CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$450,000 |
$52.29 |
Registration Statement No.
333-199966; Rule 424(b)(2)
July
1, 2015
JPMorgan Chase & Co.
Structured Investments
$450,000
Callable Contingent Interest Accrual Notes Linked
to the
Russell 2000® Index due July 7, 2025
| · | The notes are designed for investors who seek variable monthly Contingent Interest Payments determined by reference to the
closing level of the Russell 2000® Index on each scheduled trading day during the monthly Accrual Determination
Periods. Interest will accrue on the notes on a scheduled trading day during an Accrual Determination Period only if the closing
level of the Russell 2000® Index on that scheduled trading day is greater than or equal to 70.00% of its Initial
Value, which we refer to as an Interest Barrier. |
| · | The notes may be redeemed early, in whole but not in part, at our option on any of the Periodic Final Accrual Determination
Dates (other than the first eleven Periodic Final Accrual Determination Dates and the final Periodic Final Accrual Determination
Date). The earliest date on which the notes may be redeemed early is July 5, 2016. |
| · | Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Accrual Determination Periods. |
| · | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments. |
| · | 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 $1,000 and integral multiples thereof |
| · | The notes priced on July 1, 2015 and are expected to settle on or about July 7, 2015. |
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-I, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement no. 1a-I and “Selected Risk Considerations” beginning on page
PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$42 |
$958 |
Total |
$450,000 |
$18,900 |
$431,100 |
(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 $42.00 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 $938.20 per $1,000 principal amount note. See “JPMS’s Estimated Value of
the notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement no. 933 to product supplement no. 4a-I dated November 7, 2014, underlying supplement no.
1a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014 |
Key
Terms
Index: The
Russell 2000® Index (Bloomberg ticker: RTY)
Contingent Interest Payments:
Notwithstanding anything to the contrary in the accompanying
product supplement, if the notes have not been previously redeemed early and the closing level of the Index 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:
$1,000 × n/252 × Contingent
Interest Rate
where “n” = the aggregate number of scheduled trading
days in the applicable Accrual Determination Period on which the closing level of the Index is greater than or equal to the Interest
Barrier.
If, on each scheduled trading day of an Accrual Determination
Period, the closing level of the Index is less than the Interest Barrier, you will not receive any Contingent Interest Payment
for that Accrual Determination Period.
Contingent
Interest Rate: 7.50% per annum. The Contingent Interest Rate is reflected
in the monthly Contingent Interest Payment calculation.
Interest Barrier/Trigger
Value: 879.4779, which is 70.00% of the Initial Value
Pricing
Date: July 1, 2015
Original Issue
Date (Settlement Date): On or about July 7, 2015
Accrual Determination
Period: The period from, but excluding, the Pricing Date to, and including, the first
Periodic Final Accrual Determination Date and each successive period from, but excluding, a Periodic Final Accrual Determination
Date to, and including, the next succeeding Periodic Final Accrual Determination Date
Periodic Final
Accrual Determination Dates*: As specified under “Periodic Final Accrual Determination
Dates and Interest Payment Dates” below.
Interest Payment
Dates*: Interest on the notes will be payable monthly in arrears on the Interest Payment
Date immediately following the applicable Periodic Final Accrual Determination Date, commencing July 2, 2015, up to and including
the Interest Payment Date corresponding to the Maturity Date, or, if the notes are redeemed prior to the Maturity Date, the applicable
Interest Payment Date on which the notes are redeemed early. The Interest Payment Dates are specified under “Periodic Final
Accrual Determination Dates and Interest Payment Dates” below.
Maturity Date*:
July 7, 2025
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to 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 |
Early Redemption:
We, at our election, may redeem the notes early, in whole
but not in part, on any of the Interest Payment Dates (other than the first eleven Interest Payment Dates and the final Interest
Payment Date) at a price, for each $1,000 principal amount note, equal to $1,000 plus any Contingent Interest Payment payable
on the Interest Payment Date. If we intend to redeem your notes early, we will deliver notice to The Depository Trust Company,
or DTC, at least five business days before the applicable Interest Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value
is greater than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) any Contingent Interest Payment payable at maturity.
If the notes have not been redeemed early and the Final Value
is less than the Trigger Value, your payment at maturity per $1,000 principal amount note, in addition to any Contingent Interest
Payment payable at maturity, will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been redeemed early and the Final Value
is less than the Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your
principal amount at maturity.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial Value:
The closing level of the Index on the Pricing Date, which was 1,256.397
Final Value:
The closing level of the Index on the last Periodic Final Accrual Determination
Date |
PS-1 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
Periodic
Final Accrual Determination Dates and Interest Payment Dates
Periodic Final Accrual Determination Dates* |
Interest Payment Dates* |
August 3, 2015 |
August 10, 2015 |
September 2, 2015 |
September 10, 2015 |
October 2, 2015 |
October 9, 2015 |
November 2, 2015 |
November 9, 2015 |
December 2, 2015 |
December 9, 2015 |
January 4, 2016 |
January 11, 2016 |
February 2, 2016 |
February 9, 2016 |
March 2, 2016 |
March 9, 2016 |
April 4, 2016 |
April 11, 2016 |
May 2, 2016 |
May 9, 2016 |
June 2, 2016 |
June 9, 2016 |
July 5, 2016 |
July 12, 2016 |
August 2, 2016 |
August 9, 2016 |
September 2, 2016 |
September 12, 2016 |
October 3, 2016 |
October 11, 2016 |
November 2, 2016 |
November 9, 2016 |
December 2, 2016 |
December 9, 2016 |
January 3, 2017 |
January 10, 2017 |
February 2, 2017 |
February 9, 2017 |
March 2, 2017 |
March 9, 2017 |
April 3, 2017 |
April 10, 2017 |
May 2, 2017 |
May 9, 2017 |
June 2, 2017 |
June 9, 2017 |
July 3, 2017 |
July 11, 2017 |
August 2, 2017 |
August 9, 2017 |
September 5, 2017 |
September 12, 2017 |
October 2, 2017 |
October 10, 2017 |
November 2, 2017 |
November 9, 2017 |
December 4, 2017 |
December 11, 2017 |
January 2, 2018 |
January 9, 2018 |
February 2, 2018 |
February 9, 2018 |
March 2, 2018 |
March 9, 2018 |
April 2, 2018 |
April 9, 2018 |
May 2, 2018 |
May 9, 2018 |
June 4, 2018 |
June 11, 2018 |
July 2, 2018 |
July 10, 2018 |
August 2, 2018 |
August 9, 2018 |
September 4, 2018 |
September 11, 2018 |
October 2, 2018 |
October 10, 2018 |
November 2, 2018 |
November 9, 2018 |
December 3, 2018 |
December 10, 2018 |
January 2, 2019 |
January 9, 2019 |
February 4, 2019 |
February 11, 2019 |
March 4, 2019 |
March 11, 2019 |
PS-2 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
Periodic Final Accrual Determination Dates* |
Interest Payment Dates* |
April 2, 2019 |
April 9, 2019 |
May 2, 2019 |
May 9, 2019 |
June 3, 2019 |
June 10, 2019 |
July 2, 2019 |
July 10, 2019 |
August 2, 2019 |
August 9, 2019 |
September 3, 2019 |
September 10, 2019 |
October 2, 2019 |
October 9, 2019 |
November 4, 2019 |
November 12, 2019 |
December 2, 2019 |
December 9, 2019 |
January 2, 2020 |
January 9, 2020 |
February 3, 2020 |
February 10, 2020 |
March 2, 2020 |
March 9, 2020 |
April 2, 2020 |
April 9, 2020 |
May 4, 2020 |
May 11, 2020 |
June 2, 2020 |
June 9, 2020 |
July 2, 2020 |
July 10, 2020 |
August 3, 2020 |
August 10, 2020 |
September 2, 2020 |
September 10, 2020 |
October 2, 2020 |
October 9, 2020 |
November 2, 2020 |
November 9, 2020 |
December 2, 2020 |
December 9, 2020 |
January 4, 2021 |
January 11, 2021 |
February 2, 2021 |
February 9, 2021 |
March 2, 2021 |
March 9, 2021 |
April 5, 2021 |
April 12, 2021 |
May 3, 2021 |
May 10, 2021 |
June 2, 2021 |
June 9, 2021 |
July 2, 2021 |
July 12, 2021 |
August 2, 2021 |
August 9, 2021 |
September 2, 2021 |
September 10, 2021 |
October 4, 2021 |
October 12, 2021 |
November 2, 2021 |
November 9, 2021 |
December 2, 2021 |
December 9, 2021 |
January 3, 2022 |
January 10, 2022 |
February 2, 2022 |
February 9, 2022 |
March 2, 2022 |
March 9, 2022 |
April 4, 2022 |
April 11, 2022 |
May 2, 2022 |
May 9, 2022 |
June 2, 2022 |
June 9, 2022 |
July 5, 2022 |
July 12, 2022 |
August 2, 2022 |
August 9, 2022 |
September 2, 2022 |
September 12, 2022 |
October 3, 2022 |
October 11, 2022 |
November 2, 2022 |
November 9, 2022 |
December 2, 2022 |
December 9, 2022 |
January 3, 2023 |
January 10, 2023 |
PS-3 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
Periodic Final Accrual Determination Dates* |
Interest Payment Dates* |
February 2, 2023 |
February 9, 2023 |
March 2, 2023 |
March 9, 2023 |
April 3, 2023 |
April 11, 2023 |
May 2, 2023 |
May 9, 2023 |
June 2, 2023 |
June 9, 2023 |
July 3, 2023 |
July 11, 2023 |
August 2, 2023 |
August 9, 2023 |
September 5, 2023 |
September 12, 2023 |
October 2, 2023 |
October 10, 2023 |
November 2, 2023 |
November 9, 2023 |
December 4, 2023 |
December 11, 2023 |
January 2, 2024 |
January 9, 2024 |
February 2, 2024 |
February 9, 2024 |
March 4, 2024 |
March 11, 2024 |
April 2, 2024 |
April 9, 2024 |
May 2, 2024 |
May 9, 2024 |
June 3, 2024 |
June 10, 2024 |
July 2, 2024 |
July 10, 2024 |
August 2, 2024 |
August 9, 2024 |
September 3, 2024 |
September 10, 2024 |
October 2, 2024 |
October 9, 2024 |
November 4, 2024 |
November 12, 2024 |
December 2, 2024 |
December 9, 2024 |
January 2, 2025 |
January 9, 2025 |
February 3, 2025 |
February 10, 2025 |
March 3, 2025 |
March 10, 2025 |
April 2, 2025 |
April 9, 2025 |
May 2, 2025 |
May 9, 2025 |
June 2, 2025 |
June 9, 2025 |
July 1, 2025 |
July 7, 2025 |
* Subject
to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to 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
Supplemental Terms of the Notes
For purposes
of the notes offered by this pricing supplement:
(a) for purposes of determining “n” as set forth under
“Key Terms — Contingent Interest Payments” in this pricing supplement, each scheduled trading day in an Accrual
Determination Period is a Determination Date (as defined in the accompanying product supplement) and will be subject to postponement
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)” in the accompanying product supplement;
(b) notwithstanding anything to the contrary in the accompanying
product supplement, the amount of each Contingent Interest Payment will be calculated as set forth under “Key Terms —
Contingent Interest Payments” in this pricing supplement and not according to the formula set forth under “Description
of Notes — Payments on the Notes — Interest Payments” in the accompanying product supplement; and
PS-4 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
(c) notwithstanding anything to the contrary in the accompanying
product supplement, in case an event of default with respect to the notes shall have occurred and be continuing, any amount payable
as described under the second paragraph of “General Terms of Notes — Payment upon an Event of Default” will include
any final Contingent Interest Payment calculated as set forth under “Key Terms — Contingent Interest Payments”
in this pricing supplement as if the date of acceleration were (a) the final scheduled trading day of the relevant Accrual Determination
Period and (b) the Final Disrupted Determination Date (as defined in the accompanying product supplement) for the final scheduled
trading day of the relevant Accrual Determination Period (if the date of acceleration is a Disrupted Day (as defined in the accompanying
product supplement)).
PS-5 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
How the Notes Work
Payment in Connection with the First Eleven
Interest Payment Dates
Payments in Connection with Interest Payment
Dates (other than the First Eleven and Final Interest Payment Dates)
Payment at Maturity If the Notes Have Not
Been Redeemed Early
PS-6 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
Hypothetical
Contingent Interest Payment for an Accrual Determination Period
The following examples illustrate how to calculate
the Contingent Interest Payment for a hypothetical Accrual Determination Period. The hypothetical payments set forth below assume
the following:
| · | the notes have not been redeemed early; |
| · | there are 21 scheduled trading days in the applicable Accrual Determination
Period; and |
| · | a Contingent Interest Rate of 7.50% per annum. |
Each hypothetical payment set forth below is for
illustrative purposes only and may not be the actual payment for any Accrual Determination 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 closing level of
the Index is greater than or equal to the Interest Barrier on 14 scheduled trading days during the Accrual Determination Period.
In this case, the Contingent Interest Payment
for the Accrual Determination Period is $4.17, calculated as follows:
$1,000 × (14/252) ×
7.50% = $4.17
Example 2 — The closing level of
the Index is greater than or equal to the Interest Barrier on 7 scheduled trading days during the Accrual Determination Period.
In this case, the Contingent Interest Payment
for the Accrual Determination Period is $2.08, calculated as follows:
$1,000 × (7/252) ×
7.50% = $2.08
Example 3 — The closing level of
the Index is less than the Interest Barrier on each scheduled trading day during the Accrual Determination Period.
In this case, no Contingent Interest Payment will
be made for the Accrual Determination Period.
PS-7 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
Hypothetical Payment at Maturity
The following table and examples illustrate the
hypothetical payment at maturity. The hypothetical payments set forth below assume the following:
| · | the notes have not been redeemed early; |
| · | an Initial Value of 100.00; and |
| · | an Interest/Trigger Barrier of 70.00 (equal to 70.00% of
the hypothetical Initial Value). |
The hypothetical Initial Value of 100.00 has
been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing
level of the Index on the Pricing Date and is specified under “Key Terms – Initial Value” in this pricing supplement.
For historical data regarding the actual closing levels of the Index, please see the historical information set forth under “The
Index” in this pricing supplement.
Each hypothetical total return or hypothetical
payment at maturity set forth below does not reflect any Contingent Interest Payments that may be payable, is for illustrative
purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers
appearing in the following table and graph have been rounded for ease of analysis.
Final Value |
Index Return |
Payment at Maturity |
200.00 |
100.00% |
$1,000.00 |
190.00 |
90.00% |
$1,000.00 |
180.00 |
80.00% |
$1,000.00 |
165.00 |
65.00% |
$1,000.00 |
150.00 |
50.00% |
$1,000.00 |
140.00 |
40.00% |
$1,000.00 |
130.00 |
30.00% |
$1,000.00 |
120.00 |
20.00% |
$1,000.00 |
110.00 |
10.00% |
$1,000.00 |
105.00 |
5.00% |
$1,000.00 |
102.50 |
2.50% |
$1,000.00 |
100.00 |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
$1,000.00 |
90.00 |
-10.00% |
$1,000.00 |
80.00 |
-20.00% |
$1,000.00 |
70.00 |
-30.00% |
$1,000.00 |
69.99 |
-30.01% |
$699.90 |
65.00 |
-35.00% |
$650.00 |
50.00 |
-50.00% |
$500.00 |
40.00 |
-60.00% |
$400.00 |
30.00 |
-70.00% |
$300.00 |
20.00 |
-80.00% |
$200.00 |
10.00 |
-90.00% |
$100.00 |
0.00 |
-100.00% |
$0.00 |
Par Scenario:
If the notes have not been redeemed early and
the Final Value is greater than or equal to the Trigger Value, investors will receive at maturity the principal amount of their
notes.
Downside Scenario:
If the notes have not been redeemed early and
the Final Value is less than the Trigger Value, investors will lose 1% of the principal amount of their notes for every 1% that
the Final Value is less than the Initial Value.
| · | For example, if the closing level of the Index declines 60.00%, investors
will lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
PS-8 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return
of principal. If the notes have not been redeemed early and the Final Value is less than the Trigger Value, you will lose 1% of
the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances,
you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | THE NOTES DO NOT PROVIDE FOR REGULAR INTEREST PAYMENTS 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 Index. The amount of interest, if any, you will receive with respect to each Accrual Determination Period
will depend on the number of scheduled trading days during the relevant Accrual Determination Period on which the closing level
of the Index is greater than or equal to the Interest Barrier.
Interest
will accrue on the notes on a scheduled trading day during an Accrual Determination Period only if the closing level of the Index
on that scheduled trading day is greater than or equal to the Interest Barrier. If, on each scheduled trading day of an Accrual
Determination Period, the closing level of the Index is less than the Interest Barrier, you will not receive any Contingent Interest
Payment for that Accrual Determination Period. If, on each scheduled trading day of each Accrual Determination Period, the closing
level of the Index is less than the Interest Barrier, you will not receive any Contingent Interest Payment on the notes.
If
you do not earn sufficient Contingent Interest Payments over the term of the notes, the overall return on the notes may be less
than the amount that would be paid on a conventional debt security issued by us with a comparable maturity.
| · | CREDIT RISK OF JPMORGAN CHASE & CO. — |
Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or
credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If
we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your
entire investment.
| · | THE AMOUNT OF ANY CONTINGENT INTEREST PAYMENT IS BASED ON THE CLOSING LEVEL OF THE INDEX, WHICH
MAY RESULT IN AN EFFECTIVE INTEREST RATE OF ZERO — |
Although the Contingent Interest Rate
is a fixed rate, the effective rate of interest paid by us for each Accrual Determination Period is not fixed. For every scheduled
trading day during any Accrual Determination Period on which the closing level of the Index is less than the Interest Barrier,
the amount of the Contingent Interest Payment for that Accrual Determination Period will be reduced. The amount of interest that
accrues on the notes in any Accrual Determination Period may decrease even if the Index appreciates. If, on each scheduled trading
day of an Accrual Determination Period, the closing level of the Index is less than the Interest Barrier, the effective interest
rate for that Accrual Determination Period would be zero. 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 that period. You should consider, among other things,
the overall effective annual percentage rate of interest to maturity as compared to other investment alternatives.
| · | THE AMOUNT OF ANY CONTINGENT INTEREST PAYMENT DOES NOT TRACK THE RETURN OF THE INDEX — |
Although the amount of any Contingent
Interest Payment is determined, in part, by reference to the performance of the Index, the notes do not actually pay interest that
tracks the return of the Index.
| · | 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
value of the Index, which may be significant. You will not participate in any appreciation in the value of the Index.
PS-9 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests
as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the
notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE LAST PERIODIC FINAL ACCRUAL DETERMINATION
DATE — |
If the Final Value is less than the
Trigger Value and the notes have not been redeemed early, the benefit provided by the Trigger Value will terminate and you will
be fully exposed to any depreciation in the Index.
| · | THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are redeemed early, the
term of the notes may be reduced to as short as approximately one year and you will not receive any Contingent Interest Payments
after the applicable Interest Payment 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.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES. |
·
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION
STOCKS —
Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
| · | THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE
IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE. |
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
| · | JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC)
OF THE NOTES — |
JPMS’s estimated value is only
an estimate using several factors. The original issue price of the notes exceeds JPMS’s estimated value because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the
selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s Estimated
Value of the Notes” in this pricing supplement.
| · | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM
OTHERS’ ESTIMATES — |
See “JPMS’s Estimated Value
of the Notes” in this pricing supplement.
| · | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL
FIXED-RATE DEBT — |
The internal funding rate used in the
determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate
debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate debt.
If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic terms
of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes” in
this pricing supplement.
PS-10 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES — |
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude
selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the
original issue price of the notes. As a result, the price if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date
could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
of Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
The
Index
The Index consists of the middle 2,000 companies
included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000
companies included in the Russell 3000® Index. The Index is designed to track the performance of the small capitalization
segment of the U.S. equity market. For additional information about the Index, see “Equity Index Descriptions — The
Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical
performance of the Index based on the weekly historical closing levels of the Index from January 8, 2010 through June 26, 2015.
The closing level of the Index on July 1, 2015 was 1,256.397. We obtained the closing levels above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. Although Russell Investments
publishes the official closing levels of the Index to six decimal places, Bloomberg publishes the closing levels of the Index to
only three decimal places.
PS-11 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
The historical closing levels of the Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index
on any scheduled trading day or the last Periodic Final Accrual Determination Date. We cannot give you assurance that the performance
of the Index will result in the return of any of your principal amount or the payment of any interest.
The dotted line in the graph above shows
the value equal to 70.00% of the closing level of the Index on July 1, 2015. The actual Interest Barrier and Trigger Value will
be provided in the pricing supplement and will be 70.00% of the Initial Value.
Interest will not accrue on the notes on
any scheduled trading day during an Accrual Determination Period if the closing level of the Index on that scheduled trading day
is less than the Interest Barrier of 70.00% of the Initial Value.
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. Assuming this treatment is respected, the gain or loss on your notes should be treated as short-term
capital gain or loss unless you hold your notes for more than a year, in which case the gain or loss should be long-term capital
gain or loss. However, if you sell your notes between Interest Payment Dates, it is likely that you will be treated as having ordinary
income equal to the amount of the Contingent Interest Payment that has accrued as of the date of the sale. You should consult your
tax adviser regarding this issue.
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.
PS-12 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
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 early redemption 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.
JPMS’s
Estimated Value of the Notes
JPMS’s estimated value of the notes
set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1)
a fixed-income debt component with the same maturity as the notes, valued using our internal funding rate for structured debt described
below, and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value does not
represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time.
The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit
spreads for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.”
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from JPMS’s internal pricing models. These models are dependent on
inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, JPMS’s estimated value of the notes is determined when the terms of the notes are
set based on market conditions and other relevant factors and assumptions existing at that time.
JPMS’s estimated value does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide
valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes
could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
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, if any, realized in hedging our obligations under the notes
may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See “Selected Risk Considerations — JPMS’s Estimated Value of the Notes Is Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our secondary market credit spreads for structured debt issuances. This initial predetermined time
period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our
PS-13 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
hedging activities, the estimated costs of hedging
the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations — The Value of
the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than JPMS’s Then-Current
Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work,”
“Hypothetical Contingent Interest Payment for an Accrual Determination Period” and “Hypothetical Payment at Maturity”
in this pricing supplement for an illustration of the risk-return profile of the notes and “The Index” in this pricing
supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is
equal to JPMS’s estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes
In the opinion of Davis Polk & Wardwell LLP,
as our special products counsel, when the notes offered by this pricing supplement have been executed and issued by us and authenticated
by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be our valid and
binding obligations, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws
affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date hereof and is limited to the federal laws of the United States of America, the
laws of the State of New York and the General Corporation Law of the State of Delaware. In addition, this opinion is subject
to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication
of the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in
the letter of such counsel dated November 7, 2014, which was filed as an exhibit to the Registration Statement on Form S-3 by us
on November 7, 2014.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014, relating to our Series E medium-term
notes of which these notes are a part, and the more detailed information contained in product supplement no. 4a-I dated November
7, 2014 and underlying supplement no. 1a-I dated November 7, 2014. This pricing supplement, together with the documents listed
below, contains the terms of the notes, supplements the amended and restated term sheet related hereto and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the accompanying
product supplement no. 4a-I and “Risk Factors” in the accompanying underlying supplement no. 1a-I, as the notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 19617. As used in this pricing supplement, “we,” “us” and “our” refer to JPMorgan Chase
& Co.
PS-14 | Structured Investments
Callable Contingent Interest Accrual Notes Linked
to the Russell 2000®
Index |
|
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