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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$1,500,000 |
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$174.30 |
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Pricing supplement no. 1124 To
prospectus dated November 7, 2014, prospectus supplement dated November 7, 2014,
product supplement no. 4a-I dated November 7, 2014 and
underlying supplement no. 1a-I dated November 7, 2014 |
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Registration Statement No. 333-199966 Dated August 25, 2015 Rule 424(b)(2) |
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$1,500,000
Review Notes Linked to the Russell 2000® Index due August 30,
2018 |
General
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The notes are designed for investors who seek early exit prior to maturity at a premium if, (1) with respect to any Review Date (other than the final Review
Date), the closing level of the Russell 2000® Index on that Review Date is at or above the Call Level or, (2) with respect to the final Review Date, the Ending Index
Level is at or above the Call Level applicable to that Review Date. If the notes are not automatically called and the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 20%, investors will lose more
than 20% of their principal amount at maturity and may lose all of their principal amount at maturity. |
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Investors in the notes should be willing to accept this risk of loss and be willing to forgo interest and dividend payments, in exchange for the opportunity to
receive a premium payment if the notes are automatically called. |
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The earliest date on which an automatic call may be initiated is September 9,
2016. |
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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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Index: |
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The Russell 2000® Index (Bloomberg ticker: RTY) (the Index) |
Automatic Call: |
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If (1) with respect to any Review Date (other than the final Review Date), the closing level of the Index on that Review Date is greater than or equal to the Call Level or, (2) with
respect to the final Review Date, the Ending Index Level is greater than or equal to the Call Level, the notes will be automatically called for a cash payment per note that will be payable on the applicable Call Settlement Date and that will vary
depending on the applicable Review Date and call premium. |
Call Level: |
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100% of the Initial Index Level for each Review Date |
Payment if Called: |
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For every $1,000 principal amount note, you will receive one payment of $1,000 plus a call premium amount, calculated as follows:
● 10.40% × $1,000 if automatically
called on the first Review Date ●
20.80% × $1,000 if automatically called on the second Review Date ● 31.20% × $1,000 if automatically called on the final Review Date |
Payment at Maturity: |
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If the notes are not automatically called and the Ending Index Level is less than the Initial Index Level by up to 20%, you will receive the
principal amount of your notes at maturity. If the notes are not automatically called and the Ending Index Level is less than the Initial Index Level by
more than 20%, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level. Under these circumstances, your payment at maturity per $1,000 principal amount note will be
calculated as follows: $1,000 + ($1,000 × Index
Return) If the notes are not automatically called and the Ending
Index Level is less than the Initial Index Level by more than 20%, you will lose more than 20% of your principal amount at maturity and may lose all of your principal amount at maturity |
Contingent Buffer Amount: |
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20% |
Index Return: |
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(Ending Index Level Initial Index Level) Initial Index Level |
Initial Index Level: |
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The closing level of the Index on the Pricing Date, which was 1,104.097 |
Ending Index Level: |
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The arithmetic average of the closing levels of the Index on the Ending Averaging Dates |
Pricing Date: |
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August 25, 2015 |
Original Issue Date (Settlement
Date): |
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On or about August 28, 2015 |
Review Dates: |
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September 9, 2016, August 25, 2017 and August 27, 2018 (final Review Date) |
Ending Averaging Dates: |
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August 21, 2018, August 22, 2018, August 23, 2018, August 24, 2018 and August 27, 2018 |
Call Settlement Date: |
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The third business day after the applicable Review Date, except that if the notes are called on the final Review Date, the Call Settlement Date will be the Maturity Date |
Maturity Date: |
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August 30, 2018 |
CUSIP: |
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48125UT28 |
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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, Risk Factors beginning on page US-2 of the accompanying underlying supplement 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.
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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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$20 |
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$980 |
Total |
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$1,500,000 |
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$30,000 |
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$1,470,000 |
(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 $20.00 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 $963.20 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.
August 25, 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 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):
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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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Underlying supplement no. 1a-I dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_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 Review Notes Linked to the Russell 2000® Index |
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PS-1 |
Hypothetical Examples of Amount Payable upon Automatic Call or at Maturity
The following table illustrates the hypothetical simple total return (i.e., not compounded) on the notes that could be realized with respect to the
applicable Review Date for a range of movements in the Index as shown under the columns Index Level Appreciation/Depreciation at Review Date and Index Return. The following table assumes a hypothetical Initial Index Level of
1,100 and a hypothetical Call Level of 1,100 (equal to 100% of the hypothetical Initial Index Level) and reflects the Contingent Buffer Amount of 20%. The table also reflects that the call premiums used to calculate the call premium amount
applicable to the first, second and final Review Dates are 10.40%, 20.80% and 31.20%, respectively, regardless of the appreciation of the Index, which may be significant. There will be only one payment on the notes whether called or at maturity. An
entry of N/A indicates that the notes would not be called on the applicable Review Date and no payment would be made on the applicable Call Settlement Date. Each hypothetical return set forth below is for illustrative purposes only and
may not be the actual total return applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
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Review Dates Prior to the Final Review Date |
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Final Review
Date |
Closing Level of the Index at Review
Date |
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Index Level
Appreciation/
Depreciation at
Review Date |
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Total
Return at
First
Call Settlement Date |
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Total
Return at
Second
Call Settlement Date |
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Ending Index Level (1) |
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Index Return |
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Total Return
at
Maturity |
1,980.00 |
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80.00% |
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10.40% |
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20.80% |
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1,980.00 |
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80.00% |
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31.20% |
1,870.00 |
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70.00% |
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10.40% |
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20.80% |
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1,870.00 |
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70.00% |
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31.20% |
1,760.00 |
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60.00% |
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10.40% |
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20.80% |
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1,760.00 |
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60.00% |
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31.20% |
1,650.00 |
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50.00% |
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10.40% |
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20.80% |
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1,650.00 |
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50.00% |
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31.20% |
1,540.00 |
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40.00% |
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10.40% |
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20.80% |
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1,540.00 |
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40.00% |
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31.20% |
1,430.00 |
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30.00% |
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10.40% |
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20.80% |
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1,430.00 |
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30.00% |
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31.20% |
1,320.00 |
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20.00% |
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10.40% |
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20.80% |
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1,320.00 |
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20.00% |
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31.20% |
1,210.00 |
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10.00% |
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10.40% |
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20.80% |
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1,210.00 |
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10.00% |
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31.20% |
1,100.00 |
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0.00% |
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10.40% |
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20.80% |
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1,100.00 |
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0.00% |
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31.20% |
1,045.00 |
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-5.00% |
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N/A |
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N/A |
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1,045.00 |
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-5.00% |
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0.00% |
990.00 |
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-10.00% |
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N/A |
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N/A |
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990.00 |
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-10.00% |
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0.00% |
880.00 |
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-20.00% |
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N/A |
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N/A |
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880.00 |
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-20.00% |
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0.00% |
879.89 |
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-20.01% |
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N/A |
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N/A |
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879.89 |
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-20.01% |
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-20.01% |
770.00 |
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-30.00% |
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N/A |
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N/A |
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770.00 |
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-30.00% |
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-30.00% |
660.00 |
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-40.00% |
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N/A |
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N/A |
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660.00 |
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-40.00% |
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-40.00% |
550.00 |
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-50.00% |
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N/A |
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N/A |
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550.00 |
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-50.00% |
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-50.00% |
440.00 |
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-60.00% |
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N/A |
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N/A |
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440.00 |
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-60.00% |
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-60.00% |
330.00 |
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-70.00% |
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N/A |
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N/A |
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330.00 |
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-70.00% |
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-70.00% |
220.00 |
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-80.00% |
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N/A |
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N/A |
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220.00 |
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-80.00% |
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-80.00% |
110.00 |
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-90.00% |
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N/A |
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N/A |
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110.00 |
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-90.00% |
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-90.00% |
0.00 |
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-100.00% |
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N/A |
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N/A |
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0.00 |
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-100.00% |
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-100.00% |
(1) |
The Ending Index Level is equal to the arithmetic average of the closing levels of the Index on the Ending Averaging Dates. |
The following examples illustrate how the payment upon an automatic call or at maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases from the Initial Index Level of 1,100 to a closing level of 1,210 on the first Review Date. Because the closing
level of the Index on the first Review Date of 1,210 is greater than the Call Level of 1,100, the notes are automatically called, and the investor receives a single payment of $1,104 per $1,000 principal amount note on the first Call Settlement
Date.
Example 2: The level of the Index decreases from the Initial Index Level of 1,100 to closing levels of 990 and 880 on the first and second
Review Dates, respectively, and increases from the Initial Index Level of 1,100 to an Ending Index Level of 1,210. Because the closing level of the Index on each of the first two Review Dates (990 and 880) is less than the Call Level of 1,100,
the notes are not automatically called on these Review Dates. However, because the Ending Index Level of 1,210 is greater than the Call Level of 1,100, the notes are automatically called on the final Review Date, and the investor receives a single
payment at maturity of $1,312 per $1,000 principal amount note.
Example 3: The level of the Index decreases from the Initial Index Level of 1,100 to
closing levels of 660 and 770 on the first and second Review Dates, respectively, and to an Ending Index Level of 880. Because (a) the closing level of the Index on each of the first two Review Dates (660 and 770) is less than the Call
Level of 1,100 and (b) the Ending Index Level of 880 is less than the Initial Index Level by up to the Contingent Buffer Amount of 20%, the notes are not automatically called and the payment at maturity is the principal amount of $1,000 per
$1,000 principal amount note.
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JPMorgan Structured
Investments Review Notes Linked to the Russell 2000® Index |
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Example 4: The level of the Index decreases from the Initial Index Level of 1,100 to closing levels of 880 and 770
on the first and second Review Dates, respectively, and to an Ending Index Level of 660. Because (a) the closing level of the Index on each of the first two Review Dates (880 and 770) is less than the Call Level of 1,100, and (b) the
Ending Index Level of 660 is less than the Initial Index Level by more than the Contingent Buffer Amount of 20%, the notes are not automatically called and the investor receives a payment at maturity that is less than the principal amount for each
$1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -40%) = $600
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 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 Purchase Considerations
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APPRECIATION POTENTIAL If (1) with respect to any Review Date (other than the final Review Date), the closing level of the Index is greater
than or equal to the Call Level on that Review Date or, (2) with respect to the final Review Date, the Ending Index Level is greater than or equal to the Call Level, your investment will yield a payment per $1,000 principal amount note of
$1,000 plus: (i) 10.40% × $1,000 if automatically called on the first Review Date, (ii) 20.80% × $1,000 if automatically called on the second Review Date; or (iii) 31.20% × $1,000 if automatically called on
the final Review Date. 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 EARLY EXIT WITH APPRECIATION AS A RESULT OF AUTOMATIC CALL FEATURE While the original term of the notes is approximately three years, the
notes will be automatically called before maturity if, (1) with respect to any Review Date (other than the final Review Date), the closing level of the Index on that Review Date is at or above the Call Level or, (2) with respect to the
final Review Date, the Ending Index Level is at or above the Call Level, and you will be entitled to the applicable payment corresponding to the relevant Review Date as set forth on the cover of this pricing supplement. |
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LIMITED PROTECTION AGAINST LOSS If the notes are not automatically called and the Ending Index Level is less than the Initial Index Level by up to
the Contingent Buffer Amount of 20%, you will be entitled to the full repayment of your principal at maturity. If the Ending Index Level is less than the Initial Index Level by more than 20%, for every 1% that the Ending Index Level is less than the
Initial Index Level, you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances, you will lose more than 20% of your principal amount at maturity and may lose all of your principal amount at maturity.
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RETURN LINKED TO THE RUSSELL 2000® INDEX The return on the notes is linked to the Russell 2000® Index. The Russell 2000® 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 Russell 2000® Index is
designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index, see the information set forth under Equity Index Descriptions The Russell Indices in the accompanying underlying supplement no. 1a-I.
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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
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JPMorgan Structured
Investments Review Notes Linked to the Russell 2000® Index |
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PS-3 |
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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.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Index or any of the equity securities included in the Index. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 4a-I
and the Risk Factors section of the accompanying underlying supplement 1a-I.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS The notes do not guarantee any return of principal. If the notes are not automatically called,
the return on the notes at maturity is linked to the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. If the Ending Index Level is less than the Initial Index Level by more than
the Contingent Buffer Amount of 20%, the benefit provided by the Contingent Buffer Amount will terminate and for every 1% that the Ending Index Level is less than the Initial Index Level, you will lose an amount equal to 1% of the principal amount
of your notes. Under these circumstances, you will lose more than 20% of your principal amount at maturity and may lose all of your principal amount at maturity. |
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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 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. |
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LIMITED RETURN ON THE NOTES Your potential gain on the notes will be limited to the call premium applicable to the Review Dates, as set forth on
the cover of this pricing supplement, regardless of the appreciation in the Index, which may be significant. Because the closing level of the Index at various times during the term of the notes could be higher than on the Review Dates, you may
receive a lower payment if automatically called or at maturity, as the case may be, than you would have if you had invested directly in the Index. |
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REINVESTMENT RISK If your notes are automatically called early, the term of the notes may be reduced to as short as approximately one year. 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 in the event the notes are automatically called prior to the Maturity Date.
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE If the notes have not been automatically called
previously and the Ending Index Level is less than the Initial Index Level 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 Index.
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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 |
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JPMorgan Structured
Investments Review Notes Linked to the Russell 2000® Index |
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PS-4 |
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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 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 the level of the Index , 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 of the Index; |
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the time to maturity of the notes; |
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the likelihood of an automatic call being triggered; |
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the dividend rates on the equity securities included in the Index; |
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interest and yield rates in the market generally; 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 INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS As a holder of the notes, you will not receive interest payments, and you will not have voting
rights or rights to receive cash dividends or other distributions or other rights that holders of securities composing the Index would have. |
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VOLATILITY RISK Greater expected volatility with respect to the Index indicates a greater likelihood as of the Pricing Date that the Ending Index
Level could be below its Call Level or below its Initial Index Level by more than the Contingent Buffer Amount. The Indexs volatility, however, can change significantly over the term of the notes. The closing level of the Index could fall
sharply between the Pricing Date and the final Review Date, which could result in a significant loss of principal. |
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JPMorgan Structured
Investments Review Notes Linked to the Russell 2000® Index |
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PS-5 |
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS The stocks that constitute the Index are issued by
companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. 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. |
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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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JPMorgan Structured
Investments Review Notes Linked to the Russell 2000® Index |
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PS-6 |
Historical Information
The following graph sets forth the historical performance of the Index based on the weekly historical closing levels of the Index from
January 8, 2010 through August 21, 2015. The closing level of the Index on August 25, 2015 was 1,104.097. We obtained the closing levels of the Index above and below from the Bloomberg Professional® service (Bloomberg), without independent verification. Although Russell Investments publishes the official closing
levels of the Index to six decimal places, Bloomberg publishes the closing levels of the Index to only three decimal places. The historical closing levels of the Index should not be taken as an indication of future performance, and no assurance can
be given as to the closing level of the Index on any Review Date or Ending Averaging Date. We cannot give you assurance that the performance of the Index 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
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
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JPMorgan Structured
Investments Review Notes Linked to the Russell 2000® Index |
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PS-7 |
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 Hypothetical Examples of Amount Payable upon Automatic Call or at Maturity in this pricing supplement for an illustration of the risk-return profile of the notes and Selected Purchase Considerations
Return Linked to the Russell 2000® Index in this pricing supplement for a description of the market exposure
provided by the notes.
The original issue price of the notes is equal to 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 Review Notes Linked to the Russell 2000® Index |
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PS-8 |
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