PRICING SUPPLEMENT NO. 796
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-199966
Dated May 27, 2015
|
|
JPMorgan Chase & Co. Trigger Phoenix Autocallable Optimization Securities
$1,292,300 Linked to the common stock of International Paper Company due on May 29, 2020
$2,093,690 Linked to the Class A common stock of Under Armour, Inc. due on May 29, 2020
$3,266,000 Linked to the common stock of Yahoo! Inc. due on May 29, 2020
|
Investment Description |
Trigger Phoenix Autocallable Optimization Securities are unsecured
and unsubordinated debt securities issued by JPMorgan Chase & Co.
("JPMorgan Chase") (each, a "Security" and collectively, the
"Securities") linked to the performance of the common stock of a
specific company (the "Underlying Stock"). If the closing price of
one share of the applicable Underlying Stock on the applicable
monthly Observation Date is equal to or greater than the applicable
Coupon Barrier, JPMorgan Chase will make a Contingent Coupon payment
with respect to that Observation Date. Otherwise, no coupon will be
payable with respect to that Observation Date. JPMorgan Chase will
automatically call the Securities early if the closing price of one
share of the applicable Underlying Stock on any monthly Observation
Date (after an initial one-year non-call period) is equal to or
greater than the applicable Initial Price. If the Securities are
called, JPMorgan Chase will pay the principal amount plus the
applicable Contingent Coupon for that Observation Date and no further
amounts will be owed to you. If the Securities are not called prior
to maturity and the applicable Final Price is equal to or greater
than the applicable Trigger Price (which is the same price as the
applicable Coupon Barrier), JPMorgan Chase will make a cash payment
at maturity equal to the principal amount of your Securities, in
addition to the applicable Contingent Coupon. If the applicable Final
Price is less than the applicable Trigger Price, JPMorgan Chase will
pay you less than the full principal amount, if anything, at
maturity, resulting in a loss on your principal amount that is
proportionate to the decline in the price of one share of the
applicable Underlying Stock from the Trade Date to the Final
Valuation Date. The closing price of the applicable Underlying Stock
is subject to adjustments, in the sole discretion of the calculation
agent, in the case of certain corporate events described in the
accompanying product supplement no. UBS-1a-I under "The Underlyings
Underlying Stocks Anti-Dilution Adjustments" and "The Underlyings
Underlying Stocks Reorganization Events." Generally, a higher contingent coupon rate on the Securities reflects
a greater risk of loss. Investing in the Securities involves significant risks. You may lose
some or all of your principal amount. The contingent repayment of
principal applies only if you hold the Securities to maturity. Any
payment on the Securities, including any repayment of principal, is
subject to the creditworthiness of JPMorgan Chase. If JPMorgan Chase
were to default on its payment obligations, you may not receive any
amounts owed to you under the Securities and you could lose your
entire investment. |
|
|
|
|
|
|
Features |
|
Key Dates |
Contingent Repayment of Principal Amount at Maturity: If by maturity the Securities have not been called and the price of
one share of the applicable Underlying Stock closes at or above the
applicable Trigger Price on the Final Valuation Date, JPMorgan Chase
will pay you the principal amount per Security at maturity. If the
price of one share of the applicable Underlying Stock closes below
the applicable Trigger Price on the Final Valuation Date, JPMorgan
Chase will repay less than the principal amount, if anything, at
maturity, resulting in a loss on your principal amount that is
proportionate to the decline in the price of one share of the
applicable Underlying Stock from the Trade Date to the Final
Valuation Date. The contingent repayment of principal applies only if
you hold the Securities until maturity. Any payment on the
Securities, including any repayment of principal, is subject to the
creditworthiness of JPMorgan Chase.
|
|
Trade Date |
May 27, 2015 |
Original Issue Date (Settlement Date) |
May 29, 2015 |
Observation Dates1 |
Monthly (callable beginning May 26, 2016)(see page 6)
|
Final Valuation Date1 |
May 22, 2020 |
Maturity Date1 |
May 29, 2020 |
1 |
Subject to postponement in the event of a market disruption event and
as described under "General Terms of Notes Postponement of a
Payment Date" and "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)" in the
accompanying product supplement no. UBS-1a-I
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT
INSTRUMENTS. JPMORGAN CHASE IS NOT NECESSARILY OBLIGATED TO REPAY THE
FULL PRINCIPAL AMOUNT OF THE SECURITIES AT MATURITY, AND THE
SECURITIES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE APPLICABLE
UNDERLYING STOCK. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK
INHERENT IN PURCHASING A DEBT OBLIGATION OF JPMORGAN CHASE. YOU
SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE
NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN
THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER "KEY RISKS"
BEGINNING ON PAGE 6 AND UNDER "RISK FACTORS" BEGINNING ON PAGE PS-6
OF THE ACCOMPANYING PRODUCT SUPPLEMENT NO. UBS-1a-I BEFORE PURCHASING
ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS
AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND
THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE SOME OR ALL OF YOUR
INITIAL INVESTMENT IN THE SECURITIES. THE SECURITIES WILL NOT BE
LISTED ON ANY SECURITIES EXCHANGE.
|
Security Offering |
This pricing supplement relates to three (3) separate Security
offerings. Each issuance of offered Securities is linked to one, and
only one, Underlying Stock. You may participate in any of the three
(3) Security offerings or, at your election, in two or more of the
offerings. This pricing supplement does not, however, allow you to
purchase a Security linked to a basket of some or all of the
Underlying Stocks described below. The Securities are offered at a
minimum investment of $1,000 in denominations of $10 and integral
multiples thereof. Each of the three (3) Security offerings is linked
to the common stock of a different company, and each of the three (3)
Security offerings has its own Contingent Coupon Rate, Initial Price,
Trigger Price and Coupon Barrier. The performance of each Security offering will not depend on the
performance of any other Security offering. |
|
|
|
|
|
|
|
Underlying Stock |
Contingent Coupon Rate |
Initial Price |
Trigger Price |
Coupon Barrier |
CUSIP |
ISIN |
Common stock of International Paper Company (Bloomberg ticker: IP)
|
7.00% per annum |
$52.91 |
$41.75, which is 78.90% of Initial Price
|
$41.75, which is 78.90% of Initial Price
|
48127X682 |
US48127X6821 |
Class A common stock of Under Armour, Inc. (Bloomberg ticker: UA)
|
8.00% per annum |
$76.92 |
$57.81, which is 75.15% of Initial Price
|
$57.81, which is 75.15% of Initial Price
|
48127X674 |
US48127X6748 |
Common stock of Yahoo! Inc. (Bloomberg ticker: YHOO)
|
7.00% per annum |
$43.38 |
$32.77, which is 75.55% of Initial Price
|
$32.77, which is 75.55% of Initial Price
|
48127X666 |
US48127X6664 |
See "Additional Information about JPMorgan Chase & Co. and the
Securities" in this pricing supplement. Each Security we are offering
will have the terms specified in the prospectus and the prospectus
supplement, each dated November 7, 2014, product supplement no. UBS-1a-I dated November 7, 2014 and this pricing supplement. The terms of the Securities as set forth in this pricing supplement,
to the extent they differ or conflict with those set forth in product
supplement no. UBS-1a-I, will supersede the terms set forth in
product supplement no. UBS-1a-I.
Neither the Securities and Exchange Commission (the "SEC") nor any
state securities commission has approved or disapproved of the
Securities or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying prospectus, prospectus
supplement and product supplement no. UBS-1a-I. Any representation to
the contrary is a criminal offense.
|
|
|
|
|
Price to Public(1) |
Fees and Commissions(2) |
Proceeds to Issuer |
|
|
|
|
|
|
|
Offering of Securities |
Total |
Per Security |
Total |
Per Security |
Total |
Per Security |
|
|
|
|
|
|
|
Securities linked to the common stock of International Paper Company |
$1,292,300 |
$10 |
$32,307.50 |
$0.25 |
$1,259,992.50 |
$9.75 |
Securities linked to the Class A common stock of Under Armour, Inc. |
$2,093,690 |
$10 |
$52,342.25 |
$0.25 |
$2,041,347.75 |
$9.75 |
Securities linked to the common stock of Yahoo! Inc. |
$3,266,000 |
$10 |
$81,650 |
$0.25 |
$3,184,350 |
$9.75 |
|
|
1 |
See "Supplemental Use of Proceeds" in this pricing supplement for
information about the components of the price to public of the
Securities
|
2 |
UBS Financial Services Inc., which we refer to as UBS, will receive
selling commissions from us of $0.25 per $10 principal amount
Security. See "Plan of Distribution (Conflicts of Interest)"
beginning on page PS-87 of the accompanying product supplement no.
UBS-1a-I, as supplemented by "Supplemental Plan of Distribution" in
this pricing supplement.
|
The estimated value of the Securities as determined by J.P. Morgan
Securities LLC, which we refer to as JPMS, when the terms of the
Securities were set, was $9.602, $9.613, and $9.612 per $10 principal
amount Security linked to the common stock of International Paper
Company, linked to the Class A common stock of Under Armour, Inc. and
linked to the common stock of Yahoo! Inc., respectively. See "JPMS's Estimated Value of the Securities" in this pricing
supplement for additional information.
The Securities 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.