CALCULATION OF REGISTRATION FEE |
|
Title
of Each Class of
Securities Offered |
Maximum
Aggregate Offering Price |
Amount
of Registration Fee |
Notes |
$2,445,000 |
$284.11 |
August
26, 2015 |
Registration
Statement No. 333-199966; Rule 424(b)(2) |
JPMorgan Chase & Co.
Structured Investments
$2,445,000
Auto Callable Contingent Interest Notes Linked
to the Least Performing of the Financial Select Sector SPDR® Fund, The Common Stock of Chevron Corporation and The
Common Stock of Southwest Airlines Co. due August 30, 2018
|
· |
The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Interest Review Date for which the closing price of one share of each of the Financial Select Sector SPDR® Fund, the common stock of Chevron Corporation and the common stock of Southwest Airlines Co., which we refer to as the Underlyings, is greater than or equal to 70.00% of its Initial Value, which we refer to as an Interest Barrier. |
|
· |
The notes will be automatically called if the closing price of one share of each Underlying on any quarterly Autocall Review Date is greater than or equal to its Initial Value. |
|
· |
Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Interest Review Dates. |
|
· |
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments. |
|
· |
The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. |
|
· |
Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance of each of the Underlyings individually, as described below. |
|
· |
Minimum denominations of $1,000 and integral multiples thereof |
|
· |
The notes priced on August 26, 2015 and are expected to settle on or about August 31, 2015. |
|
· |
CUSIP: 48125UK35 |
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 |
$31 |
$969 |
Total |
$2,445,000 |
$75,795 |
$2,369,205 |
(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 $31.00 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 $930.50 per $1,000 principal amount note. See “JPMS’s Estimated Value of the Notes”
in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement no. 1165 to product supplement
no. 4a-I dated November 7, 2014, underlying supplement no. 1a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Key
Terms
Underlyings:
The Financial Select Sector SPDR® Fund (Bloomberg
ticker: XLF) (the “Fund”), the common stock of Chevron Corporation, par value $0.75 per share (Bloomberg ticker: CVX)
and the common stock of Southwest Airlines Co., par value $1.00 per share (Bloomberg ticker: LUV), (each, a “Reference Stock”
and collectively, the “Reference Stocks”) (each of the Fund and the Reference Stocks, an “Underlying” and
collectively, the “Underlyings”)
Contingent Interest Payments:
If the notes have not been automatically called and the closing
price of one share of each Underlying on any Interest 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 $11.0417 (equivalent
to a Contingent Interest Rate of 13.25% per annum, payable at a rate of 1.10417% per month).
If the closing price of one share of any Underlying on any
Interest Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest
Review Date.
Contingent
Interest Rate: 13.25% per annum, payable at a rate of 1.10417% per
month
Interest Barrier:
With respect to each Underlying, 70.00% of its Initial Value, which
is $16.219 for the Fund, $51.163 for the common stock of Chevron Corporation and $26.173 for the common stock of Southwest Airlines
Co.
Trigger Value:
With respect to each Underlying, 65.00% of its Initial Value, which is $15.0605 for the Fund, $47.5085 for the common stock of
Chevron Corporation and $24.3035 for the common stock of Southwest Airlines Co.
Pricing
Date: August 26, 2015
Original Issue
Date (Settlement Date): On or about August 31, 2015
Interest Review
Dates*: September 28, 2015, October 26, 2015, November 27, 2015, December
28, 2015, January 26, 2016, February 26, 2016, March 28, 2016, April 26, 2016, May 26, 2016, June 27, 2016, July 26, 2016, August
26, 2016, September 26, 2016, October 26, 2016, November 28, 2016, December 27, 2016, January 26, 2017, February 27, 2017, March
27, 2017, April 26, 2017, May 26, 2017, June 26, 2017, July 26, 2017, August 28, 2017, September 26, 2017, October 26, 2017, November
27, 2017, December 26, 2017, January 26, 2018, February 26, 2018, March 26, 2018, April 26, 2018, May 29, 2018, June 26, 2018,
July 26, 2018 and August 27, 2018 (the “final Review Date”)
Autocall Review
Dates*: November 27, 2015, February 26, 2016, May 26, 2016, August 26, 2016,
November 28, 2016, February 27, 2017, May 26, 2017, August 28, 2017, November 27, 2017, February 26, 2018 and May 29, 2018
Interest Payment
Dates*: October 1, 2015, October 29, 2015, December 2, 2015, December 31, 2015, January
29, 2016, March 2, 2016, March 31, 2016, April 29, 2016, June 1, 2016, June 30, 2016, July 29, 2016, August 31, 2016, September
29, 2016, October 31, 2016, December 1, 2016, December 30, 2016, January 31, 2017, March 2, 2017, March 30, 2017, May 1, 2017,
June 1, 2017, June 29, 2017, July 31, 2017, August 31, 2017, September 29, 2017, October 31, 2017, November 30, 2017, December
29, 2017, January 31, 2018, March 1, 2018, March 29, 2018, May 1, 2018, June 1, 2018, June 29, 2018, July 31, 2018 and the Maturity
Date
Maturity Date*:
August 30, 2018
Call Settlement
Date*: If the notes are automatically called on any Autocall Review Date, the first
Interest Payment Date immediately following that Autocall Review Date
* Subject to postponement in the event of
a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date —
Notes Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in
the accompanying product supplement no. 4a-I |
Automatic Call:
If the closing price of one
share of each Underlying on any Autocall Review Date is greater than or equal to its Initial Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment
applicable to the Interest Review Date corresponding to that Autocall Review Date, payable on the applicable Call Settlement Date.
No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value of each Underlying is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review
Date.
If the notes
have not been automatically called and the Final Value of any Underlying is less than its Trigger Value, your
payment at maturity per $1,000 principal amount note, will be calculated as follows:
$1,000 + ($1,000 × Least Performing
Underlying Return)
If the notes have not been
automatically called and the Final Value of any Underlying is less than its Trigger Value, you will lose more than 35.00% of your
principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing
Underlying: The Underlying with the Least Performing Underlying Return
Least Performing
Underlying Return: The lowest of the Underlying Returns of the Underlyings
Underlying
Return: With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Underlying, the closing price of one share of
that Underlying on the Pricing Date, which was $23.17 for the Fund, $73.09 for the common stock of Chevron Corporation and $37.39
for the common stock of Southwest Airlines Co.
Final Value:
With respect to each Underlying, the closing price of one share of
that Underlying on the final Review Date
Share Adjustment
Factor: With respect to the Fund, the Share Adjustment Factor is referenced
in determining the closing price of one share of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor
is subject to adjustment upon the occurrence of certain events affecting the Fund. See “The Underlyings — Funds —
Anti-Dilution Adjustments” in the accompanying product supplement no. 4a-I for further information.
Stock
Adjustment Factor: : With respect to each Reference
Stock, the Stock Adjustment Factor is referenced in determining the closing price of one share of that Reference Stock and is
set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor of each Reference Stock is subject to adjustment upon the occurrence
of certain corporate events affecting that Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution
Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying
product supplement no. 4a-I for further information. |
PS-1 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
How
the Notes Work
Payments in Connection with Interest Review
Dates Preceding the Final Review Date
PS-2 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
Payment at Maturity If the Notes Have Not
Been Automatically Called
PS-3 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
Total Contingent Interest Payments
The table below illustrates the hypothetical
total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest
Rate of 13.25% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent Interest Payments |
Total Contingent Interest Payments |
36 |
$397.5012 |
35 |
$386.4595 |
34 |
$375.4178 |
33 |
$364.3761 |
32 |
$353.3344 |
31 |
$342.2927 |
30 |
$331.2510 |
29 |
$320.2093 |
28 |
$309.1676 |
27 |
$298.1259 |
26 |
$287.0842 |
25 |
$276.0425 |
24 |
$265.0008 |
23 |
$253.9591 |
22 |
$242.9174 |
21 |
$231.8757 |
20 |
$220.8340 |
19 |
$209.7923 |
18 |
$198.7506 |
17 |
$187.7089 |
16 |
$176.6672 |
15 |
$165.6255 |
14 |
$154.5838 |
13 |
$143.5421 |
12 |
$132.5004 |
11 |
$121.4587 |
10 |
$110.4170 |
9 |
$99.3753 |
8 |
$88.3336 |
7 |
$77.2919 |
6 |
$66.2502 |
5 |
$55.2085 |
4 |
$44.1668 |
3 |
$33.1251 |
2 |
$22.0834 |
1 |
$11.0417 |
0 |
$0.0000 |
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Interest Review Dates and Autocall Review Dates. Each hypothetical payment set forth below assumes that the closing price
of one share of each Underlying that is not the Least Performing Underlying on each Review Date is greater than or equal to its
Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
| · | an Initial Value for the Least Performing Underlying of $100.00; |
| · | an Interest Barrier for the Least Performing Underlying of $70.00 (equal to 70.00% of its hypothetical Initial Value) |
| · | a Trigger Value for the Least Performing Underlying of $65.00 (equal to 65.00% of its hypothetical Initial Value); and |
PS-4 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
| · | a Contingent Interest Rate of 13.25% per annum (payable at a rate of 1.10417% per month). |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Underlying.
The actual Initial Value of each Underlying is the closing price of one share of that Underlying on the Pricing Date and is specified
under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing
prices of one share of each Underlying, please see the historical information set forth under “The Underlyings” in
this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Autocall Review Date.
Date |
Closing Price of One Share of the Least Performing Underlying |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
$95.00 |
$11.0417 |
Second Interest Review Date |
$50.00 |
$0 |
Third Interest Review Date (First Autocall Review Date) |
$105.00 |
$1,011.0417 |
|
Total Payment |
$1,022.0834 (2.20834% return) |
Because the closing price of one share of each
Underlying on the first Autocall Review Date, which is also the third Interest Review Date, is greater than or equal to its Initial
Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,011.0417 (or $1,000
plus the Contingent Interest Payment applicable to the third Interest Review Date), payable on the applicable Call Settlement
Date. When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,022.0834. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value and Interest Barrier.
Date |
Closing Price of One Share of the Least Performing Underlying |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
$95.00 |
$11.0417 |
Second Interest Review Date |
$85.00 |
$11.0417 |
Third Interest Review Date (First Autocall Review Date) |
$50.00 |
$0 |
Fourth through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$105.00 |
$1,011.0417 |
|
Total Payment |
$1,033.1251 (3.31251% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value and Interest Barrier,
the payment at maturity, for each $1,000 principal amount note, will be $1,011.0417 (or $1,000 plus the Contingent Interest
Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with respect to the prior
Interest Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,033.1251.
PS-5 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is less than its Interest Barrier but is greater than or equal to
its Trigger Value.
Date |
Closing Price of One Share of the Least Performing Underlying |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
$95.00 |
$11.0417 |
Second Interest Review Date |
$85.00 |
$11.0417 |
Third Interest Review Date (First Autocall Review Date) |
$50.00 |
$0 |
Fourth through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$67.50 |
$1,000.00 |
|
Total Payment |
$1,022.0834 (1.50% return) |
Because the notes
have not been automatically called and the Final Value of the Least Performing Underlying is less than its Interest Barrier but
is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00.
When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid,
for each $1,000 principal amount note, is $1,022.0834.
Example 4 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is less than its Trigger Value and its Interest Barrier.
Date |
Closing Price of One Share of the Least Performing Underlying |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
$55.00 |
$0 |
Second Interest Review Date |
$50.00 |
$0 |
Third Interest Review Date (First Autocall Review Date) |
$45.00 |
$0 |
Fourth through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$50.00 |
$500.00 |
|
Total Payment |
$500.00 (-50.00% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is less than its Trigger Value and Interest Barrier, the payment
at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
PS-6 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value of any Underlying is less than its Trigger Value,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying is
less than its Initial Value. Accordingly, under these circumstances, you will lose more than 35.00% of your principal amount at
maturity and could lose all of your principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to an Interest Review Date only if the closing price of one share
of each Underlying on that Interest Review Date is greater than or equal to its Interest Barrier. If the closing price of one share
of any Underlying on that Interest Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with
respect to that Interest Review Date. Accordingly, if the closing price of one share of any Underlying on each Interest 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. — |
Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or
credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If
we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your
entire investment.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE
TERM OF THE NOTES, |
regardless of any appreciation in
the value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests
as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the
notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
| · | WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE FUND, |
but
we will not have any obligation to consider your interests in taking any corporate action that might affect the price of the Fund.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by any of the Underlyings 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 be offset or mitigated by positive performance by any other
Underlying.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If, the Final Value of any Underlying
is less than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will
terminate and you will be fully exposed to any depreciation in the closing price of one share of the Least Performing Underlying.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called,
the term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest
Payments after the applicable Call Settlement Date. There is no guarantee that you would be
PS-7 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
able to reinvest the proceeds from
an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE UNDERLYINGS OR THE SECURITIES INCLUDED HELD BY THE FUND OR HAVE ANY RIGHTS WITH RESPECT
TO THE UNDERLYINGS OR THOSE SECURITIES. |
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management
risk, which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
| · | DIFFERENCES BETWEEN THE FUND AND ITS UNDERLYING INDEX — |
The Fund does not fully replicate
its Underlying Index (as defined under “The Underlyings” below) and may hold securities not included in its Underlying
Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the
calculation of its Underlying Index. Furthermore, because the shares of the Fund are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share of
the Fund. All of these factors may lead to a lack of correlation between the Fund and its Underlying Index.
| · | RISKS ASSOCIATED WITH THE FINANCIAL SERVICES SECTOR WITH RESPECT TO THE FUND — |
All or substantially all of the equity
securities held by the Fund are issued by companies whose primary line of business is directly associated with the financial services
sector. Market or economic factors impacting financial services companies could have a major effect on the value of the Fund.
Financial services companies are subject to extensive government regulation which may limit both the amounts and types of loans
and other financial commitments they can make, and the interest rates and fees they can charge. Profitability is largely
dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change. Credit
losses resulting from financial difficulties of borrowers can negatively impact the sector. Insurance companies may be subject
to severe price competition. Adverse economic, business or political developments affecting real estate could have a major
effect on the value of real estate securities (which include real estate investment trusts). As a result, the value of the
notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence
affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for the Fund for certain events affecting the shares of the Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
| · | NO AFFILIATION WITH EITHER REFERENCE STOCK ISSUER — |
We
have not independently verified any of the information about either Reference Stock issuer contained in this pricing supplement.
You should undertake your own investigation into each Reference Stock and its issuer. We are not responsible for either Reference
Stock issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make
an adjustment in response to all events that could affect a Reference Stock. The calculation agent may make adjustments in response
to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but
the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER
IF THE PRICE OF THAT UNDERLYING IS VOLATILE. |
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
PS-8 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
| · | JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
JPMS’s estimated value is only
an estimate using several factors. The original issue price of the notes exceeds JPMS’s estimated value because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the
selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s Estimated
Value of the Notes” in this pricing supplement.
| · | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — |
See “JPMS’s Estimated
Value of the Notes” in this pricing supplement.
| · | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — |
The internal funding rate used in
the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional
fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher
issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate
debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic
terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect
on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes”
in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude
selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the
original issue price of the notes. As a result, the price if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date
could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the
notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings.
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be
reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value of Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic
and market factors” in the accompanying product supplement.
The
Underlyings
The Fund is an exchange-traded fund of the Select
Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that, before expenses,
correspond generally to the price and yield performance of publicly traded equity securities of companies in the Financial Select
Sector Index, which we refer to as the Underlying Index with respect to the Fund. The Financial Select Sector Index is a modified
market capitalization-based index that measures the performance of the financial services sector of the S&P 500® Index.
The Financial Select Sector Index includes companies in the following industries: diversified financial services,
PS-9 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
insurance, banks, capital markets, real estate
investment trusts, consumer finance, thrifts and mortgage finance, and real estate management and development. For additional information
about the Fund, see the information set forth under “Fund Descriptions — The Financial Select Sector SPDR®
Fund” in the accompanying underlying supplement no. 1a-I.
All information contained herein on the Reference
Stocks and on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference
Stock is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed
on the exchange provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in
the accompanying product supplement no. 4a-I. Information provided to or filed with the SEC by a Reference Stock issuer pursuant
to the Exchange Act can be located by reference to the SEC file number provided in the table below, and can be accessed through
www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete. We obtained the
closing prices below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
Reference Stock |
Bloomberg Ticker Symbol |
Relevant Exchange |
SEC File Number |
Closing Price on August 26, 2015 |
Common stock of Chevron Corporation, par value $0.75 per share |
CVX |
New York Stock Exchange |
001-00368 |
$73.09 |
Common stock of Southwest Airlines Co., par value $1.00 per share |
LUV |
New York Stock Exchange |
001-07259 |
$37.39 |
According to publicly available filings of the
relevant Reference Stock issuer with the SEC:
| · | Chevron Corporation manages its investments in subsidiaries and affiliates and provides administrative,
financial, management and technology support to U.S. and international subsidiaries that engage in integrated petroleum operations,
chemicals operations, mining operations, and power and energy services. |
| · | Southwest Airlines Co. is a passenger airline that provides scheduled air transportation
in the United States and near-international markets. |
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing prices from January 8, 2010 through August 21, 2015. The
closing price of one share of the Fund on August 26, 2015 was $23.17. We obtained the closing prices above and below from Bloomberg,
without independent verification. The closing price of one share of each Reference Stock on August 26, 2015 is set forth in the
table above. The closing prices of one share of each Underlying above and below may have been adjusted by Bloomberg for actions
taken by that Underlying, such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of
each Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing price
of one share of any Underlying on any Interest Review Date or Autocall Review Date. We cannot give you assurance that the performance
of the Underlyings will result in the return of any of your principal amount or the payment of any interest.
PS-10 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
PS-11 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
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.
In the event of any withholding on the notes,
we will not be required to pay any additional amounts with respect to amounts so withheld.
JPMS’s
Estimated Value of the Notes
JPMS’s estimated value of the notes set
forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a
fixed-income debt component with the same maturity as the notes, valued using our internal funding rate for structured debt described
below, and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value does not
represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time.
The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit
spreads for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.”
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from JPMS’s internal pricing models. These models are dependent on inputs such
as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, JPMS’s estimated value of the notes is determined when the terms of the notes are
set based on market conditions and other relevant factors and assumptions existing at that time.
JPMS’s estimated value does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide
valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes
could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
PS-12 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
JPMS’s estimated value of the notes is
lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — JPMS’s Estimated Value of the Notes Is Lower Than the Original Issue Price
(Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our secondary market credit spreads for structured debt issuances. This initial predetermined time
period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations
— The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
JPMS’s Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Underlyings” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to JPMS’s estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes
In the opinion of Davis Polk & Wardwell LLP,
as our special products counsel, when the notes offered by this pricing supplement have been executed and issued by us and authenticated
by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be our valid and
binding obligations, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws
affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above. This opinion is given as of the date hereof and is limited to the federal laws of the United States of America,
the laws of the State of New York and the General Corporation Law of the State of Delaware. In addition, this opinion is subject
to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication
of the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in
the letter of such counsel dated November 7, 2014, which was filed as an exhibit to the Registration Statement on Form S-3 by us
on November 7, 2014.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014, relating to our Series E medium-term
notes of which these notes are a part, and the more detailed information contained in product supplement no. 4a-I dated November
7, 2014 and underlying supplement no. 1a-I dated November 7, 2014. This pricing supplement, together with the documents listed
below, contains the terms of the notes, supplements the term sheet related hereto and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, fact sheets, brochures or
PS-13 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
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.
PS-14 | Structured Investments Auto Callable Contingent Interest Notes Linked to the Least Performing of the Financial Select Sector SPDR® Fund, the Common Stock of Chevron Corporation and the Common Stock of Southwest Airlines Co. | |
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