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Share Name | Share Symbol | Market | Type |
---|---|---|---|
JP Morgan Chase and Co | NYSE:JPM | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-1.83 | -0.95% | 191.45 | 194.99 | 191.64 | 193.11 | 8,153,598 | 00:40:27 |
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October 2015
Preliminary Terms No. 487
Registration Statement No. 333-199966
Dated October 6, 2015
Filed pursuant to Rule 433
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SUMMARY TERMS
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Issuer:
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JPMorgan Chase & Co.
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Underlying indices:
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Russell 2000® Index (the “RTY Index”), EURO STOXX 50® Index (the “SX5E Index”) and the Nikkei 225 Index (the “NKY” Index”) (each an “underlying index”)
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Aggregate principal amount:
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$
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Early redemption:
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If, on any of the determination dates (other than the final determination date), the closing level of each underlying index is greater than or equal to its initial index value, the securities will be automatically redeemed for an early redemption payment on the first contingent payment date immediately following the related determination date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any contingent payment date if the closing level of any underlying index is below its initial index value on the related determination date.
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Early redemption payment:
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The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the contingent quarterly payment with respect to the related determination date.
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Contingent quarterly payment:
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· If, on any determination date, the closing level of each underlying index is greater than or equal to its coupon barrier level, we will pay a contingent quarterly payment of at least $0.2513 (at least 2.5125% of the stated principal amount) per security on the related contingent payment date. The actual contingent quarterly payment will be provided in the pricing supplement.
· If, on any determination date, the closing level of any underlying index is less than its coupon barrier level, no contingent quarterly payment will be payable with respect to that determination date. It is possible that one or more of the underlying indices will remain below their respective coupon barrier levels for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent quarterly payments.
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Payment at maturity:
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· If the final index value of each underlying index is greater than or equal to its downside threshold level:
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(i) the stated principal amount, plus, (ii) if the final index value of each underlying index is also greater than or equal to its coupon barrier level, the contingent quarterly payment with respect to the final determination date
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· If the final index value of any underlying index is less than its downside threshold level:
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(i) the stated principal amount times (ii) the index performance factor of the worst performing underlying index. This cash payment will be less than 55% of the stated principal amount of the securities and could be zero.
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Coupon barrier level:
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With respect to the RTY Index: , which is equal to 70% of its initial index value
With respect to the SX5E Index: , which is equal to 70% of its initial index value With respect to the NKY Index: , which is equal to 70% of its initial index value
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Downside threshold level:
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With respect to the RTY Index: , which is equal to 55% of its initial index value
With respect to the SX5E Index: , which is equal to 55% of its initial index value With respect to the NKY Index: , which is equal to 55% of its initial index value
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Stated principal amount:
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$10 per security
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Issue price:
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$10 per security (see “Commissions and issue price” below)
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Pricing date:
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On or about October , 2015 (expected to price on or about October 19, 2015)
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Original issue date (settlement date):
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October , 2015 (3 business days after the pricing date)
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Maturity date:
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October 24, 2022, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I
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Terms continued on the following page
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Agent:
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J.P. Morgan Securities LLC (“JPMS”)
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Commissions and issue price:
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Price to public(1)
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Fees and commissions
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Proceeds to issuer
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Per security
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$10.00
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$0.30(2)
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$9.65
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$0.05(3)
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Total
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$
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$
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$
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(1) | See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document for information about the components of the price to public of the securities. |
(2) | JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $0.30 per $10 stated principal amount security. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I. |
(3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each $10 stated principal amount security |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Terms continued from previous page:
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Initial index value:
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With respect to the RTY Index: , which is its closing level on the pricing date
With respect to the SX5E Index: , which is its closing level on the pricing date With respect to the NKY Index: , which is its closing level on the pricing date
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Final index value:
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With respect to each underlying index, the closing level on the final determination date
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Worst performing underlying index:
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The underlying index with the worst index performance factor
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Index performance factor:
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With respect to each underlying index, final index value divided by the initial index value
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Determination dates:
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January 19, 2016, April 19, 2016, July 19, 2016, October 19, 2016, January 19, 2017, April 19, 2017, July 19, 2017, October 19, 2017, January 19, 2018, April 19, 2018, July 19, 2018, October 19, 2018, January 22, 2019, April 23, 2019, July 19, 2019, October 21, 2019, January 21, 2020, April 20, 2020, July 21, 2020, October 19, 2020, January 19, 2021, April 19, 2021, July 20, 2021, October 19, 2021, January 19, 2022, April 19, 2022, July 19, 2022 and October 19, 2022, subject to postponement for non-trading days and certain market disruption events.
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Contingent payment dates:
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With respect to each determination date other than the final determination date, the third business day after the related determination date. The payment of the contingent quarterly payment, if any, with respect to the final determination date will be made on the maturity date.
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CUSIP/ISIN:
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48127Y656 / US48127Y6564
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Listing:
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The securities will not be listed on any securities exchange.
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Scenario 1
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This scenario assumes that, prior to early redemption, each underlying index closes at or above its coupon barrier level on some determination dates but one or more of the underlying indices closes below their respective coupon barrier levels on the others. On the 18th determination date, the closing level of each underlying index is greater than or equal to its initial index value.
Investors receive the contingent quarterly payment for the quarterly periods in which the closing level of each underlying index is at or above its coupon barrier level on the related determination date.
On the contingent payment date immediately following the 18th determination date, the securities will be automatically redeemed for the stated principal amount plus the contingent quarterly payment with respect to the related determination date.
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Scenario 2
|
This scenario assumes that each underlying index closes at or above its coupon barrier level on some determination dates but one or more of the underlying indices closes below their respective coupon barrier levels on the others, and each underlying index closes below its initial index value on all the determination dates prior to the final determination date. On the final determination date, each underlying index closes at or above its downside threshold level.
Consequently, the securities are not automatically redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which the closing level of each underlying index is at or above its coupon barrier level on the related determination date. At maturity, investors will receive the stated principal amount and, if each final index value is greater than or equal to its coupon barrier level, the contingent quarterly payment with respect to the final determination date.
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Scenario 3
|
This scenario assumes that each underlying index closes at or above its coupon barrier level on some determination dates but one or more of the underlying indices closes below their respective coupon barrier levels on the others, and each underlying index closes below its initial index value on all the determination dates prior to the final determination date. On the final determination date, one or more of the underlying indices close below their downside threshold levels.
Consequently, the securities are not automatically redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which the closing level of each underlying index is at or above its coupon barrier level on the related determination date. At maturity, investors will receive the stated principal amount times the index performance factor of the worst performing underlying index, which will be less than 55% of the stated principal amount and could be zero.
Investors will lose some and may lose all of their principal in this scenario.
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Hypothetical contingent quarterly payment:
|
A contingent quarterly payment of $0.2513 per quarter per security will be paid on the securities on each contingent payment date but only if the closing level of each underlying index is at or above its coupon barrier level on the related determination date.
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Early redemption:
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If the closing level of each underlying index is greater than or equal to its initial index value on any quarterly determination date (other than the final determination date), the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly payment with respect to the related determination date.
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Payment at maturity (if the securities have not been automatically redeemed early):
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If the final index value of each underlying index is greater than or equal to its downside threshold level: the stated principal amount and, if the final index value of each underlying index is also greater than or equal to its coupon barrier level, the contingent quarterly payment with respect to the final determination date
If the final index value of any underlying index is less than its downside threshold level: (i) the stated principal amount times (ii) the index performance factor of the worst performing underlying index
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Stated principal amount:
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$10 per security
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Hypothetical initial index value:
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With respect to the RTY Index: 1,100.00
With respect to the SX5E Index: 3,100.00
With respect to the NKY Index: 17,700.00
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Hypothetical coupon barrier level:
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With respect to the RTY Index: 770.00, which is 70% of the hypothetical initial index value for such index
With respect to the SX5E Index: 2,170.00, which is 70% of the hypothetical initial index value for such index
With respect to the NKY Index: 12,390.00, which is 70% of the hypothetical initial index value for such index
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Hypothetical downside threshold level:
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With respect to the RTY Index: 605.00, which is 55% of the hypothetical initial index value for such index
With respect to the SX5E Index: 1,705.00, which is 55% of the hypothetical initial index value for such index
With respect to the NKY Index: 9,735.00, which is 55% of the hypothetical initial index value for such index
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Closing level
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Contingent quarterly
payment
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RTY Index
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SX5E Index
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NKY Index
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Hypothetical
Determination Date 1
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1,000 (at or above
coupon barrier level)
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2,500 (at or above
coupon barrier level)
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15,000 (at or above
coupon barrier level)
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$0.2513
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Hypothetical
Determination Date 2
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650 (below coupon
barrier level)
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3,000 (at or above
coupon barrier level)
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10,000 (below
coupon barrier level)
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$0
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Hypothetical
Determination Date 3
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1,050 (at or above
coupon barrier level)
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1,800 (below coupon
barrier level)
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11,000 (below
coupon barrier level)
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$0
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Hypothetical
Determination Date 4
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600 (below coupon
barrier level)
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2,000 (below coupon
barrier level)
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10,000 (below
coupon barrier level)
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$0
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Closing level
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Early Redemption Payment
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RTY Index
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SX5E Index
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NKY Index
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Hypothetical
Determination Date 1
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1,400 (at or above
initial index value)
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3,000 (below initial
index value)
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17,000 (below initial
index value)
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n/a (securities are not
redeemed early)
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Hypothetical
Determination Date 2
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800 (below initial
index value)
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3,000 (below initial
index value)
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16,000 (below initial
index value)
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n/a (securities are not
redeemed early)
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Hypothetical
Determination Date 3
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1,350 (at or above
initial index value)
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3,700 (at or above
initial index value)
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20,000 (at or above
initial index value)
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$10.2513 (the stated
principal amount plus the
contingent quarterly
payment with respect to the
related determination date)
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Final Index Value
|
Payment at Maturity
|
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RTY Index
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SX5E Index
|
NKY Index
|
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Example 1:
|
1,300 (at or above
downside threshold
level and coupon
barrier level)
|
2,800 (at or above
downside threshold
level and coupon
barrier level)
|
15,000 (at or above
downside threshold
level and coupon
barrier level)
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$10.2513 (the stated principal
amount plus the contingent quarterly
payment with respect to the final
determination date)
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Example 2:
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1,300 (at or above downside threshold
level and coupon
barrier level)
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2,000 (at or above
downside threshold
level; below coupon
barrier level)
|
11,000 (at or above
downside threshold
level; below coupon
barrier level)
|
$10.00 (the stated principal amount)
|
Example 3:
|
440 (below
downside threshold
level)
|
2,800 (at or above
downside threshold
level)
|
9,500 (below
downside threshold
level)
|
$10 × index performance factor of
the worst performing underlying
index =
$10 × (440 / 1,100) = $4.00
|
Example 4:
|
1,250 (at or above
downside threshold
level)
|
1,550 (below
downside threshold
level)
|
9,500 (below
downside threshold
level)
|
$10 × (1,550 / 3,100) = $5.00
|
Example 5:
|
500 (below
downside threshold
level)
|
1,240 (below
downside threshold
level)
|
8,500 (below
downside threshold
level)
|
$10 × (1,240 / 3,100) = $4.00
|
Example 6:
|
330 (below
downside threshold
level)
|
1,600 (below
downside threshold
level)
|
8,000 (below downside threshold
level)
|
$10 × (330 / 1,100) = $3.00
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
§ | The securities do not guarantee the return of any principal and your investment in the securities may result in a loss. The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of any of the principal amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and if the final index value of any of the underlying indices is less than its downside threshold level, you will be exposed to the decline in the closing level of the worst performing underlying index, as compared to its initial index value, on a 1-to-1 basis and you will receive for each security that you hold at maturity a cash payment equal to the stated principal amount times the index performance factor of the worst performing underlying index. In this case, your payment at maturity will be less than 55% of the stated principal amount and could be zero. |
§ | You will not receive any contingent quarterly payment for any quarterly period where the closing level of any underlying index on the relevant determination date is less than its coupon barrier level. The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the payment of regular interest. Instead, a contingent quarterly payment will be made with respect to a quarterly period only if the closing level of each underlying index on the relevant determination date is greater than or equal to its coupon barrier level. If the closing level of any underlying index is below its coupon barrier level on any determination date, you will not receive a contingent quarterly payment for the relevant quarterly period. It is possible that the closing level of each underlying index could be below its coupon barrier level on most or all of the determination dates so that you will receive few or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security of the issuer of comparable maturity. |
§ | The contingent quarterly payment is based solely on the closing levels of the underlying indices on the specified determination dates. Whether the contingent quarterly payment will be made with respect to a determination date will be based on the closing level of each underlying index on that determination date. As a result, you will not know whether you will receive the contingent quarterly payment until the related determination date. Moreover, because the contingent quarterly payment is based solely on the closing level of each underlying index on a specific determination date, if the closing level of any of the underlying indices on that determination date is below its coupon barrier level, you will not receive any contingent quarterly payment with respect to that determination date, even if the closing level of that underlying index was higher on other days during the related quarterly period. |
§ | You are exposed to the price risk of all three underlying indices, with respect to all the contingent quarterly payments, if any, and the payment at maturity, if any. Your return on the securities is not linked to a basket consisting of the underlying indices. Rather, it will be contingent upon the independent performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each underlying index. The performance of the underlying indices may not be correlated. Poor performance by any underlying index over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying indices. Accordingly, your investment is subject to the risk of decline in the closing level of each underlying index. |
§ | Because the securities are linked to the performance of the worst performing underlying index, you are exposed to greater risks of no contingent quarterly payments and sustaining a significant loss on your investment than if the securities were linked to just one underlying index. The risk that you will not receive any contingent quarterly payments, or that you will suffer a significant loss on your investment is greater if you invest in the securities than if you invest in substantially similar securities that are linked to the performance of just one underlying index. With three underlying indices, it is more likely that any underlying index will close below its coupon |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
§ | The securities are subject to the credit risk of JPMorgan Chase & Co., and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities. Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our credit ratings or increase in the credit spreads determined by the market for taking our credit risk is likely to adversely affect the market value of the securities. If we were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could lose your entire investment. |
§ | Investors will not participate in any appreciation in any underlying index. Investors will not participate in any appreciation in any underlying index from its initial index value, and the return on the securities will be limited to the contingent quarterly payment that is paid with respect to each determination date on which the closing level of each underlying index is greater than or equal to its coupon barrier level, if any. |
§ | An investment in the securities is subject to risks associated with small capitalization stocks with respect to the RTY Index. The stocks that constitute the RTY Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. 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 securities are subject to risks associated with securities issued by non-U.S. companies, with respect to the SX5E Index and the NKY Index. The equity securities included in the SX5E Index and the NKY Index have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. |
§ | The securities are not directly exposed to fluctuations in foreign exchange rates with respect to the SX5E and the NKY Index. The value of your securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the SX5E Index and the NKY Index are based, although any currency fluctuations could affect the performance of the SX5E Index or the NKY Index. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the securities, you will not receive any additional payment or incur any reduction in any payment on the securities. |
§ | Early redemption risk. The term of your investment in the securities may be limited to as short as approximately three months by the automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, you will receive no more contingent quarterly payments and may be forced to reinvest in a lower interest rate environment and may not be able to reinvest the proceeds from an investment in the securities at a comparable return for a similar level of risk. |
§ | Economic interests of the issuer, the calculation agent, the agent of the offering of the securities and other affiliates of the issuer may be different from those of investors. We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used to determine the pricing of the securities and the estimated value of the securities, which we refer to as JPMS’s estimated value. In performing these duties, our economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities. The calculation agent will determine the initial index values, the coupon barrier levels, the downside threshold levels and the final index values and whether the closing value of each underlying index on any determination date is greater than or equal to its initial index value or is below its coupon barrier level or downside threshold level, as applicable. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, may affect the payment to you at maturity or whether the securities are redeemed early. In addition, our business activities, including hedging and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the securities and the value of the securities. It is possible that hedging or |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
§ | JPMS’s estimated value of the securities will be lower than the original issue price (price to public) of the securities. JPMS’s estimated value is only an estimate using several factors. The original issue price of the securities will exceed JPMS’s estimated value 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, the structuring fee, 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. See “Additional Information about the Securities — JPMS’s estimated value of the securities” in this document. |
§ | 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 is determined by reference to JPMS’s internal pricing models. This estimated value is based on market conditions and other relevant factors existing at the time of pricing and JPMS’s assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for securities 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 securities 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 securities from you in secondary market transactions. See “Additional Information about the Securities — JPMS’s estimated value of the securities” in this document. |
§ | 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 securities as well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities to be more favorable to you. In addition, JPMS’s estimated value might be lower if it were based on the interest rate implied by our conventional fixed-rate credit spreads. Consequently, our use of an internal funding rate would have an adverse effect on the terms of the securities and any secondary market prices of the securities. See “Additional Information about the Securities — JPMS’s estimated value of the securities” in this document. |
§ | The value of the securities 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 securities for a limited time period. We generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances. See “Additional Information about the Securities — Secondary market prices of the securities” in this document for additional information relating to this initial period. Accordingly, the estimated value of your securities during this initial period may be lower than the value of the securities as published by JPMS (and which may be shown on your customer account statements). |
§ | Secondary market prices of the securities will likely be lower than the original issue price of the securities. Any secondary market prices of the securities will likely be lower than the original issue price of the securities 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 the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing to buy securities from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the maturity date could result in a substantial loss to you. See the immediately following risk factor for information about additional factors that will impact any secondary market prices of the securities. |
§ | Secondary market prices of the securities will be impacted by many economic and market factors. The secondary market price of the securities 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of each underlying index, including: |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
o | any actual or potential change in our creditworthiness or credit spreads; |
o | customary bid-ask spreads for similarly sized trades; |
o | secondary market credit spreads for structured debt issuances; |
o | the actual and expected volatility in the closing level of each underlying index; |
o | the time to maturity of the securities; |
o | whether the closing level of any underlying index has been, or is expected to be, less than its coupon barrier level on any determination date and whether the final index value of any underlying index is expected to be less than its downside threshold level; |
o | the likelihood of an early redemption being triggered; |
o | the dividend rates on the equity securities included in the underlying indices; |
o | the actual and expected positive or negative correlation between the underlying indices, or the actual or expected absence of any such correlation; |
o | interest and yield rates in the market generally; |
o | the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity securities included in the SX5E Index and the NKY Index trade and the correlation among those rates and the levels of the SX5E Index and the NKY Index; and |
o | a variety of other economic, financial, political, regulatory and judicial events. |
§ | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities. The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the securities on or prior to the pricing date and prior to maturity could adversely affect the closing levels of the underlying indices. Any of these hedging or trading activities on or prior to the pricing date could potentially affect the initial index values and, as a result, the coupon barrier levels, which are the respective levels at or above which the underlying indices must close on each determination date in order for you to earn a contingent quarterly payment or, if the securities are not called prior to maturity, the downside threshold levels, which are the respective levels at or above which the underlying indices must close on the final determination date in order for you to avoid being exposed to the negative price performance of the worst performing underlying index at maturity. Additionally, these hedging or trading activities during the term of the securities could potentially affect the values of the underlying indices on the determination dates and, accordingly, whether investors will receive one or more contingent quarterly payments, whether the securities are automatically redeemed prior to maturity and, if the securities are not called prior to maturity, the payment to you at maturity. It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the value of the securities declines. |
§ | Secondary trading may be limited. The securities will not be listed on a securities exchange. There may be little or no secondary market for the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. JPMS may act as a market maker for the securities, but is not required to do so. Because we do not expect that other market makers will participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which JPMS is willing to buy the securities. If at any time JPMS or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the securities. |
§ | The final terms and valuation of the securities will be provided in the pricing supplement. The final terms of the securities will be provided in the pricing supplement. In particular, each of JPMS’s estimated value and the contingent quarterly payment will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this document. Accordingly, you should consider your potential investment in the securities based on the minimums for JPMS’s estimated value and the contingent quarterly payment. |
§ | The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the proper U.S. federal income tax treatment of the securities, and we do not intend to request a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of the securities as prepaid forward contracts with associated contingent coupons, as described in “Additional Information about the Securities — Additional Provisions — Tax considerations” in this document and in “Material U.S. Federal Income Tax |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High (on 6/23/2015):
|
1,295.799
|
Current Closing Level:
|
1,141.637
|
52 Week Low (on 10/13/2014):
|
1,049.303
|
52 Weeks Ago (on 10/6/2014):
|
1,094.646
|
|
|
Russell 2000® Index
|
High
|
Low
|
Period End
|
2010
|
|||
First Quarter
|
690.303
|
586.491
|
678.643
|
Second Quarter
|
741.922
|
609.486
|
609.486
|
Third Quarter
|
677.642
|
590.034
|
676.139
|
Fourth Quarter
|
792.347
|
669.450
|
783.647
|
2011
|
|||
First Quarter
|
843.549
|
773.184
|
843.549
|
Second Quarter
|
865.291
|
777.197
|
827.429
|
Third Quarter
|
858.113
|
643.421
|
644.156
|
Fourth Quarter
|
765.432
|
609.490
|
740.916
|
2012
|
|||
First Quarter
|
846.129
|
747.275
|
830.301
|
Second Quarter
|
840.626
|
737.241
|
798.487
|
Third Quarter
|
864.697
|
767.751
|
837.450
|
Fourth Quarter
|
852.495
|
769.483
|
849.350
|
2013
|
|||
First Quarter
|
953.068
|
872.605
|
951.542
|
Second Quarter
|
999.985
|
901.513
|
977.475
|
Third Quarter
|
1,078.409
|
989.535
|
1,073.786
|
Fourth Quarter
|
1,163.637
|
1,043.459
|
1,163.637
|
2014
|
|||
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Russell 2000® Index
|
High
|
Low
|
Period End
|
2015
|
|||
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter (through October 5, 2015)
|
1,141.637
|
1,097.552
|
1,141.637
|
Russell 2000® Index Historical Performance – Daily Closing Levels
January 4, 2010 to October 5, 2015 |
*The black dotted line in the graph indicates the hypothetical coupon barrier level, equal to 70% of the closing level on October 5, 2015, and the red dotted line indicates the hypothetical downside threshold level, equal to 55% of the closing level on October 5, 2015. The actual coupon barrier level and downside threshold level will be based on the closing level on the pricing date. |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Bloomberg Ticker Symbol:
|
SX5E
|
52 Week High (on 4/13/2015):
|
3,828.78
|
Current Closing Level:
|
3,190.39
|
52 Week Low (on 10/16/2014):
|
2,874.65
|
52 Weeks Ago (on 10/6/2014):
|
3,138.67
|
|
|
EURO STOXX 50® Index
|
High
|
Low
|
Period End
|
2010
|
|||
First Quarter
|
3,017.85
|
2,631.64
|
2,931.16
|
Second Quarter
|
3,012.65
|
2,488.50
|
2,573.32
|
Third Quarter
|
2,827.27
|
2,507.83
|
2,747.90
|
Fourth Quarter
|
2,890.64
|
2,650.99
|
2,792.82
|
2011
|
|||
First Quarter
|
3,068.00
|
2,721.24
|
2,910.91
|
Second Quarter
|
3,011.25
|
2,715.88
|
2,848.53
|
Third Quarter
|
2,875.67
|
1,995.01
|
2,179.66
|
Fourth Quarter
|
2,476.92
|
2,090.25
|
2,316.55
|
2012
|
|||
First Quarter
|
2,608.42
|
2,286.45
|
2,477.28
|
Second Quarter
|
2,501.18
|
2,068.66
|
2,264.72
|
Third Quarter
|
2,594.56
|
2,151.54
|
2,454.26
|
Fourth Quarter
|
2,659.95
|
2,427.32
|
2,635.93
|
2013
|
|||
First Quarter
|
2,749.27
|
2,570.52
|
2,624.02
|
Second Quarter
|
2,835.87
|
2,511.83
|
2,602.59
|
Third Quarter
|
2,936.20
|
2,570.76
|
2,893.15
|
Fourth Quarter
|
3,111.37
|
2,902.12
|
3,109.00
|
2014
|
|||
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|||
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
EURO STOXX 50® Index
|
High
|
Low
|
Period End
|
Fourth Quarter (through October 5, 2015)
|
3,190.39
|
3,069.05
|
3,190.39
|
EURO STOXX 50® Index Historical Performance – Daily Closing Levels
January 4, 2010 to October 5, 2015 |
*The black dotted line in the graph indicates the hypothetical coupon barrier level, equal to 70% of the closing level on October 5, 2015, and the red dotted line indicates the hypothetical downside threshold level, equal to 55% of the closing level on October 5, 2015. The actual coupon barrier level and downside threshold level will be based on the closing level on the pricing date. |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Bloomberg Ticker Symbol:
|
NKY
|
52 Week High (on 6/24/2015):
|
20,868.03
|
Current Closing Level:
|
18,005.49
|
52 Week Low (on 10/17/2014):
|
14,532.51
|
52 Weeks Ago (on 10/6/2014):
|
15,890.95
|
|
|
Nikkei 225 Index
|
High
|
Low
|
Period End
|
2010
|
|||
First Quarter
|
11,097.14
|
9,932.90
|
11,089.94
|
Second Quarter
|
11,339.30
|
9,382.64
|
9,382.64
|
Third Quarter
|
9,795.24
|
8,824.06
|
9,369.35
|
Fourth Quarter
|
10,370.53
|
9,154.72
|
10,228.92
|
2011
|
|||
First Quarter
|
10,857.53
|
8,605.15
|
9,755.10
|
Second Quarter
|
10,004.20
|
9,351.40
|
9,816.09
|
Third Quarter
|
10,137.73
|
8,374.13
|
8,700.29
|
Fourth Quarter
|
9,050.47
|
8,160.01
|
8,455.35
|
2012
|
|||
First Quarter
|
10,255.15
|
8,378.36
|
10,083.56
|
Second Quarter
|
10,109.87
|
8,295.63
|
9,006.78
|
Third Quarter
|
9,232.21
|
8,365.90
|
8,870.16
|
Fourth Quarter
|
10,395.18
|
8,534.12
|
10,395.18
|
2013
|
|||
First Quarter
|
12,635.69
|
10,486.99
|
12,397.91
|
Second Quarter
|
15,627.26
|
12,003.43
|
13,677.32
|
Third Quarter
|
14,808.50
|
13,338.46
|
14,455.80
|
Fourth Quarter
|
16,291.31
|
13,853.32
|
16,291.31
|
2014
|
|||
First Quarter
|
16,121.45
|
14,008.47
|
14,827.83
|
Second Quarter
|
15,376.24
|
13,910.16
|
15,162.10
|
Third Quarter
|
16,374.14
|
14,778.37
|
16,173.52
|
Fourth Quarter
|
17,935.64
|
14,532.51
|
17,450.77
|
2015
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Nikkei 225 Index
|
High
|
Low
|
Period End
|
First Quarter
|
19,754.36
|
16,795.96
|
19,206.99
|
Second Quarter
|
20,868.03
|
19,034.84
|
20,235.73
|
Third Quarter
|
20,841.97
|
16,930.84
|
17,388.15
|
Fourth Quarter (through October 5, 2015)
|
18,005.49
|
17,722.42
|
18,005.49
|
Nikkei 225 Index Historical Performance – Daily Closing levels
January 4, 2010 to October 5, 2015 |
*The black dotted line in the graph indicates the hypothetical coupon barrier level, equal to 70% of the closing level on October 5, 2015, and the red dotted line indicates the hypothetical downside threshold level, equal to 55% of the closing level on October 5, 2015. The actual coupon barrier level and downside threshold level will be based on the closing level on the pricing date. |
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
Additional Provisions
|
|
Record date:
|
The record date for each contingent payment date is the date one business day prior to that contingent payment date.
|
Postponement of maturity date:
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled final determination date is not a trading day or if a market disruption event occurs on that day so that the final determination date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day following that final determination date as postponed.
|
Minimum ticketing size:
|
$1,000 / 100 securities
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation agent:
|
JPMS
|
JPMS’s estimated value of the securities:
|
JPMS’s estimated value of the securities set forth on the cover of this document 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 “Risk Factors — 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 on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See “Risk Factors — 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 JPMS and other affiliated or unaffiliated dealers, the structuring fee, 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 be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the securities. See “Risk Factors — JPMS’s estimated value of the securities will be lower than the original issue price (price to public) of the securities” in this document.
|
Secondary market prices of the securities:
|
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by JPMS. See “Risk Factors — The value of the securities 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 securities for a limited time period.”
|
Tax considerations:
|
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 securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any contingent quarterly 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
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
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 securities 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 securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, 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 quarterly payments is uncertain, and although we believe it is reasonable to take a position that contingent quarterly 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 securities 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 securities 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” generally will not apply to the securities.
FATCA. Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the securities 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 securities are recharacterized, in whole or in part, as debt instruments, or contingent quarterly payments if they are otherwise treated as FDAP Income). If the securities are recharacterized, in whole or in part, as debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application of FATCA to the securities.
In the event of any withholding on the securities, we will not be required to pay any additional amounts with respect to amounts so withheld.
|
|
Supplemental use of proceeds and hedging:
|
The securities are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the securities. See “How the Securities Work” in this document for an illustration of the risk-return profile of the securities and “Russell 2000® Index Overview,” “EURO STOXX 50® Index Overview” and “Nikkei 225 Index Overview” in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal to JPMS’s estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
|
Benefit plan investor considerations:
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement no. 4a-I
|
Supplemental plan of distribution:
|
Subject to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each security.
We or our affiliate 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 and hedging” above and “Use of Proceeds and Hedging” on page PS-42 of the accompanying product supplement no. 4a-I.
|
Contact:
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326).
|
Where you can find more information:
|
JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase & Co.
|
Contingent Income Auto-Callable Securities due October 24, 2022
Based on the Worst Performing of the Russell 2000® Index, the EURO STOXX 50® Index and the Nikkei 225 Index
Principal at Risk Securities |
has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer participating in this offering will arrange to send you the prospectus, the prospectus supplement, product supplement no. 4a-I, underlying supplement no. 1a-I and this communication if you so request by calling toll-free (800)-869-3326.
You may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
You should read this document 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 securities 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 document, together with the documents listed below, contains the terms of the securities 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, stand-alone 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 in “Risk Factors” in the accompanying underlying supplement no. 1a-I, as the securities 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 securities.
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:
• Underlying supplement no. 1a-I dated November 7, 2014:
• Prospectus supplement and prospectus, each dated November 7, 2014:
Our Central Index Key, or CIK, on the SEC website is 19617.
As used in this document, “we,” “us,” and “our” refer to JPMorgan Chase & Co.
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