CALCULATION
OF REGISTRATION FEE |
Title
of Each Class of
Securities Offered |
Maximum
Aggregate Offering Price |
Amount
of Registration Fee |
Notes |
$3,992,000 |
$401.99 |
(1) Fees of $393.84 were
previously paid in connection with this offering as disclosed in pricing supplement no. 1518 dated November 24, 2015 to Registration
Statement No. 333-199966 filed by JPMorgan Chase & Co., which pricing supplement was filed on November 27, 2015. The balance
of the registration fee, $8.15, is paid herewith
November
30, 2015
|
Registration
Statement No. 333-199966; Rule 424(b)(8)
|
JPMorgan Chase & Co.
Structured Investments
$3,992,000
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell
2000® Index due March 1, 2017
| ● | 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 Russell 2000® Index, which we refer to as the Indices, 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 level of each Index on any Review Date (other than the final 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 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 Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below. |
| ● | Minimum denominations of $1,000 and integral multiples thereof |
| ● | The notes priced on November 24, 2015 and are
expected to settle on or about November 30, 2015. |
Investing
in the notes involves a number of risks. See “Risk Factors” beginning on page PS-8 of the accompanying product supplement
no. 4a-I, “Risk Factors” beginning on page US-2 of the accompanying underlying supplement no. 1a-I and “Selected
Risk Considerations” beginning on page PS-5 of this amended and restated 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 amended and restated 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 |
$19.5450 |
$980.4550 |
Total |
$3,992,000 |
$78,023.75 |
$3,913,976.25 |
(1)
See “Supplemental Use of Proceeds” in this amended and restated 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 it receives from us to other affiliated or unaffiliated dealers. These selling commissions will vary and will
be up to $21.25 per $1,000 principal amount note. 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 $964.90 per $1,000 principal amount
note. See “JPMS’s Estimated Value of the Notes” in this amended and restated 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.
*
This amended and restated pricing supplement no. 1518-A amends and restates and supersedes the pricing supplement no. 1518 related
hereto dated November 24, 2015 to product supplement no. 4a-I in its entirety (the pricing supplement no. 1518 is available on
the SEC website at http://www.sec.gov/Archives/edgar/data/19617/000089109215010269/e67170_424b2.htm
Amended and restated
pricing supplement no. 1518-A 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
Indices: The
S&P 500® Index
(Bloomberg ticker: SPX) and the Russell 2000®
Index (Bloomberg ticker: RTY)
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
of $15.00 (equivalent to a Contingent Interest Rate of 6.00% per annum, payable at a rate of 1.50% per quarter).
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.
Contingent Interest Rate: 6.00%
per annum, payable at a rate of 1.50% per quarter.
Interest Barrier/Trigger Value: With
respect to each Index, 70.00% of its Initial Value, which is 1,462.398 for the S&P 500®
Index and 832.1698 for the Russell 2000®
Index
Pricing Date: November
24, 2015
Original Issue Date (Settlement Date): On
or about November 30, 2015
Review Dates*: February
24, 2016, May 24, 2016, August 24, 2016, November 25, 2016 and February 24, 2017 (final Review Date)
Interest Payment Dates*: February
29, 2016, May 27, 2016, August 29, 2016, November 30, 2016 and the Maturity Date
Maturity Date*: March
1, 2017
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
* 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
|
|
Lesser Performing Index: The
Index with the Lesser Performing Index Return
Lesser Performing Index Return: The
lower of the Index Returns of the Indices
Index Return: With
respect to each Index,
(Final Value
– Initial Value)
Initial Value
Initial Value: With
respect to each Index, the closing level of that Index on the Pricing Date, which was 2,089.14 for the S&P 500®
Index and 1,188.814 for the Russell 2000®
Index
Final Value: With
respect to each Index, the closing level of that Index on the final Review Date
Trigger Event: A
Trigger Event occurs if, on any day during the Monitoring Period, the closing level of either Index is less than its Trigger Value
Monitoring Period: The
period from but excluding the Pricing Date to and including the final Review Date
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
Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus
(b) the Contingent Interest Payment applicable to that 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 (i) the Final Value of each Index is greater than or equal to its Initial Value or
(ii) 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 (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger
Event has occurred, your payment at maturity per $1,000 principal amount note, in addition to any Contingent Interest Payment,
will be calculated as follows:
$1,000
+ ($1,000 × Lesser Performing Index Return)
If the notes have not been
automatically called and (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger Event has occurred,
you will lose some or all of your principal amount at maturity.
|
PS-1| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
How
the Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Contingent Interest Payments
The
table below illustrates the total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based
on the Contingent Interest Rate of 6.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic
call or maturity.
Number of Contingent Interest Payments |
Total Contingent Interest Payments |
5 |
$75.00 |
4 |
$60.00 |
3 |
$45.00 |
2 |
$30.00 |
1 |
$15.00 |
0 |
$0.00 |
PS-2| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Indices, assuming a range of performances for the hypothetical Lesser Performing Index on
the Review Dates. Each hypothetical payment set forth below assumes that the closing level of the Index that is not the Lesser
Performing Index 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 Lesser Performing Index of 100.00; |
| ● | An Interest Barrier and a Trigger Value for the
Lesser Performing Index of 70.00 (equal to
70.00% of its hypothetical Initial Value); and |
| ● | A Contingent Interest Rate of 6.00% per annum
(payable at a rate of 1.50% per quarter). |
The hypothetical Initial Value of the Lesser
Performing Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either
Index.
The actual Initial Value of each Index is the
closing level of that Index on the Pricing Date and is specified under "Key Terms - Initial Value" in this amended and
restated pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical information
set forth under “The Indices” in this amended and restated pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 – Notes are automatically
called on the first Review Date.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
105.00 |
$1,015.00 |
|
Total Payment |
$1,015.00 (1.50% return) |
Because the closing level of each Index on the
first 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 $1,015.00 (or $1,000 plus the Contingent Interest Payment applicable to the first
Review Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 – Notes are automatically
called on the third Review Date.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$15.00 |
Second Review Date |
60.00 |
$0 |
Third Review Date |
105.00 |
$1,015.00 |
|
Total Payment |
$1,030.00 (3.00% return) |
Because the closing level of each Index on the
third 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 $1,015.00 (or $1,000 plus the Contingent Interest Payment applicable to the third
Review Date), payable on the applicable Call Settlement Date. When added to the Contingent Interest Payments received with respect
to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,030.00. No further payments will
be made on the notes.
PS-3| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
Example 3 – Notes have NOT been automatically
called, the Final Value of the Lesser Performing Index is greater than or equal to its Initial Value and a Trigger Event
has occurred.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$15.00 |
Second Review Date |
85.00 |
$15.00 |
Third Review Date |
50.00 |
$0 |
Fourth Review Date |
45.00 |
$0 |
Final Review Date |
105.00 |
$1,015.00 |
|
Total Payment |
$1,045.00 (4.50% return) |
Because the notes have not been automatically
called and the Final Value of the Lesser Performing Index is greater than or equal to its Initial Value (and, therefore, the Interest
Barrier), even though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,015.00
(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 Review Dates, the total amount paid for each $1,000 principal amount note, is $1,045.00.
Example 4 — Notes have NOT been automatically
called, the Final Value of the Lesser Performing Index is less than its Initial Value and a Trigger Event has NOT occurred.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$15.00 |
Second Review Date |
95.00 |
$15.00 |
Third Review Date |
85.00 |
$15.00 |
Fourth Review Date |
85.00 |
$15.00 |
Final Review Date |
70.00 |
$1,015.00 |
|
Total Payment |
$1,075.00 (7.50% return) |
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Index is greater than or equal to its Interest Barrier and a Trigger Event has
not occurred, even though the Final Value of the Lesser Performing Index is less than its Initial Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,015.00 (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 Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,075.00.
Example 5 — Notes have NOT been automatically
called, the Final Value of the Lesser Performing Index is less than its Initial Value but is greater than or equal to its Interest
Barrier and a Trigger Event has occurred.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
60.00 |
$0 |
Second Review Date |
55.00 |
$0 |
Third Review Date |
50.00 |
$0 |
Fourth Review Date |
45.00 |
$0 |
Final Review Date |
70.00 |
$715.00 |
|
Total Payment |
$715.00 (-28.50% return) |
PS-4| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Index is less than its Initial Value but is greater than or equal to its Interest
Barrier, a Trigger Event has occurred and the Lesser Performing Index Return is -30.00%,
the payment at maturity will be $715.00 per
$1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-30.00%)]
+ $15.00 = $715.00
Example 6 — Notes have NOT been automatically
called, the Final Value of the Lesser Performing Index is less than its Initial Value and its Interest Barrier and a Trigger Event
has occurred.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
65.00 |
$0 |
Second Review Date |
60.00 |
$0 |
Third Review Date |
55.00 |
$0 |
Fourth Review Date |
45.00 |
$0 |
Final Review Date |
50.00 |
$500.00 |
|
Total Payment |
$500.00 (-50.00% return) |
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Index is less than its Initial Value and its Interest Barrier, a Trigger Event
has occurred and the Lesser Performing Index Return is -50.00%, 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.
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 (i) the Final Value of
either Index is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of
your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value. Accordingly, under
these circumstances, you will lose some or 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 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. 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. —
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 either Index, which may be significant. You will not participate in any appreciation
in the value of either Index. |
| ● | POTENTIAL CONFLICTS —
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 |
PS-5| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
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 S&P 500® INDEX,
but we will not have any obligation to consider your interests in taking any corporate action that might affect the level of the
S&P 500® Index. |
| ● | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual
Index. 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 be offset or mitigated by positive performance
by the other Index. |
| ● | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX. |
| ● | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
If, on any day during the Monitoring Period, the closing level of either Index is less than its Trigger Value (i.e., a Trigger
Event occurs) 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 level of the Lesser Performing Index. You will be subject to this potential
loss of principal even if that Index subsequently recovers such that the closing level of that Index is greater than or equal to
its Trigger Value. |
| ● | 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 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 SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| ● | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure under adverse market conditions. |
| ● | THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF
THAT INDEX IS VOLATILE. |
| ● | LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. |
| ● | JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
JPMS’s estimated value is only an estimate using several factors. The original issue price of the notes exceeds JPMS’s
estimated value because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “JPMS’s Estimated Value of the Notes” in this amended and restated 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 amended and restated 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 amended and restated pricing supplement. |
PS-6| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
| ● | 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 amended and restated 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 Indices. 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
Indices
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 “Equity Index Descriptions — The S&P 500® Index”
in the accompanying underlying supplement.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000® Index, see “Equity Index Descriptions — The Russell 2000® Index”
in the accompanying underlying supplement.
PS-7| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 8, 2010 through November 20, 2015. The closing
level of the S&P 500® Index on November 24, 2015 was 2,089.14. The closing level of the Russell 2000®
Index on November 24, 2015 was 1,188.814. We obtained the closing levels 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 closing 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. 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.
PS-8| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
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.
Non-U.S. holders should also note that, notwithstanding
anything to the contrary in the accompanying product supplement no. 4a-I, recently promulgated Treasury regulations imposing a
withholding tax on certain “dividend equivalents” under certain “equity linked instruments” will not apply
to the notes.
FATCA. Withholding under legislation commonly
referred to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source “fixed
or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest,
if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments if they are otherwise
treated as FDAP Income). Notwithstanding anything to the contrary in the accompanying product supplement no. 4a-I, under a recent
IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as FDAP Income)
of a taxable disposition, including an early redemption or redemption at maturity, of the notes. You should consult your tax adviser
regarding the potential application of FATCA to the notes.
In the event of any withholding on the notes,
we will not be required to pay any additional amounts with respect to amounts so withheld.
JPMS’s
Estimated Value of the Notes
JPMS’s estimated value of the notes set
forth on the cover of this amended and restated 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
PS-9| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors,
which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
JPMS’s estimated value of the notes is
lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits 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 amended and restated 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 amended and restated pricing supplement for an illustration of the risk-return
profile of the notes and “The Indices” in this amended and restated 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 amended and restated 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 amended and restated 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
PS-10| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
detailed information contained in product supplement
no. 4a-I dated November 7, 2014 and underlying supplement no. 1a-I dated November 7, 2014. This amended and restated 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. This amended and restated pricing supplement amends and restates and supersedes the pricing supplement
no. 1518 related hereto dated November 24, 2015 to product supplement no. 4a-I in its entirety. You should not rely on the pricing
supplement no. 1518 related hereto dated November 24, 2015 in making your decision to invest in the notes. You should carefully
consider, among other things, the matters set forth in “Risk Factors” in the accompanying product supplement no. 4a-I
and “Risk Factors” in the accompanying underlying supplement no. 1a-I, as the notes involve risks not associated with
conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| ● | Product supplement no. 4a-I dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
| ● | Underlying supplement no. 1a-I dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf
| ● | Prospectus supplement and prospectus, each dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Our Central Index Key, or CIK, on the SEC website
is 19617. As used in this amended and restated pricing supplement, “we,” “us” and “our” refer
to JPMorgan Chase & Co.
PS-11| Structured Investments Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index | |
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