CALCULATION OF REGISTRATION FEE
Title
of Each Class of Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes
|
$5,464,000 |
$634.92 |
Registration Statement No.
333-199966; Rule 424(b)(2)
July
24, 2015
JPMorgan
Chase & Co.
Structured Investments
$5,464,000
Review Notes Linked to the Lesser Performing
of the
S&P 500® Index and the Russell 2000® Index due
July 29, 2019
| · | The notes are designed for investors who seek early exit
prior to maturity at a premium if, on any Review Date, the closing level of each of the S&P 500® Index and
the Russell 2000® Index is at or above its Call Level. |
| · | The notes are also designed for investors who seek a fixed
return at maturity equal to the Contingent Minimum Return of 10.00% if the notes have not been automatically called and the Final
Value of each Index is greater than or equal to 70.00% of its Initial Value. |
| · | Investors in the notes should be willing to accept the
risk of losing some or all of their principal. |
| · | 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 $10,000 and integral multiples
of $1,000 in excess thereof |
| · | The notes priced on July 24, 2015 and are expected to
settle on or about July 31, 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-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 |
$24 |
$976 |
Total |
$5,464,000 |
$131,136 |
$5,332,864 |
(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 $24.00 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 $950.80 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. 992 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) |
Call Premium
Amount: The Call Premium Amount with respect to each Review Date is
set forth below:
·
first Review Date: 8.40%
× $1,000
·
second Review Date: 16.80% × $1,000
·
third Review Date: 25.20% × $1,000
·
final Review Date: 33.60% × $1,000 |
Call Value: With respect to each Index, 100.00% of its Initial Value |
Contingent Minimum Return: 10.00%. |
Trigger Value: With respect to each Index, 70.00% of its Initial Value, which is 1,455.755 for the S&P 500® Index and 858.1944 for the Russell 2000® Index |
Pricing Date: July 24, 2015 |
Original Issue Date (Settlement Date):
On or about July 31, 2015 |
Review Dates*: August 5, 2016, July 24, 2017, July 24, 2018 and July 24, 2019 (final Review Date) |
Call Settlement Dates*: If the notes are automatically called on any Review Date, the third business day after that Review Date, except that the final Call Settlement Date is the Maturity Date |
Maturity Date*: July 29, 2019 |
* 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 |
Automatic Call:
If the closing level of each Index on any Review Date is greater
than or equal to its Call 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 Call Premium Amount 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 the Final
Value of each Index is greater than or equal to its Trigger Value, your payment at maturity per $1,000 principal amount note will
be calculated as follows:
$1,000 + ($1,000 × Contingent Minimum
Return)
If the notes
have not been automatically called and the Final Value of either Index 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 × Lesser Performing
Index Return)
If the notes have not been
automatically called and the Final Value of either Index is less than its Trigger Value, you will lose more than 30.00% of your
principal amount at maturity and could lose all of your principal amount at maturity.
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 2,079.65 for the S&P 500® Index and 1,225.992 for the Russell 2000® Index
Final Value:
With respect to each Index, the closing level of that Index on the
final Review Date
|
PS-1 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
|
How
the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not
Been Automatically Called
Call Premium Amount
The table below illustrates the hypothetical Call
Premium Amount per $1,000 based on the call premiums set forth under “Key Terms – Call Premium
Amount” above.
Review Date |
Call Premium Amount |
First |
$84.00 |
Second |
$168.00 |
Third |
$252.00 |
Final |
$336.00 |
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
PS-2 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
|
level of the Index that is not the Lesser Performing
Index on each Review Date is greater than or equal to its Call Value (and therefore its Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
| · | an Initial Value for the Lesser Performing Index of 100; |
| · | a Call Value for the Lesser Performing Index of 100 (equal to 100% of the hypothetical Initial Value); |
| · | a Trigger Value for the Lesser Performing Index of 70 (equal to 70% of the hypothetical Initial Value); and |
| · | the call premiums set forth under “Key Terms — Call Premium Amount” above. |
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 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 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 |
|
First Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,084.00 (8.40% return) |
Because the closing level of each Index on the
first Review Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, of $1,084.00 (or $1,000 plus the Call Premium Amount 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 final Review Date.
Date |
Closing Level of Lesser Performing Index |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Third Review Date |
95.00 |
Notes NOT automatically called |
Final Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,336.00 (33.60% return) |
Because the closing level of each Index on the
final Review Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, of $1,336.00 (or $1,000 plus the Call Premium Amount applicable to the final Review Date),
payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 3 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Index is greater than or equal to its Trigger Value.
Date |
Closing Level of Lesser Performing Index |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Third Review Date |
80.00 |
Notes NOT automatically called |
Final Review Date |
75.00 |
Notes
NOT automatically called; Final Value of Lesser Performing |
PS-3 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
|
|
|
Index is greater than or equal to Trigger Value |
|
Total Payment |
$1,100.00 (10.00% 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 Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,100.00,
calculated as follows:
$1,000 + ($1,000 × Contingent Minimum Return)
= $1,100.00
Example 4 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Index is less than its Trigger Value.
Date |
Closing Level of Lesser Performing Index |
|
First Review Date |
80.00 |
Notes NOT automatically called |
Second Review Date |
70.00 |
Notes NOT automatically called |
Third Review Date |
60.00 |
Notes NOT automatically called |
Final Review Date |
50.00 |
Notes NOT automatically called; Final Value of Lesser Performing Index is less than Trigger Value |
|
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 Trigger Value 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%)] = $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 the Final Value of either Index 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 Lesser Performing Index is less
than its Initial Value. Accordingly, under these circumstances, you will lose more than 30.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
| · | 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 ANY CALL PREMIUM AMOUNT PAID ON 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.
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.
PS-4 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
|
| · | 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 result in the notes not being automatically called
on a Review Date, may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by
the other Index.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING INDEX. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of either Index
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 level of the Lesser Performing Index.
| · | 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 one year. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return for a similar level of risk.
| · | 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.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE
ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE VALUE
OF THAT INDEX 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.
| · | 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
PS-5 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
|
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 levels 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.
PS-6 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
|
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 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000® Index, see “Equity Index Descriptions — The Russell 2000® Index”
in the accompanying underlying supplement.
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 July 24, 2015. The closing
level of the S&P 500® Index on July 24, 2015 was 2,079.65. The closing level of the Russell 2000®
Index on July 24, 2015 was 1,225.992. 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.
PS-7 | Structured Investments
Review 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. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market
conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that
are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement no. 4a-I. Assuming this treatment is respected, the gain or loss on your notes should be
treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser
of notes at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character
of any income or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by this notice.
Withholding under legislation
commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated
as interest paid with respect to the notes, as well as to the payment of gross proceeds of a sale of a note occurring after December
31, 2016 (including an automatic call or redemption at maturity). You should consult your tax adviser regarding the potential application
of FATCA to the notes.
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.
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
PS-8 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
|
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 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 Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is
equal to JPMS’s estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be made
against payment for the notes on or about the settlement date set forth on the front cover of this pricing supplement, which will
be the fifth business day following the pricing date of the notes (this settlement cycle being referred to as T+5). Under
Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on the pricing date or the succeeding business day will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
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
PS-9 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
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pricing supplement, together with the documents
listed below, contains the terms of the notes, supplements the term sheet related hereto and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth in “Risk Factors” in the accompanying product supplement
no. 4a-I and “Risk Factors” in the accompanying underlying supplement no. 1a-I, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you
invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 19617. As used in this pricing supplement, “we,” “us” and “our” refer to JPMorgan Chase
& Co.
PS-10 | Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and
the Russell 2000® Index |
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