The graph below illustrates the daily performance of the Russell 2000® Index from January 3, 2005 through July 30, 2015, based on
information from Bloomberg, without independent verification. The
dotted lines represent a hypothetical Trigger Level of 616.036 and a
hypothetical Coupon Barrier of 862.450, equal to 50% and 70%,
respectively of the closing level of the Russell 2000® Index on July 30, 2015. The actual Trigger Level and Coupon Barrier
will be based on the closing level of the Index on the Trade Date
(the Initial Index Level) and will equal 50% and 70%, respectively,
of the Initial Index Level of the Russell 2000® Index.
Past performance of the Index is not indicative of the future
performance of the Russell 2000® Index.
Supplemental Plan of Distribution
We have agreed to indemnify UBS and JPMS against liabilities under
the Securities Act of 1933, as amended, or to contribute to payments
that UBS may be required to make relating to these liabilities as
described in the prospectus supplement and the prospectus. We will
agree that UBS may sell all or a part of the Securities that it
purchases from us to the public or its affiliates at the price to
public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase
the Securities in the secondary market, but it is not required to
do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated
counterparties in connection with the sale of the Securities, and
JPMS and/or an affiliate may earn additional income as a result of
payments pursuant to the swap or related hedge transactions. See
"Supplemental Use of Proceeds" in this free writing prospectus and
"Use of Proceeds and Hedging" beginning on page PS-43 of the
accompanying product supplement no. UBS-1a-I.
JPMS's Estimated Value of the Securities
JPMS's estimated value of the Securities set forth on the cover of
this free writing prospectus 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 Securities, valued using our internal
funding rate for structured debt described below, and (2) the
derivative or derivatives underlying the economic terms of the
Securities. JPMS's estimated value does not represent a minimum price
at which JPMS would be willing to buy your Securities 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 "Key Risks Risks
Relating to the Securities Generally 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 Securities 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
Securities is determined when the terms of the Securities are set
based on market conditions and other relevant factors and assumptions
existing at that time. See "Key Risks Risks Relating to the
Securities Generally JPMS's Estimated Value Does Not Represent
Future Values of the Securities and May Differ from Others'
Estimates."
JPMS's estimated value of the Securities will be lower than the
original issue price of the Securities because costs associated with
selling, structuring and hedging the Securities are included in the
original issue price of the Securities. These costs include the
selling commissions paid to UBS, the projected profits, if any, that
our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the Securities and the estimated cost
of hedging our obligations under the Securities. Because hedging our
obligations entails risk and may