CALCULATION OF REGISTRATION FEE |
Title
of Each Class of
Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes |
$2,618,000 |
$304.21 |
July 27, 2015 |
Registration Statement No. 333-199966; Rule 424(b)(2) |
JPMorgan Chase & Co.
Structured Investments
$2,618,000
Dual Directional Review Notes Linked
to the Lesser Performing of the Russell 2000® Index and the iShares® MSCI EAFE ETF due February 1,
2017
| · | The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date, the closing
value of each of the Russell 2000® Index and the iShares® MSCI EAFE ETF, which we refer to as the
Underlyings, is at or above its Call Value. |
| · | The notes are also designed for investors who seek a capped, unleveraged return equal to the absolute value of any depreciation
(up to the Buffer Amount of 15.00%) of the lesser performing of the Underlyings at maturity. |
| · | Investors in the notes should also be willing to lose some or all of their principal at maturity. |
| · | 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. |
| · | Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on July 27, 2015 and are expected to settle on or about July 30, 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 |
$1.50 |
$998.50 |
Total |
$2,618,000 |
$3,927 |
$2,614,073 |
(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 $1.50 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 $983.10 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. 1000 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
Underlyings: The Russell 2000® Index (Bloomberg ticker: RTY) (the “Index”) and the iShares® MSCI EAFE ETF (Bloomberg ticker: “EFA”) (the “Fund”) (each of the Index and the Fund, an “Underlying” and collectively, the “Underlyings”) |
Call
Premium Amount: The Call Premium Amount with respect to each Review
Date is set forth below:
·
first Review Date: 5.45%
× $1,000
·
second Review Date: 10.90% × $1,000
·
final Review Date: 16.35% × $1,000 |
Call Value: With respect to each Underlying, an amount that represents 100.00% of its Initial Value |
Buffer Amount: 15.00% |
Downside Leverage Factor: 1.1765 |
Pricing Date: July 27, 2015 |
Original Issue Date (Settlement Date): On or about July 30, 2015 |
Review Dates*: January 27, 2016, July 27, 2016 and January 27, 2017 (final Review Date) |
Call Settlement Dates*: If the notes are automatically called on any Review Date, the third business day after that Review Date, except that the final Call Settlement Date is the Maturity Date |
Maturity Date*: February 1, 2017 |
* 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 Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I |
Automatic Call:
If the closing value of each Underlying on any Review Date
is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Call Premium Amount applicable to that Review Date, payable on the applicable
Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the
Final Value of each Underlying is greater than or equal to its Initial Value or less than its Initial Value by up to the Buffer
Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Underlying
Return of the Lesser Performing Underlying)
If the notes have not been automatically called and the
Final Value of either Underlying is less than its Initial Value by more than the Buffer Amount, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Lesser Performing
Underlying Return + Buffer Amount) × Downside Leverage Factor]
If the
Final Value of either Underlying is less than its Initial Value by more than the Buffer Amount, you will lose some or all of your
principal amount at maturity. Absolute
Underlying Return: With respect to each Underlying, the absolute value of its Underlying
Return. For example, if the Underlying Return of an Underlying is -5%, its Absolute Underlying Return will equal 5%.
Lesser
Performing Underlying: The Underlying with the Lesser Performing
Underlying Return
Lesser
Performing Underlying Return: The lower of the Underlying Returns
of the Underlyings
Underlying
Return: With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing value of that Underlying
on the Pricing Date, which was 1,214.614 for the Index and $63.42 for the Fund
Final
Value: With respect to each Underlying, the closing value of that Underlying
on the final Review Date
Share Adjustment Factor:
The Share Adjustment Factor is referenced in determining
the closing value of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment
upon the occurrence of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement no. 4a-I for further information. |
|
|
PS-1 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
Supplemental
Terms of the Notes
All references in this pricing supplement
to the closing value of the Index mean the closing level of the Index as defined in the accompanying product supplement, and all
references in this pricing supplement to the closing value of the Fund mean the closing price of one share of the Fund as defined
in the accompanying product supplement.
How
the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have
Not Been Automatically Called
Call Premium Amount
The table below illustrates the Call Premium
Amount per $1,000 principal amount note for each Review Date based on the Call Premium Amounts set forth under “Key Terms
— Call Premium Amount” above.
Review Date |
Call Premium Amount |
First |
$54.50 |
Second |
$109.00 |
Final |
$163.50 |
|
|
PS-2 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
Hypothetical
Payout Examples
The following examples illustrate payments
on the notes linked to two hypothetical Underlyings, assuming a range of performances for the hypothetical Lesser Performing Underlying
on the Review Dates. Each hypothetical payment set forth below assumes that the closing value of the Underlying that is not
the Lesser Performing Underlying on each Review Date is greater than or equal to its Call Value (and therefore is not less than
its Initial Value by more than the Buffer Amount).
In addition, the hypothetical payments set
forth below assume the following:
| · | an Initial Value for the Lesser Performing Underlying of 100.00; |
| · | a Call Value for the Lesser Performing Underlying of 100.00 (equal to 100.00% of its hypothetical Initial Value); |
| · | a Buffer Amount of 15.00%; |
| · | a Downside Leverage Factor of 1.1765; and |
| · | the Call Premium Amounts set forth under “Key Terms — Call Premium Amount” above. |
The hypothetical Initial Value of the Lesser
Performing Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value
of either Underlying. The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and
is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the
actual closing values of each Underlying, please see the historical information set forth under “The Underlyings” in
this pricing supplement.
Each hypothetical payment set forth below
is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Review Date.
Date |
Closing Value of Lesser Performing Underlying |
|
First Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,054.50 (5.45% return) |
Because the closing value of each Underlying
on the first Review Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,054.50 (or $1,000 plus the Call Premium Amount applicable to the first Review
Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes are automatically
called on the final Review Date.
Date |
Closing Value of Lesser Performing Underlying |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Final Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,163.50 (16.35% return) |
Because the
closing value of each Underlying on the final Review Date is greater than or equal to its Call Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, of $1,163.50 (or
$1,000 plus the Call Premium Amount applicable to the final Review Date), payable on the applicable Call Settlement Date.
Example 3 — Notes have NOT been
automatically called and the Final Value of the Lesser Performing Underlying is less than its Initial Level by up to the Buffer
Amount.
Date |
Closing Value of Lesser Performing Underlying |
|
First Review Date |
95.00 |
Notes NOT automatically called |
Second Review Date |
90.00 |
Notes NOT automatically called |
Final Review Date |
90.00 |
Notes NOT automatically called; Final Value of Lesser Performing Underlying is less than its Initial Value by up to the Buffer Amount |
|
|
PS-3 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
|
Total Payment |
$1,100.00 (10.00% return) |
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Underlying is less than its Initial Value by up to the Buffer Amount and the Absolute
Underlying Return of the Lesser Performing Underlying is 10.00%, the payment at maturity, for each $1,000 principal amount note,
will be $1,100, calculated as follows:
$1,000 + ($1,000 × 10.00%) = $1,100.00
Example 4 — Notes have NOT been
automatically called and the Final Value of the Lesser Performing Underlying is less than its Initial Value by more than the Buffer
Amount.
Date |
Closing Value of Lesser Performing Underlying |
|
First Review Date |
80.00 |
Notes NOT automatically called |
Second Review Date |
70.00 |
Notes NOT automatically called |
Final Review Date |
50.00 |
Notes NOT automatically called; Final Value of Lesser Performing Underlying is less than its Initial Value by more than the Buffer Amount |
|
Total Payment |
$588.225 (-41.1775% return) |
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Underlying is less than its Initial Value by more than the Buffer Amount and the
Lesser Performing Underlying Return is -50.00%, the payment at maturity will be $588.225 per $1,000 principal amount note, calculated
as follows.
$1,000 + [$1,000
× (-50.00% + 15.00%) × 1.1765] = $588.225
The hypothetical returns and hypothetical
payments on the notes shown above apply only if you hold the notes for their entire term or until automatically called.
These hypotheticals do not reflect 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.
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 automatically called and the Final Value of either Underlying is less than its
Initial Value by more than the Buffer Amount, you will lose 1.1765% of the principal amount of your notes for every 1% that the
Final Value of the Lesser Performing Underlying is less than its Initial Value by more than the Buffer Amount. Accordingly, under
these circumstances, you will lose some or all of your principal amount at 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 APPRECIATION POTENTIAL OF THE NOTES IF THE NOTES ARE AUTOMATICALLY CALLED IS LIMITED TO ANY
CALL PREMIUM AMOUNT PAID ON THE NOTES, |
regardless of any appreciation
in the value of either Underlying, which may be significant. You will not participate in any appreciation in the value of either
Underlying.
| · | YOUR MAXIMUM GAIN ON THE NOTES IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED AND THE LESSER
PERFORMING UNDERLYING RETURN IS NEGATIVE IS LIMITED BY THE BUFFER AMOUNT — |
Because the payment at maturity
will not reflect the Absolute Underlying Return of the Lesser Performing Underlying if the Final Value of either Underlying is
less than its Initial Value by more than the Buffer Amount, the Buffer Amount is effectively a cap on
|
|
PS-4 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
your return at maturity if the
notes have not been automatically called. The maximum payment at maturity if the notes have not been automatically called and the
Lesser Performing Underlying Return is negative is $1,150.00 per $1,000 principal amount note.
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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not
linked to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by either of the Underlyings over the term of the notes may result in the notes not being automatically called on a Review Date,
may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Underlying.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING UNDERLYING. |
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically
called, the term of the notes may be reduced to as short as approximately six months. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of risk.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY EITHER UNDERLYING
OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES. |
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION
STOCKS WITH RESPECT TO THE INDEX — |
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.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management
risk, which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
| · | DIFFERENCES BETWEEN THE FUND AND THE UNDERLYING INDEX — |
The Fund does not fully replicate
the Underlying Index (as defined under “The Underlyings” below) and may hold securities not included in the Underlying
Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the
calculation of the Underlying Index. Furthermore, because the shares of the Fund are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share of
the Fund. All of these factors may lead to a lack of correlation between the Fund and the Underlying Index.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUND — |
The equity securities held by
the Fund have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities
involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities.
Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about
U.S. companies that are subject to the reporting requirements of the SEC.
|
|
PS-5 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND — |
Because
the prices of the equity securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset
value of the Fund, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in
which the equity securities held by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen
or weaken against the U.S. dollar and the relative weight of equity securities held by the Fund denominated in each of those currencies.
If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will
be adversely affected and any payment on the notes may be reduced.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make
adjustments to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Fund. 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.
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.
| · | 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
|
|
PS-6 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
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 values of the Underlyings.
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
Underlyings
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.
The Fund is an exchange-traded fund of iShares®
Trust, a registered investment company, which seeks to track the investment results of an index composed of large and mid-capitalization
developed market equities, excluding the United States and Canada, which we refer to as the Underlying Index with respect to the
Fund. The Underlying Index for the Fund is currently the MSCI EAFE® Index. The MSCI EAFE® Index is
a free float-adjusted market capitalization index intended to measure the equity market performance of the developed equity markets
in Europe, Asia, Australia and New Zealand. For additional information about the iShares® MSCI EAFE ETF, see “Fund
Descriptions — The iShares® MSCI EAFE ETF” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 8, 2010 through July 24, 2015. The closing
value of the Index on July 27, 2015 was 1,214.614. The closing value of the Fund on July 27, 2015 was $63.42. We obtained the closing
values above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
Although Russell Investments publishes the official closing levels of the Russell 2000® Index to six decimal places,
Bloomberg publishes the closing levels of the Russell 2000® Index to only three decimal places. The closing values
of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each
Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing value of
either Underlying on any Review Date. We cannot give you assurance that the performance of the Underlyings will result in the return
of any of your principal amount.
|
|
PS-7 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
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
|
|
PS-8 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
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 (if the notes are recharacterized as debt instruments) apply to amounts treated as interest
paid with respect to the notes, as well as to the payment of gross proceeds of a sale of a note occurring after December 31, 2016
(including an automatic call or redemption at maturity). You should consult your tax adviser regarding the potential application
of FATCA to the notes.
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 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.”
|
|
PS-9 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
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”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Underlyings” 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 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):
| · | Product supplement no. 4a-I dated November 7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf |
| · | Underlying supplement no. 1a-I dated November 7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf
|
| · | 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.
|
|
PS-10 | Structured Investments
Dual Directional Review Notes Linked to the Lesser Performing of the
Russell 2000® Index and
the iShares® MSCI EAFE ETF |
|
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