CALCULATION OF REGISTRATION FEE |
Title
of Each Class of
Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes |
$2,500,000 |
$290.50 |
July 28, 2015 |
Registration Statement No. 333-199966; Rule 424(b)(2) |
JPMorgan Chase & Co.
Structured Investments
$2,500,000
Contingent Coupon Auto Callable Yield
Notes Linked to the American Depositary Shares of JD.com, Inc. due August 2, 2016
| · | The Notes are designed for investors who seek a Contingent Interest Payment with respect to each Observation Date for which
the closing price of one share of the Reference Stock is greater than or equal to 60.00% of the Initial Value, which we refer to
as the Coupon Barrier. |
| · | The Notes will be automatically called if the closing price of one share of the Reference Stock on any Observation Date (other
than the first and final Observation Dates) is greater than or equal to the Initial Value. |
| · | Investors in the Notes should be willing to accept the risks of owning equities in general and the Reference Stock in particular. |
| · | Investors in the Notes should also 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 Observation Dates. |
| · | 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 28, 2015 and are expected to settle on or about July 31, 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 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, 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 |
$12.50 |
$987.50 |
Total |
$2,500,000 |
$31,250 |
$2,468,750 |
(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 $12.50 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 $975.40 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.
1,010 to product supplement no. 4a-I dated November 7, 2014 and the prospectus and prospectus supplement, each dated November
7, 2014
Key
Terms
Reference
Stock: The American depositary shares, par value $0.00002 per share,
of JD.com, Inc. (Bloomberg ticker: JD).
Contingent Interest Payments:
If the Notes have not been automatically called and the
closing price of one share of the Reference Stock on any Observation Date is greater than or equal to the Coupon Barrier, you will
receive on the applicable Contingent Interest Payment Date for each $1,000 principal amount Note a Contingent Interest Payment
equal to $12.50 (equivalent to a Contingent Interest Rate of 15.00% per annum, payable at a rate of 1.25% per month).
If the closing price of one share of the Reference Stock
on any Observation Date is less than the Coupon Barrier, no Contingent Interest Payment will be made with respect to that Observation
Date.
Contingent
Interest Rate: 15.00% per annum, payable at a rate of 1.25% per month
Coupon
Barrier / Trigger Value: $19.488, which is 60.00% of the Initial Value
Pricing
Date: July 28, 2015
Original
Issue Date (Settlement Date): On or about July 31, 2015
Observation
Dates*: August 28, 2015, September 28, 2015, October 28, 2015, November
30, 2015, December 28, 2015, January 28, 2016, February 29, 2016, March 28, 2016, April 28, 2016, May 31, 2016, June 28, 2016 and
July 28, 2016 (the “Valuation Date”)
Contingent
Interest Payment Dates*: September 2, 2015, October 1, 2015, November
2, 2015, December 3, 2015, December 31, 2015, February 2, 2016, March 3, 2016, March 31, 2016, May 3, 2016, June 3, 2016, July
1, 2016 and the Maturity Date
Maturity
Date*: August 2, 2016
Call Settlement
Date*: If the Notes are automatically
called on any Observation Date (other than the first and final Observation Dates), the first Contingent Interest Payment Date immediately
following that Observation Date
* 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 |
Automatic Call:
If the closing price of one share of the Reference Stock on
any Observation Date (other than the first and final Observation Dates) is greater than or equal to the Initial 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
Contingent Interest Payment applicable to that Observation 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 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) the Contingent Interest Payment applicable to the Valuation Date.
If the Notes have not been automatically called and the Final
Value is less than the Trigger Value, you will receive at maturity per $1,000 principal amount Note, the number of shares of the
Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid
in cash.
The market value
of the Physical Delivery Amount or the Cash Value will most likely be substantially less than the principal amount of your Notes,
and may be zero.
Stock Return:
(Final
Value – Initial Value)
Initial Value
Initial
Value: $32.48, which is the closing price of one share of the Reference
Stock on the Pricing Date
Final
Value: The closing price of one share of the Reference Stock on the
Valuation Date
Physical
Delivery Amount: The number of shares of the Reference Stock, per $1,000
principal amount Note, equal to $1,000 divided by the Initial Value, times the Stock Adjustment Factor
Cash
Value: For each $1,000 principal amount Note, $1,000 divided
by the Initial Value, times the Final Value
Stock
Adjustment Factor: The Stock
Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 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
Reference Stocks — Reference Stocks — Reorganization Events” in the accompanying product supplement no. 4a-I
for further information.
|
|
|
PS-1 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
How
the Notes Work
Payment in Connection with the First
Observation Date
Payments in Connection with Observation
Dates (Other than the First and Final Observation Dates)
|
|
PS-2 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
Payment at Maturity If the Notes Have
Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical
total Contingent Interest Payments per $1,000 principal amount Note over the term of the Notes based on the Contingent Interest
Rate of 15.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent Interest Payments |
Total Contingent Interest Payments |
12 |
$150.00 |
11 |
$137.50 |
10 |
$125.00 |
9 |
$112.50 |
8 |
$100.00 |
7 |
$87.50 |
6 |
$75.00 |
5 |
$62.50 |
4 |
$50.00 |
3 |
$37.50 |
2 |
$25.00 |
1 |
$12.50 |
0 |
$0.00 |
|
|
PS-3 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
Hypothetical
Payout Examples
The following examples illustrate payments
on the Notes linked to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on
the Observation Dates. The hypothetical payments set forth below assume the following:
| · | An Initial Value of $100.00; |
| · | An Coupon Barrier and a Trigger Value of $60.00 (equal to
60% of the hypothetical Initial Value); and |
| · | A Contingent Interest Rate of 15.00% per annum (payable at
a rate of 1.25% per month). |
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 will
be the closing price of one share of the Reference Stock on the Pricing Date and is specified under “Key Terms – Initial
Value” in this pricing supplement. For historical data regarding the actual closing prices of one share of the Reference
Stock, please see the historical information set forth under “The Reference Stock” 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 second Observation Date.
Date |
Closing Price |
Payment (per $1,000 principal amount Note) |
First Observation Date |
$105.00 |
$12.50 |
Second Observation Date |
$105.00 |
$1,012.50 |
|
Total Payment |
$1,025.00 (2.50% return) |
Because the
closing price of one share of the Reference Stock on the second Observation Date is greater than or equal to the Initial Value,
the Notes will be automatically called for a cash payment, for each $1,000 principal amount Note, of $1,012.50 (or $1,000 plus
the Contingent Interest Payment applicable to the second Observation Date), payable on the applicable Call Settlement Date. The
Notes are not automatically callable before the second Observation Date, even though the closing price of one share of the Reference
Stock on the first Observation Date is greater than the Initial Value. When added to the Contingent Interest Payments received
with respect to the prior Observation Date, the total amount paid, for each $1,000 principal amount Note, is $1,025.00.
No further payments will be made on the Notes.
Example 2 — Notes have NOT been
automatically called, and the Final Value is greater than or equal to the Trigger Value.
Date |
Closing Price |
Payment (per $1,000 principal amount Note) |
First Observation Date |
$95.00 |
$12.50 |
Second Observation Date |
$85.00 |
$12.50 |
Third through Eleventh Observation Dates |
Less than Coupon Barrier |
$0 |
Valuation Date |
$105.00 |
$1,012.50 |
|
Total Payment |
$1,037.50 (3.75% return) |
Because the Notes have not been automatically
called and the Final Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount
Note, will be $1,012.50 (or $1,000 plus the Contingent Interest Payment applicable to the Valuation Date). When added to
the Contingent Interest Payments received with respect to the prior Observation Dates, the total amount paid, for each $1,000 principal
amount Note, is $1,037.50.
|
|
PS-4 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
Example 3 — Notes have NOT been
automatically called, and the Final Value is less than the Trigger Value.
Date |
Closing Price |
Payment (per $1,000 principal amount Note) |
First Observation Date |
$50.00 |
$0 |
Second Observation Date |
$45.00 |
$0 |
Third through Eleventh Observation Date |
Less Than Coupon Barrier |
$0 |
Valuation Date |
$40.00 |
$400.00†† |
|
Total Payment |
$400†† (-60.00% return) |
†† Reflects the
value of the Physical Delivery Amount on the Maturity Date, assuming it is equal to the Cash Value
Because the Notes have not been automatically
called, and the Final Value is less than the Trigger Value, you will receive at maturity, for each $1,000 principal amount Note,
the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value) . Fractional
shares will be paid in cash. Assuming that the value of the Physical Delivery Amount, on the Maturity Date is equal to the Cash
Value, the value of the payment at maturity will be $400.00 per $1,000 principal amount Note, calculated as follows:
[($1,000 / $100.00) × $40.00] = $400.00
The actual value of the Physical Delivery
Amount will be less than the Cash Value if the price of the Reference Stock on the Maturity Date is less than the Final Value.
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” section of the accompanying
product 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 is less than the Trigger Value, you will
receive at maturity a predetermined number of shares of the Reference Stock (or, at our election, the Cash Value), the market value
of which will most likely be substantially less than the principal amount of your Notes, and may be zero.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the Notes have not been automatically
called, we will make a Contingent Interest Payment with respect to an Observation Date only if the closing price of one share of
the Reference Stock on that Observation Date is greater than or equal to the Coupon Barrier. If the closing price of one share
of the Reference Stock on that Observation Date is less than the Coupon Barrier, no Contingent Interest Payment will be made with
respect to that Observation Date. Accordingly, if the closing price of one share of the Reference Stock on each Observation Date
is less than the Coupon Barrier, you will not receive any interest payments over the term of the Notes.
| · | 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 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 price of the Reference Stock, which may be significant. You will not participate in any appreciation in the price of the
Reference Stock.
|
|
PS-5 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
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.
| · | IF YOU RECEIVE THE PHYSICAL DELIVERY AMOUNT AT MATURITY, THE VALUE OF THE AMERICAN DEPOSITARY
SHARES OF THE REFERENCE STOCK YOU RECEIVE MAY BE LESS ON THE MATURITY DATE THAN ON THE VALUATION DATE — |
We will make no adjustments to
the Physical Delivery Amount to account for any fluctuations in the value of the American depositary shares of the Reference Stock
to be delivered at maturity. You will bear the risk of any decrease in the value of those shares between the Valuation
Date and the Maturity Date.
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE VALUATION DATE — |
If the Final Value is less than
the Trigger Value and the Notes have not been automatically called, the benefit provided by the Trigger Value will terminate and
you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock.
| · | 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 two months and you will not receive any Contingent Interest
Payments after the applicable Call Settlement 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 REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE
STOCK. |
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — |
We have not independently verified
any 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 issuer’s public disclosure of information,
whether contained in SEC filings or otherwise.
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not
make an adjustment in response to all events that could affect the Reference Stock. 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.
| · | THE RISK OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE COUPON BARRIER OR THE TRIGGER
VALUE IS GREATER IF THE PRICE OF THE REFERENCE STOCK 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.
|
|
PS-6 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
| · | 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 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 price of the Reference
Stock. 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.
| · | RISKS ASSOCIATED WITH NON-U.S. COMPANIES — |
An investment in Notes linked
to the American depositary shares representing interests in the Class A ordinary shares of the Reference Stock which are issued
by a China-based company, involves risks associated with the home country of the Reference Stock. The prices of securities issued
by non-U.S. companies may be affected by political, economic, financial and social factors in the home country of the non-U.S.
issuer, including changes in that country’s government, economic and fiscal policies, currency exchange laws or other laws
or restrictions. Moreover the economy of that country may differ favorably or unfavorably from the economy of the United States
in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
Such country may be subjected to different and, in some cases, more adverse economic environments.
| · | THERE ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF ADSs OF THE REFERENCE STOCK AND
THE RIGHTS OF HOLDERS OF CLASS A ORDINARY SHARES OF THE REFERENCE STOCK — |
You should be aware that the return
on Notes linked to the ADSs of the Reference Stock is linked to the price of the ADSs and not the Class A ordinary shares of the
Reference Stock. There are important differences between the rights of holders of ADSs and the rights of holders of shares of the
Class A ordinary shares. Each ADS is a security evidenced by an American depositary receipt that represents two Class A ordinary
shares of the Reference Stock. The ADSs are issued pursuant to a deposit agreement, which sets forth the rights and responsibilities
of the ADS depositary, the Reference Stock, and holders of the ADSs, which may be different from the rights of holders of Class
A ordinary shares. For example, a company may make distributions in respect of the Class A ordinary shares that are not passed
on to the holders of its ADSs. Any such differences between the rights of holders of
|
|
PS-7 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
the ADSs and the rights of holders
of Class A ordinary shares of the Reference Stock may be significant and may materially and adversely affect the value of the ADSs
and, as a result, the Notes linked to the ADSs of the Reference Stock.
| · | LIMITED TRADING HISTORY — |
The Reference Stock commenced
trading on NASDAQ on May 23, 2014 and therefore has limited historical performance. Accordingly, historical information for the
Reference Stock is available only since that date. Past performance should not be considered indicative of future performance.
|
|
PS-8 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
The
Reference Stock
All information contained herein on the Reference
Stock and on JD.com, Inc. is derived from publicly available sources, without independent verification. According to its publicly
available filings with the SEC, JD.com, Inc. is an online direct sales company. The American depositary shares, par value $0.00002
per share, of JD.com, Inc. (Bloomberg ticker: JD) is registered under the Securities Exchange Act of 1934, as amended, which we
refer to as the Exchange Act, and is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes
of JD.com, Inc. in the accompanying product supplement no. 4a-I. Information provided to or filed with the SEC by JD.com, Inc.
pursuant to the Exchange Act can be located by reference to SEC file number 001-36450, 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
The following
graph sets forth the historical performance of the Reference Stock based on the weekly historical closing prices of one share of
the Reference Stock from May 23, 2014 through July 24, 2015. The Reference Stock commenced trading on NASDAQ on May 23,
2014 and therefore has limited performance history. The closing price of one share of the Reference
Stock on July 28, 2015 was $32.48. We obtained the closing prices above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices below may have been adjusted by Bloomberg
for corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one
share 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 Observation Date. We cannot give you assurance that the performance of
the Reference Stock will result in the return of any of your principal amount or the payment of any interest.
Historical Performance
of the American Depositary Shares of JD.com, Inc.
Source: Bloomberg |
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
|
|
PS-9 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
Notes could be materially 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 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.
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 amounts paid with respect to the Notes. 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.
|
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PS-10 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
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.”
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 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 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. 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, 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.
|
|
PS-11 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
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 |
| · | 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-12 | Structured Investments
Contingent Coupon Auto Callable Yield Notes Linked to the American
Depositary Shares of JD.com, Inc. |
|
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