CALCULATION OF REGISTRATION FEE
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Title of Each Class of Securities Offered |
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Maximum Aggregate Offering Price |
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Amount of Registration Fee |
Notes |
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$2,500,000 |
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$290.50 |
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Pricing supplement no. 936 To prospectus
dated November 7, 2014, prospectus supplement dated November 7, 2014 and product supplement no. 4a-I dated November 7, 2014 |
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Registration Statement No. 333-199966 Dated July 2, 2015 Rule 424(b)(2)
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$2,500,000
Digital Notes Linked to the Common Stock of Chicago Bridge & Iron Company N.V. due July 20, 2016 |
General
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The notes are designed for investors who seek a fixed return of 10.00% at maturity if the Final Stock Price does not decline below the Initial Stock Price by
more than 44.00%. |
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Investors should be willing to forgo interest and dividend payments and, if the Final Stock Price is less than the Initial Stock Price by more than 44.00%, be
willing to lose some or all of their principal amount at maturity. |
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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. |
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Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
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Reference Stock: |
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The common stock, par value 0.01 per share, of Chicago Bridge & Iron
Company N.V. (Bloomberg ticker: CBI). We refer to Chicago Bridge & Iron Company N.V. as Chicago Bridge & Iron. |
Contingent Buffer Amount: |
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44.00% |
Payment at Maturity: |
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If the Final Stock Price is greater than or equal to the Initial Stock Price or is less than the Initial Stock Price by up to 44.00%, at maturity you will receive a cash payment that
provides you with a return per $1,000 principal amount note equal to the Digital Return. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
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$1,000 + ($1,000 × Digital
Return) |
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If the Final Stock Price is less than the Initial Stock Price by more than
44.00%, you will lose 1% of the principal amount of your notes for every 1% that the Final Stock Price is less than the Initial Stock Price. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as
follows: |
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$1,000 + ($1,000 × Stock Return) |
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If the Final Stock Price is less than the Initial Stock Price by more
than 44.00%, you will lose more than 44.00% of your principal amount at maturity and may lose all of your principal amount at maturity. |
Digital Return: |
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10.00%, which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity is $1,100.00 per $1,000 principal amount note. |
Stock Return: |
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(Final Stock Price Initial Stock Price) Initial Stock Price |
Initial Stock Price: |
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The closing price of one share of the Reference Stock on the Pricing Date, which was $49.89 |
Final Stock Price: |
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The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates |
Stock Adjustment Factor: |
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The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Pricing Date. The Stock Adjustment Factor
is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See The Underlyings Reference Stocks Anti-Dilution Adjustments and The Underlyings Reference Stocks
Reorganization Events in the accompanying product supplement no. 4a-I for further information. |
Pricing Date: |
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July 2, 2015 |
Original Issue Date (Settlement
Date): |
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On or about July 8, 2015 |
Ending Averaging Dates : |
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July 11, 2016, July 12, 2016, July 13, 2016, July 14, 2016 and July 15, 2016 |
Maturity Date: |
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July 20, 2016 |
CUSIP: |
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48125UZN5 |
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Subject to postponement in the event of certain market disruption events and as described under General Terms of Notes Postponement of a
Determination Date Notes Linked to a Single Underlying Notes Linked to a Single Underlying (Other Than a Commodity Index) and General Terms of Notes Postponement of a Payment Date in the accompanying product
supplement no. 4a-I |
Investing in the notes involves a number of risks. See Risk Factors beginning on page PS-8 of the
accompanying product supplement no. 4a-I and Selected Risk Considerations beginning on page PS-2 of this pricing supplement.
Neither the
Securities and Exchange Commission (the SEC) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement,
prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
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Price to Public (1) |
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Fees and Commissions (2) |
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Proceeds to Issuer |
Per
note |
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$1,000 |
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$10 |
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$990 |
Total |
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$2,500,000 |
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$25,000 |
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$2,475,000 |
(1) |
See Supplemental Use of Proceeds in this pricing supplement for information about the components of the price to public of the notes. |
(2) |
J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $10.00 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 $955.40 per $1,000 principal amount note. See
JPMSs 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.
July 2, 2015
Additional Terms Specific to the Notes
You should read this pricing supplement together with the prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014, relating to our Series E medium-term notes of which these
notes are a part, and the more detailed information contained in product supplement no. 4a-I dated November 7, 2014. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in Risk Factors in the accompanying product supplement no. 4a-I, as the notes involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access
these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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Product supplement no. 4a-I dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
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Prospectus supplement and prospectus, each dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
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.
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JPMorgan Structured
Investments Digital Notes Linked to the Common Stock of Chicago Bridge & Iron Company N.V. |
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PS-2 |
What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the
Reference Stock?
The following table illustrates the hypothetical total return at maturity on the notes. The total return as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Each hypothetical total return set forth below assumes an Initial Stock Price of $50
and reflects the Digital Return of 10.00% and the Contingent Buffer Amount of 44.00%. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes.
The numbers appearing in the following table and examples have been rounded for ease of analysis.
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Final Stock Price |
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Stock Return |
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Total Return |
$90.000 |
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80.00% |
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10.00% |
$85.000 |
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70.00% |
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10.00% |
$80.000 |
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60.00% |
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10.00% |
$75.000 |
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50.00% |
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10.00% |
$70.000 |
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40.00% |
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10.00% |
$65.000 |
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30.00% |
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10.00% |
$60.000 |
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20.00% |
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10.00% |
$57.500 |
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15.00% |
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10.00% |
$55.000 |
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10.00% |
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10.00% |
$52.500 |
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5.00% |
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10.00% |
$51.250 |
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2.50% |
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10.00% |
$50.500 |
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1.00% |
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10.00% |
$50.000 |
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0.00% |
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10.00% |
$47.500 |
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-5.00% |
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10.00% |
$45.000 |
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-10.00% |
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10.00% |
$42.500 |
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-15.00% |
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10.00% |
$40.000 |
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-20.00% |
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10.00% |
$35.000 |
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-30.00% |
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10.00% |
$30.000 |
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-40.00% |
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10.00% |
$28.000 |
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-44.00% |
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10.00% |
$27.995 |
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-44.01% |
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-44.01% |
$25.000 |
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-50.00% |
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-50.00% |
$20.000 |
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-60.00% |
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-60.00% |
$15.000 |
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-70.00% |
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-70.00% |
$10.000 |
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-80.00% |
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-80.00% |
$5.000 |
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-90.00% |
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-90.00% |
$0.000 |
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-100.00% |
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-100.00% |
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.
Example 1: The closing price of one share of the Reference Stock increases from the Initial Stock Price of $50 to a Final Stock Price of $51.25. Because the
Final Stock Price of $51.25 is greater than the Initial Stock Price of $50, regardless of the Stock Return, the investor is entitled to the Digital Return and receives a payment at maturity of $1,100.00 per $1,000 principal amount note, calculated
as follows:
$1,000 + ($1,000 × 10.00%) = $1,100.00
Example 2: The closing price of one share of the Reference Stock decreases from the Initial Stock Price of $50 to a Final Stock Price of $47.50. Although the Final Stock Price of $47.50 is less than the
Initial Stock Price of $50, because the Final Stock Price is less than the Initial Stock Price by up to the Contingent Buffer Amount of 44.00%, the investor is entitled to the Digital Return and receives a payment at maturity of $1,100.00 per $1,000
principal amount note, calculated as follows:
$1,000 + ($1,000 × 10.00%) = $1,100.00
Example 3: The closing price of one share of the Reference Stock decreases from the Initial Stock Price of $50 to a Final Stock Price of $25. Because the
Final Stock Price of $25 is less than the Initial Stock Price of $50 by more than the Contingent Buffer Amount of 44.00% and because the Stock Return is -50%, the investor receives a payment at maturity of $500 per $1,000 principal amount note,
calculated as follows:
$1,000 + ($1,000 × -50%) = $500
Example 4: The closing price of one share of the Reference Stock increases from the Initial Stock Price of $50 to a Final Stock Price of $75. Because the Final Stock Price of $75 is greater than the Initial
Stock Price of $50 and although the Stock Return of 50% is greater than the Digital Return of 10.00%, the investor is entitled to only the Digital Return and receives a payment at maturity of $1,100.00 per $1,000 principal amount note, calculated as
follows:
$1,000 + ($1,000 × 10.00%) = $1,100.00
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses that would be
associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
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JPMorgan Structured
Investments Digital Notes Linked to the Common Stock of Chicago Bridge & Iron Company N.V. |
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PS-3 |
Selected Purchase Considerations
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FIXED APPRECIATION POTENTIAL If the Final Stock Price is greater than or equal to the Initial Stock Price, you will receive a fixed return equal to
the Digital Return of 10.00% at maturity, which also reflects the maximum return on the notes at maturity. Accordingly, the maximum payment at maturity is $1,100.00 per $1,000 principal amount note. Because the notes are our unsecured and
unsubordinated obligations, payment of any amount on the notes is subject to our ability to pay our obligations as they become due. |
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POTENTIAL FOR A FIXED RETURN ON THE NOTES EQUAL TO THE DIGITAL RETURN EVEN IF THE STOCK RETURN IS NEGATIVE If the Final Stock Price is less than
the Initial Stock Price by up to the Contingent Buffer Amount of 44.00%, you will earn a fixed, positive return on the notes equal to the Digital Return of 10.00%. If the Final Stock Price is less than the Initial Stock Price by more than the
Contingent Buffer Amount, for every 1% that the Final Stock Price is less than the Initial Stock Price, you will lose an amount equal to 1% of the principal amount of your notes. Accordingly, under these circumstances, you will lose more than 44.00%
of you principal amount at maturity and may lose all of your principal amount at maturity. |
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RETURN LINKED TO A SINGLE REFERENCE STOCK The return on the notes is linked to the performance of a single Reference Stock, which is the common
stock of Chicago Bridge & Iron. For additional information see The Reference Stock in this pricing supplement. |
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CAPITAL GAINS TAX TREATMENT You should review carefully the section entitled Material U.S. Federal Income Tax Consequences in the
accompanying product supplement no. 4a-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income
tax consequences of owning and disposing of notes. |
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the notes as open transactions that are not debt instruments for U.S. federal income tax purposes, as more fully described in Material U.S. Federal Income Tax Consequences Tax
Consequences to U.S. Holders Notes Treated as Open Transactions That Are Not Debt Instruments in the accompanying product supplement no. 4a-I. Assuming this treatment is respected, the gain or loss on your notes should be treated as
long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character
of any income or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of prepaid forward contracts and
similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income
or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S.
investors should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary
income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by this notice.
Withholding under legislation commonly referred to as FATCA
may apply to amounts treated as interest paid with respect to the notes, if they are recharacterized as debt instruments. You should consult your tax adviser regarding the potential application of FATCA to the notes.
Selected Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement
no. 4a-I.
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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 Reference Stock and will depend on whether, and the extent to which, the Stock Return is positive or negative. If the Final Stock Price is less than the Initial Stock Price by more than the Contingent Buffer Amount of
44.00%, the benefit provided by the Contingent Buffer Amount will terminate. In this case, for every 1% that the Final Stock Price is less than the Initial Stock Price, you will lose an amount equal to 1% of the principal amount of your notes. Under
these circumstances, you will lose more than 44.00% of your principal amount at maturity and may lose all of your principal amount at maturity. |
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE DIGITAL RETURN If the Final Stock Price is greater than or equal to the Initial Stock Price or is
less than the Initial Stock Price by up to the Contingent Buffer Amount, for each $1,000 principal amount note, you will receive at maturity $1,000 plus a fixed return equal to the Digital Return of 10.00%, regardless of any appreciation in the
Reference Stock, which may be significant. |
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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
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JPMorgan Structured
Investments Digital Notes Linked to the Common Stock of Chicago Bridge & Iron Company N.V. |
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PS-4 |
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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. |
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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 JPMSs estimated value. In performing these duties, our economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In
addition, our business activities, including hedging and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or
trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to Risk Factors Risks Relating to Conflicts of
Interest in the accompanying product supplement no. 4a-I for additional information about these risks. |
We and/or
our affiliates may also currently or from time to time engage in business with Chicago Bridge & Iron, including extending loans to, or making equity investments in, Chicago Bridge & Iron or providing advisory services to Chicago
Bridge & Iron. In addition, one or more of our affiliates may publish research reports or otherwise express opinions with respect to Chicago Bridge & Iron, and these reports may or may not recommend that investors buy or hold the
Reference Stock. As a prospective purchaser of the notes, you should undertake an independent investigation of the Reference Stock issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE If the Final Stock Price is less than the Initial
Stock Price by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock.
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JPMSS ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES JPMSs estimated value is only
an estimate using several factors. The original issue price of the notes exceeds JPMSs 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
JPMSs Estimated Value of the Notes in this pricing supplement. |
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JPMSS ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS ESTIMATES JPMSs estimated value of
the notes is determined by reference to JPMSs 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 JPMSs 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 JPMSs 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 JPMSs Estimated Value of
the Notes in this pricing supplement. |
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JPMSS 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 JPMSs 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 JPMSs
Estimated Value of the Notes in this pricing supplement. |
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMSS 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). |
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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 |
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JPMorgan Structured
Investments Digital Notes Linked to the Common Stock of Chicago Bridge & Iron Company N.V. |
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PS-5 |
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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.
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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 price of one share of the Reference Stock,
including: |
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any actual or potential change in our creditworthiness or credit spreads; |
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customary bid-ask spreads for similarly sized trades; |
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secondary market credit spreads for structured debt issuances; |
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the actual and expected volatility in the closing price of the Reference Stock; |
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the time to maturity of the notes; |
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the dividend rate on the Reference Stock; |
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interest and yield rates in the market generally; |
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the occurrence of certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor, including
a merger or acquisition; and |
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a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market.
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NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK As a holder of the notes, you will not have any ownership interest or rights in the
Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value
of the Reference Stock and the notes. |
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER We are not affiliated with the issuer of the Reference Stock. We assume no responsibility for the
adequacy of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuers
public disclosure of information, whether contained in SEC filings or otherwise. |
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SINGLE STOCK RISK The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such as stock
price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest
rates and economic and political conditions. |
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NO INTEREST PAYMENTS As a holder of the notes, you will not receive any interest payments. |
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VOLATILITY RISK Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of the Pricing Date that the
Reference Stock could close below the Initial Stock Price by more than the Contingent Buffer Amount on one or more Ending Averaging Dates. The Reference Stocks volatility, however, can change significantly over the term of the notes. The
closing price of one share of the Reference Stock could fall sharply at any time during the term of the notes, which could result in a significant loss of principal. |
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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. |
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY The calculation agent will make adjustments to the Stock
Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying
product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations. |
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JPMorgan Structured
Investments Digital Notes Linked to the Common Stock of Chicago Bridge & Iron Company N.V. |
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PS-6 |
The Reference Stock
Public Information
All information contained herein on the Reference Stock and on Chicago
Bridge & Iron is derived from publicly available sources and is provided for informational purposes only. According to its publicly available filings with the SEC, Chicago Bridge & Iron provides a range of services to customers in
the energy infrastructure market. The common stock of Chicago Bridge & Iron, par value 0.01 per share, is registered under
the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Chicago Bridge & Iron in the accompanying
product supplement no. 4a-I. Information provided to or filed with the SEC by Chicago Bridge & Iron pursuant to the Exchange Act can be located by reference to SEC file number 001-12815, and can be accessed through www.sec.gov. We do not
make any representation that these publicly available documents are accurate or complete.
Historical Information Regarding the
Reference Stock
The following graph sets forth the historical performance of the common stock of Chicago Bridge & Iron
based on the weekly historical closing prices of one share of the common stock of Chicago Bridge & Iron from January 8, 2010 through June 26, 2015. The closing price of one share of the common stock of Chicago Bridge &
Iron on July 2, 2015 was $49.89. We obtained the closing prices below from the Bloomberg Professional® service
(Bloomberg), without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the Reference Stock has experienced significant fluctuations. The historical performance of the Reference Stock should not be taken
as an indication of future performance, and no assurance can be given as to the closing price of one share of the Reference Stock on any Ending Averaging Date. We cannot give you assurance that the performance of the Reference Stock will result in
the return of any of your principal amount.
JPMSs Estimated Value of the Notes
JPMSs 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. JPMSs 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 JPMSs estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. For additional information, see Selected Risk Considerations JPMSs 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 JPMSs 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, JPMSs 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
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JPMorgan Structured
Investments Digital Notes Linked to the Common Stock of Chicago Bridge & Iron Company N.V. |
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PS-7 |
Selected Risk Considerations JPMSs Estimated Value Does Not Represent Future Values of the Notes and May Differ from Others Estimates.
JPMSs estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and hedging the
notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. See Selected Risk Considerations
JPMSs 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 JPMSs Then-Current Estimated Value of the Notes for a Limited Time Period.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock? and Hypothetical Examples of Amount Payable at Maturity in this pricing supplement for an illustration of
the risk-return profile of the notes and The Reference Stock in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to JPMSs 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 trustees 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.
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JPMorgan Structured
Investments Digital Notes Linked to the Common Stock of Chicago Bridge & Iron Company N.V. |
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PS-8 |
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