CALCULATION
OF REGISTRATION FEE |
Title
of Each Class of
Securities Offered |
Maximum
Aggregate Offering Price |
Amount
of Registration Fee |
Notes |
$5,000,000 |
$581.00 |
Pricing
supplement no. 1156
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
|
Registration Statement No. 333-199966
Dated August 26, 2015
Rule 424(b)(2)
|
Structured
Investments |
$5,000,000
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index due August 30, 2018
|
General
| · | The notes are designed for investors who seek a Contingent Interest
Payment with respect to each Review Date for which the closing level of each of the S&P 500® Index and the EURO
STOXX 50® Index is greater than or equal to 70% of its Initial Index Level, which we refer to as an Interest Barrier.
Investors should be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments. |
| · | Investors in the notes should be willing to accept the risk of losing
some or all of their principal if a Trigger Event (as defined below) has occurred and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. |
| · | The notes will be automatically called if the closing level of each
Index on any Review Date (other than the final Review Date) is greater than or equal to its Initial Index Level. The earliest date
on which an automatic call may be initiated is September 9, 2016. |
| · | 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. |
| · | The payment at maturity is not linked to a basket composed
of the Indices. The payment at maturity is linked to the performance of each of the Indices individually, as described below. |
| · | Minimum denominations of $10,000 and integral multiples of $1,000 in
excess thereof |
Key Terms
Indices: |
The S&P 500® Index (Bloomberg ticker: SPX) and the EURO STOXX 50® Index (Bloomberg ticker: SX5E) (each, an “Index” and collectively, the “Indices”) |
Contingent Interest Payments: |
If the notes have not been automatically called and the closing
level of each Index on any Review Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest
Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $90.00 (equivalent to an interest rate
of 9.00% per annum).
If the closing level of either Index on any Review Date is
less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
|
Interest Barrier / Trigger Level: |
With respect to the S&P 500® Index, 1,358.357, which is 70% of its Initial Index Level. With respect to the EURO STOXX 50® Index, 2,219.511, which is 70% of its Initial Index Level |
Contingent Interest Rate: |
9.00% per annum, if applicable
|
Automatic Call: |
If the closing level of each Index on any Review Date (other than the final Review Date) is greater than or equal to its Initial Index Level, 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 Review Date, payable on the applicable Call Settlement Date. |
Payment at Maturity:
|
If the notes have not been automatically called and a Trigger
Event has not occurred, 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 final Review Date.
If the notes have not been automatically called and a Trigger
Event has occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending
Index Level of the Lesser Performing Index is less than its 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 × Lesser Performing
Index Return)
If the notes have not been automatically called and a Trigger
Event has occurred, you will lose more than 30% of your principal amount at maturity and could lose up to the entire principal
amount of your notes at maturity.
|
Trigger Event: |
A Trigger Event occurs if the Ending Index Level (i.e., the closing level on the final Review Date) of either Index is less than its Trigger Level. |
Pricing Date: |
August 26, 2015 |
Original Issue Date (Settlement Date): |
On or about August 31, 2015 |
Review Dates†: |
September 9, 2016, August 25, 2017 and August 27, 2018 (the “final Review Date”) |
Interest Payment Dates†: |
September 14, 2016, August 30, 2017 and the Maturity Date |
Call Settlement Date†: |
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date |
Maturity Date†: |
August 30, 2018 |
CUSIP: |
48125UT77 |
Other Key Terms: |
See “Additional Key Terms” in this pricing supplement |
| † | 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 Multiple Underlyings” 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 no. 1a-I and “Selected Risk Considerations” beginning on page PS-4
of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$16 |
$984 |
Total |
$5,000,000 |
$80,000 |
$4,920,000 |
| (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 $16.00 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 $975.20 per $1,000 principal amount note. See “JPMS’s Estimated Value of
the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency, and are not obligations of, or guaranteed by, a bank.
August 26, 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):
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.
Additional Key Terms
Index Return: |
With respect to each Index:
(Ending Index Level –
Initial Index Level)
Initial Index Level
|
Initial Index Level: |
With respect to each Index, the closing level of that Index on the Pricing Date, which was 1,940.51 for the S&P 500® Index and 3,170.73 for the EURO STOXX 50® Index |
Ending Index Level: |
With respect to each Index, the closing level of that Index on the final Review Date |
Lesser Performing Index: |
The Index with the Lesser Performing Index Return |
Lesser Performing Index Return: |
The lower of the Index Returns of the Indices |
JPMorgan Structured Investments — | PS-1 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
What Are the Payments on the Notes, Assuming
a Range of Performances for the Lesser Performing Index?
If the notes have not been automatically called and the closing
level of each Index on any Review Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest
Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $90.00 (equivalent to an interest rate
of 9.00% per annum). If the closing level of either Index on any Review Date is less than its Interest Barrier, no Contingent Interest
Payment will be made with respect to that Review Date. We refer to the Interest Payment Date immediately following any Review Date
on which the closing level of either Index is less than its Interest Barrier as a “No-Coupon Date.” The following table
reflects the Contingent Interest Rate of 9.00% per annum and illustrates the hypothetical total Contingent Interest Payments per
$1,000 principal amount note over the term of the notes depending on how many No-Coupon Dates occur.
Number of
No-Coupon Dates
|
Total Contingent Coupon Payments |
0 No-Coupon Dates |
$270.00 |
1 No-Coupon Date |
$180.00 |
2 No-Coupon Dates |
$90.00 |
3 No-Coupon Dates |
$0.00 |
The following table illustrates the hypothetical payments on
the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes that the Lesser Performing
Index is the EURO STOXX 50® Index and that the closing level of the other Index on each Review Date is greater than
or equal to its Initial Index Level (and therefore its Interest Barrier and Trigger Level). We make no representation or warranty
as to which of the Indices will be the Lesser Performing Index for purposes of calculating your actual payment at maturity, if
any, or as to what the closing level of either Index will be on any Review Date. In addition, the following table and
examples assume an Initial Index Level for the Lesser Performing Index of 3,200, an Interest Barrier and a Trigger Level for the
Lesser Performing Index of 2,240 (equal to 70% of the hypothetical Initial Index Level) and reflect the Contingent Interest Rate
of 9.00% per annum. 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 table and examples have been rounded for ease of
analysis.
|
Review Dates Prior to the Final Review Date |
Final Review Date |
Closing Level of the Lesser Performing Index |
Lesser Performing Index Appreciation / Depreciation at Review Date |
Payment on Interest Payment Date or Call Settlement Date (1)(2) |
Lesser Performing Index Return |
Payment at Maturity If a Trigger Event Has Not Occurred (2)(3) |
Payment at Maturity If a Trigger Event Has Occurred (3) |
5,760.00 |
80.00% |
$1,090.00 |
80.00% |
$1,090.00 |
N/A |
5,440.00 |
70.00% |
$1,090.00 |
70.00% |
$1,090.00 |
N/A |
5,120.00 |
60.00% |
$1,090.00 |
60.00% |
$1,090.00 |
N/A |
4,800.00 |
50.00% |
$1,090.00 |
50.00% |
$1,090.00 |
N/A |
4,480.00 |
40.00% |
$1,090.00 |
40.00% |
$1,090.00 |
N/A |
4,160.00 |
30.00% |
$1,090.00 |
30.00% |
$1,090.00 |
N/A |
3,840.00 |
20.00% |
$1,090.00 |
20.00% |
$1,090.00 |
N/A |
3,680.00 |
15.00% |
$1,090.00 |
15.00% |
$1,090.00 |
N/A |
3,520.00 |
10.00% |
$1,090.00 |
10.00% |
$1,090.00 |
N/A |
3,360.00 |
5.00% |
$1,090.00 |
5.00% |
$1,090.00 |
N/A |
3,200.00 |
0.00% |
$1,090.00 |
0.00% |
$1,090.00 |
N/A |
3,040.00 |
-5.00% |
$90.00 |
-5.00% |
$1,090.00 |
N/A |
2,880.00 |
-10.00% |
$90.00 |
-10.00% |
$1,090.00 |
N/A |
2,560.00 |
-20.00% |
$90.00 |
-20.00% |
$1,090.00 |
N/A |
2,240.00 |
-30.00% |
$90.00 |
-30.00% |
$1,090.00 |
N/A |
2,239.68 |
-30.01% |
N/A |
-30.01% |
N/A |
$699.90 |
1,920.00 |
-40.00% |
N/A |
-40.00% |
N/A |
$600.00 |
1,600.00 |
-50.00% |
N/A |
-50.00% |
N/A |
$500.00 |
1,280.00 |
-60.00% |
N/A |
-60.00% |
N/A |
$400.00 |
960.00 |
-70.00% |
N/A |
-70.00% |
N/A |
$300.00 |
640.00 |
-80.00% |
N/A |
-80.00% |
N/A |
$200.00 |
320.00 |
-90.00% |
N/A |
-90.00% |
N/A |
$100.00 |
0.00 |
-100.00% |
N/A |
-100.00% |
N/A |
$0.00 |
(1) The notes will be automatically called if the
closing level of each Index on any Review Date (other than the final Review Date) is greater than or equal to its Initial Index
Level.
(2) You will receive a Contingent Interest Payment
in connection with a Review Date if the closing level of each Index on that Review Date is greater than or equal to its Interest
Barrier.
JPMorgan Structured Investments — | PS-2 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
(3) A Trigger Event occurs if the Ending Index Level
(i.e., the closing level on the final Review Date) of either Index is less than its Trigger Level.
Hypothetical Examples of Amounts Payable on
the Notes
The following examples illustrate how payments on the notes in
different hypothetical scenarios are calculated.
Example 1: The closing level of the Lesser Performing Index
increases from the Initial Index Level of 3,200 to a closing level of 3,840 on the first Review Date. Because the closing level
of each Index on the first Review Date is greater than its Interest Barrier, the investor is entitled to receive a Contingent Interest
Payment in connection with the first Review Date. In addition, because the closing level of each Index on the first Review Date
is greater than its Initial Index Level, the notes are automatically called. Accordingly, the investor receives a payment of $1,090
per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $90 per $1,000
principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the
notes over the term of the notes is $1,090 per $1,000 principal amount note.
Example 2: The notes have not been automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date
and the closing level of the Lesser Performing Index increases from the Initial Index Level of 3,200 to an Ending Index Level of
3,840 — A Trigger Event has not occurred. The investor receives a payment of $90 per $1,000 principal amount note in
connection with each of the Review Dates preceding the final Review Date. Because the notes have not been automatically called
prior to maturity, a Trigger Event has not occurred and the Ending Index Level of each Index is greater than its Interest Barrier,
the investor receives at maturity a payment of $1,090 per $1,000 principal amount note. This payment consists of a Contingent Interest
Payment of $90 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The
total amount paid on the notes over the term of the notes is $1,270 per $1,000 principal amount note. This represents the
maximum total payment an investor may receive over the term of the notes.
Example 3: The notes have not been automatically called prior
to maturity, Contingent Interest Payments are paid in connection with one of the Review Dates preceding the final Review Date and
the closing level of the Lesser Performing Index decreases from the Initial Index Level of 3,200 to an Ending Index Level of 2,240
— A Trigger Event has not occurred. The investor receives a payment of $90 per $1,000 principal amount note in connection
with one of the Review Dates preceding the final Review Date. Because the notes have not been automatically called prior to maturity,
a Trigger Event has not occurred and the Ending Index Level of the Lesser Performing Index is equal to its Interest Barrier, even
though the Ending Index Level of the Lesser Performing Index is less than its Initial Index Level, the investor receives at maturity
a payment of $1,090 per $1,000 principal amount note. This payment consists of a Contingent Interest Payment of $90 per $1,000
principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the
notes over the term of the notes is $1,180 per $1,000 principal amount note.
Example 4: The notes have not been automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date
and the closing level of the Lesser Performing Index decreases from the Initial Index Level of 3,200 to an Ending Index Level of
1,280 — A Trigger Event has occurred. The investor receives a payment of $90 per $1,000 principal amount note in connection
with each of the Review Dates preceding the final Review Date. Because the notes have not been automatically called prior to maturity,
a Trigger Event has occurred and the Lesser Performing Index Return is -60%, the investor receives at maturity a payment of $400
per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -60%) = $400
The total amount paid on the notes over the term of the notes
is $580 per $1,000 principal amount note.
Example 5: The notes have not been automatically called prior
to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the
closing level of the Lesser Performing Index decreases from the Initial Index Level of 3,200 to an Ending Index Level of 960 —
A Trigger Event has occurred. Because the notes have not been automatically called prior to maturity, no Contingent Interest
Payments are paid in connection with the Review Dates preceding the final Review Date, a Trigger Event has occurred and the Lesser
Performing Index Return is -70%, the investor receives no payments over the term of the notes, other than a payment at maturity
of $300 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -70%) = $300
The 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 payments
shown above would likely be lower.
JPMorgan Structured Investments — | PS-3 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
Selected Purchase Considerations
| · | ANNUAL CONTINGENT INTEREST PAYMENTS — The notes offer
the potential to earn a Contingent Interest Payment in connection with each annual Review Date of $90.00 per $1,000 principal amount
note equivalent to an interest rate of 9.00% per annum). If the notes have not been automatically called and the closing level
of each Index on any Review Date is greater than or equal to its Interest Barrier, you will receive a Contingent Interest Payment
on the applicable Interest Payment Date. If the closing level of either Index on any Review Date is less than its Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. If payable, a Contingent Interest Payment will be
made to the holders of record at the close of business on the business day immediately preceding the applicable Interest Payment
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. |
| · | POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE —
If the closing level of each Index on any Review Date (other than the final Review Date) is greater than or equal to its Initial
Index Level, your notes will be automatically called prior to the Maturity Date. Under these circumstances, you will receive a
cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to that Review Date, payable on the applicable Call Settlement Date. |
| · | THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES
HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically called, we will pay you your principal
back at maturity only if a Trigger Event has not occurred. However, if the notes have not been automatically called and a Trigger
Event has occurred, you will lose more than 30% of your principal amount and could lose up to the entire principal amount of your
notes at maturity. |
| · | EXPOSURE TO EACH OF THE INDICES — The return on the notes
is linked to the Lesser Performing Index, which will be either the S&P 500® Index or the EURO STOXX 50®
Index. |
The S&P
500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
For additional information about the S&P 500® Index, see the information set forth under “Equity Index
Descriptions — The S&P 500® Index” in the accompanying underlying supplement no. 1a-I.
The EURO STOXX 50®
Index consists of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index
and STOXX® are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland
and/or its licensors (the “Licensors”), which are used under license. The notes based on the EURO STOXX 50®
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any
of its Licensors shall have any liability with respect thereto. For additional information about the EURO STOXX 50®
Index, see the information set forth under “Equity Index Descriptions — The EURO STOXX 50® Index”
in the accompanying underlying supplement no. 1a-I.
| · | TAX TREATMENT — You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. In determining
our reporting responsibilities we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts
with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement no. 4a-I. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes
could be materially affected. 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 payments on the notes, and (if they are recharacterized, in whole or in part,
as debt instruments) could also apply to the payment of gross proceeds of a sale of a note occurring after December 31, 2016 (including
an early redemption or redemption at maturity). You should consult your tax adviser regarding the potential application of FATCA
to the notes.
JPMorgan Structured Investments — | PS-4 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
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.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in either or both of the Indices or any of the equity securities included
in the Indices. These risks are explained in more detail in the “Risk Factors” section of the accompanying product
supplement no. 4a-I and in the “Risk Factors” section of the accompanying underlying supplement no. 1a-I.
| · | 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 a Trigger Event has occurred,
you will lose 1% of your principal amount at maturity for every 1% that the Ending Index Level of the Lesser Performing Index is
less than its Initial Index Level. Accordingly, under these circumstances, you will lose more than 30% of your principal amount
at maturity and could lose up to the entire principal amount of your notes at maturity. |
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY
ANY INTEREST AT ALL — The terms of the notes differ from those of conventional debt securities in that, among
other things, whether we pay interest is linked to the performance of each Index. If the notes have not been automatically called,
we will make a Contingent Interest Payment with respect to a Review Date only if the closing level of each Index on that Review
Date is greater than or equal to its Interest Barrier. If the closing level of either Index on that Review Date is less than its
Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date, and the Contingent Interest Payment
that would otherwise have been payable with respect to that Review Date will not be accrued and subsequently paid. Accordingly,
if the closing level of either Index on each Review Date is less than its Interest Barrier, you will not receive any interest payments
over the term of the notes. |
| · | 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. |
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If the notes are automatically called, the amount of Contingent Interest Payments made on the notes may be less than the amount
of Contingent Interest Payments that might have been payable if the notes were held to maturity, and, for each $1,000 principal
amount note, you will receive on the applicable Call Settlement Date $1,000 plus the Contingent Interest Payment applicable
to the relevant Review Date. |
| · | REINVESTMENT RISK — If your notes are automatically called,
the term of the notes may be reduced to as short as approximately one year and you will not receive any Contingent Interest Payments
after the applicable 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 in the event the notes are
automatically called prior to the Maturity Date. |
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL
NOT PARTICIPATE IN ANY APPRECIATION IN THE VALUE OF EITHER INDEX — The appreciation potential of the notes is limited
to the sum of any Contingent Interest Payments that may be paid over the term of the notes, regardless of any appreciation in the
value of either Index, which may be significant. You will not participate in any appreciation in the value of either Index. Accordingly,
the return on the notes may be significantly less than the return on a direct investment in either Index during the term of the
notes. |
| · | 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 JPMS’s 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. |
In
addition, we are currently one of the companies that make up the S&P 500® Index.
We will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect
the value of the S&P 500® Index and the notes.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH INDEX
— Your return on the notes and your payment at maturity, if any, is not linked to a basket consisting of the Indices.
If the notes have not been automatically called, your payment at maturity is contingent upon the performance of each individual
Index such that you will be equally exposed to the risks related to either of the Indices. The performance of the
Indices may not be correlated. Poor performance by either of the Indices over the term of the notes may negatively affect whether
you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not |
JPMorgan Structured Investments — | PS-5 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
| |
be offset or mitigated by positive performance by the other Index. Accordingly,
your investment is subject to the risk of decline in the value of each Index. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER LEVEL
MAY TERMINATE ON THE FINAL REVIEW DATE — If the Ending Index Level of either Index is less than its Trigger Level (i.e.,
a Trigger Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Level will terminate
and you will be fully exposed to any depreciation in the Lesser Performing Index. |
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING
INDEX — Because the payment at maturity will be determined based on the performance of the Lesser Performing Index, you
will not benefit from the performance of the other Index. Accordingly, if the notes have not been automatically called and
a Trigger Event has occurred, you will lose some or all of your principal amount at maturity, even if the Ending Index Level of
the other Index is greater than or equal to its Initial Index Level. |
| · | 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 — JPMS’s estimated value of the notes is determined by reference
to JPMS’s 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 JPMS’s assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for notes that
are greater than or less than 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. See
“JPMS’s Estimated Value of the Notes” in this pricing supplement. |
| · | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT
SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal funding rate used in the determination of JPMS’s estimated
value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The discount is based on, among
other things, our view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for our conventional fixed-rate debt. If JPMS were to use the interest rate implied
by our conventional fixed-rate credit spreads, we would expect the economic terms of the notes to be more favorable to you. Consequently,
our use of an internal funding rate would have an adverse effect on the terms of the notes and any secondary market prices of the
notes. See “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED
ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
— We generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period. 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). |
| · | 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.
| · | 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 levels of the Indices, including: |
| · | any actual or potential change in our creditworthiness or credit spreads; |
| · | customary bid-ask spreads for similarly sized trades; |
| · | secondary market credit spreads for structured debt issuances; |
JPMorgan Structured Investments — | PS-6 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
| · | the actual and expected volatility in the levels of the Indices; |
| · | the time to maturity of the notes; |
| · | whether the closing level of either Index has been, or is expected
to be, less than its Interest Barrier on any Review Date and whether a Trigger Event is expected to occur; |
| · | the likelihood of an automatic call being triggered; |
| · | the dividend rates on the equity securities included in the Indices; |
| · | the actual and expected positive or negative correlation between the
Indices, or the actual or expected absence of any such correlation; |
| · | interest and yield rates in the market generally; |
| · | the exchange rates and the volatility of the exchange rates between
the U.S. dollar and each of the currencies in which the equity securities included in the EURO STOXX 50® Index trade
and the correlation among those rates and the levels of the EURO STOXX 50® Index; and |
| · | 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.
| · | NO DIVIDENDS OR VOTING RIGHTS — As a holder of the notes,
you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the
securities included in the Indices would have. |
| · | VOLATILITY RISK — Greater expected volatility with respect
to an Index indicates a greater likelihood as of the Pricing Date that the closing level of that Index could be less than its Interest
Barrier on a Review Date and/or that a Trigger Event could occur. An Index’s volatility, however, can change significantly
over the term of the notes. The closing level of an Index could fall sharply on any day during the term of the notes, which could
result in your not receiving any Contingent Interest Payment or a significant loss of principal, or both. |
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50®
INDEX — The equity securities included in the EURO STOXX 50® Index have been issued by non-U.S. companies.
Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets
in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly
available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the
reporting requirements of the SEC. |
| · | NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH
RESPECT TO THE EURO STOXX 50® INDEX — The value of your notes will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies in which the equity securities included in the EURO STOXX 50® Index are
denominated, although any currency fluctuations could affect the performance of the EURO STOXX 50® Index. Therefore,
if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the notes, you will not receive
any additional payment or incur any reduction in any payment on the notes. |
| · | 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. |
JPMorgan Structured Investments — | PS-7 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
Historical Information
The following graphs show the historical weekly performance of
the S&P 500® Index and the EURO STOXX 50® Index from January 8, 2010 through August 21, 2015.
The closing level of the S&P 500® Index on August 26, 2015 was 1,940.51. The closing level of the EURO STOXX
50® Index on August 26, 2015 was 3,170.73.
We obtained the various closing levels of the Indices above and
below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. Although
Russell Investments publishes the official closing levels of the Russell 2000® Index to six decimal places, Bloomberg
publishes the closing levels of the Russell 2000® Index to only three decimal places The historical levels of each
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of either
Index on any Review Date, including the final Review Date. We cannot give you assurance that the performance of the Indices will
result in the return of any of your principal amount or the payment of any interest.
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
JPMorgan Structured Investments — | PS-8 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
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. See “Selected Risk Considerations — JPMS’s Estimated Value Does Not Represent Future Values of
the Notes and May Differ from Others’ Estimates.”
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. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the
notes. See “Selected Risk Considerations — JPMS’s Estimated Value of the Notes Is Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes Will Be Impacted
by Many Economic and Market Factors” in this pricing supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your
notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of
six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes,
whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations — The Value of the Notes
as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than 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 “What Are the Payments on the Notes, Assuming
a Range of Performances for the Lesser Performing Index?” and “Hypothetical Examples of Amounts Payable on the Notes”
in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations
— Exposure to Each of the Indices” 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.
JPMorgan Structured Investments — | PS-9 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the EURO STOXX 50® Index
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