and/or environments. Accordingly, JPMS’s estimated value of the notes is determined when the terms
of the notes are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected
Risk Considerations — JPMS’s Estimated Value Does Not Represent Future Values of the Notes and May Differ from Others’
Estimates” in this pricing supplement.
JPMS’s estimated value of the notes is lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the
original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits realized in hedging our obligations under the notes may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.” See
“Selected Risk Considerations — JPMS’s Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes Will Be Impacted
by Many Economic and Market Factors” in this pricing supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your
notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of
six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes,
whether our affiliates 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” in this pricing supplement.
Supplemental Use of Proceeds
The net proceeds we receive from the sale of the notes will
be used for general corporate purposes and, in part, by us or one or more of our affiliates in connection with hedging our obligations
under the notes.
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Selected Purchase Considerations”
and “Hypothetical Examples of Calculation of the Interest Rate on the Notes for an Interest Period” in this pricing
supplement for a description of the risk-return profile and market exposure payable under 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.
For purposes of the notes offered by this pricing supplement,
the first and second paragraph of the section entitled “Use of Proceeds and Hedging” on page PS-34 of the accompanying
product supplement no. 1a-I are deemed deleted in their entirety. Please refer instead to the discussion set forth above.
JPMorgan Structured Investments — |
PS- 13 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
|
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.
JPMorgan Structured Investments — |
PS- 14 |
Callable Range Accrual Notes linked to the 30-Year U.S. Dollar Constant Maturity Swap Rate, the 2-Year U.S. Dollar Constant Maturity Swap Rate and the S&P 500® Index due March 29, 2030 |
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