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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 | |
---|---|---|---|---|---|---|---|---|
0.03 | 0.02% | 193.40 | 194.87 | 193.06 | 193.57 | 6,413,657 | 00:26:32 |
Title of Each Class of
Securities Offered |
Maximum Aggregate
Offering Price
|
Amount of
Registration Fee
|
||
Notes
|
$749,000
|
$87.03
|
JPMorgan Chase & Co.
Structured Investments $749,000
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index due August 31, 2018 ● The notes are designed for investors who seek an uncapped return of 1.20 times any appreciation, or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Contingent Buffer Amount of 30%), of the lesser performing of the S&P 500® Index and the Russell 2000® Index at maturity.
● If the Final Value of either Index is less than its Initial Value by more than 30%, you will lose more than 30% of your principal amount at maturity and could lose all of your principal amount at maturity.
● Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at maturity.
● The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
● Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each of the Indices individually, as described below.
● Minimum denominations of $1,000 and integral multiples thereof
● The notes priced on August 26, 2015 and are expected to settle on or about August 31, 2015.
● CUSIP: 48125UH21
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
|
Per note
|
$1,000
|
$5.217
|
$994.783
|
Total
|
$749,000
|
$3,907.50
|
$745,092.50
|
(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 it receives from us to other affiliated or unaffiliated dealers. These selling commissions will vary and will be up to $7.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
|
Indices: The S&P 500® Index (Bloomberg ticker: SPX) and the Russell 2000® Index (Bloomberg ticker: RTY)
Upside Leverage Factor: 1.20
Contingent Buffer Amount: 30.00%
Pricing Date: August 26, 2015
Original Issue Date (Settlement Date): On or about August 31, 2015
Observation Date: August 28, 2018
Maturity Date*: August 31, 2018
* 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
|
Payment at Maturity:
If the Final Value of each Index is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return × Upside Leverage Factor)
If the Final Value of either Index is equal to its Initial Value or is less than its Initial Value by up to the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return of the Lesser Performing Index)
If the Final Value of either Index is less than its Initial Value by more than the Contingent Buffer Amount, 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 Final Value of either Index is less than its Initial Value by more than the Contingent Buffer Amount, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Absolute Index Return: With respect to each Index, the absolute value of its Index Return. For example, if the Index Return of an Index is -5%, its Absolute Index Return will equal 5%
Lesser Performing Index: The Index with the Lesser Performing Index Return
Lesser Performing Index Return: The lower of the Index Returns of the Indices
Index Return: With respect to each Index,
(Final Value – Initial Value)
Initial Value Initial Value: With respect to each Index, the closing level of that Index on the Pricing Date, which was 1,940.51 for the S&P 500® Index and 1,132.188 for the Russell 2000® Index.
Final Value: With respect to each Index, the closing level of that Index on the Observation Date
|
● | an Initial Value for the Lesser Performing Index of 100.00; |
● | an Upside Leverage Factor of 1.20; and |
● | a Contingent Buffer Amount of 30.00%. |
Final Value of
the Lesser
Performing
Index
|
Lesser
Performing
Index Return
|
Absolute Index Return of
the Lesser Performing
Index
|
Total Return on the Notes
|
Payment at Maturity
|
165.00
|
65.00%
|
N/A
|
78.00%
|
$1,780.00
|
150.00
|
50.00%
|
N/A
|
60.00%
|
$1,600.00
|
140.00
|
40.00%
|
N/A
|
48.00%
|
$1,480.00
|
130.00
|
30.00%
|
N/A
|
36.00%
|
$1,360.00
|
120.00
|
20.00%
|
N/A
|
24.00%
|
$1,240.00
|
110.00
|
10.00%
|
N/A
|
12.00%
|
$1,120.00
|
105.00
|
5.00%
|
N/A
|
6.00%
|
$1,060.00
|
101.00
|
1.00%
|
N/A
|
1.20%
|
$1,012.00
|
100.00
|
0.00%
|
0.00%
|
0.00%
|
$1,000.00
|
95.00
|
-5.00%
|
5.00%
|
5.00%
|
$1,050.00
|
90.00
|
-10.00%
|
10.00%
|
10.00%
|
$1,100.00
|
85.00
|
-15.00%
|
15.00%
|
15.00%
|
$1,150.00
|
80.00
|
-20.00%
|
20.00%
|
20.00%
|
$1,200.00
|
70.00
|
-30.00%
|
30.00%
|
30.00%
|
$1,300.00
|
69.99
|
-30.01%
|
N/A
|
-30.01%
|
$699.90
|
60.00
|
-40.00%
|
N/A
|
-40.00%
|
$600.00
|
50.00
|
-50.00%
|
N/A
|
-50.00%
|
$500.00
|
40.00
|
-60.00%
|
N/A
|
-60.00%
|
$400.00
|
30.00
|
-70.00%
|
N/A
|
-70.00%
|
$300.00
|
20.00
|
-80.00%
|
N/A
|
-80.00%
|
$200.00
|
10.00
|
-90.00%
|
N/A
|
-90.00%
|
$100.00
|
0.00
|
-100.00%
|
N/A
|
-100.00%
|
$0.00
|
● | If the closing level of the Lesser Performing Index increases 10.00%, investors will receive at maturity an 12.00% return, or $1,120.00 per $1,000 principal amount note. |
● | For example, if the closing level of the Lesser Performing Index declines 10.00%, investors will receive at maturity a 10.00% return, or $1,100.00 per $1,000 principal amount note. |
● | For example, if the closing level of the Lesser Performing Index declines 50.00%, investors will lose 50.00% of their principal amount and receive only $500.00 per $1,000 principal amount note at maturity. |
● | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the Final Value of either Index is less than its Initial Value by more than 30.00%, 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. |
● | YOUR MAXIMUM GAIN ON THE NOTES IF THE LESSER PERFORMING INDEX RETURN IS NEGATIVE IS LIMITED BY THE CONTINGENT BUFFER AMOUNT — Because the payment at maturity will not reflect the Absolute Index Return of the Lesser Performing Index if the Final Value of either Index is less than its Initial Value by more than the Contingent Buffer Amount, the Contingent Buffer Amount is effectively a cap on your return at maturity if the Index Return of the Lesser Performing Index is negative. The maximum payment at maturity if the Lesser Performing Index Return is negative is $1,300.00 per $1,000 principal amount note. |
● | 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. |
● | POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement. |
● | WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, but we will not have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index. |
● | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX — Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by either of the Indices over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Index. |
● | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX. |
● | THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — If the Final Value of either Index is less than its Initial Value by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate, and you will be fully exposed to any depreciation in the closing level of the Lesser Performing Index. |
● | THE NOTES DO NOT PAY INTEREST. |
● | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
● | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000® INDEX — Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions. |
● | THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER IF THE VALUE OF THAT INDEX IS VOLATILE. |
● | LACK OF LIQUIDITY— The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. |
● | JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s estimated value is only an estimate using several factors. The original issue price of the notes exceeds JPMS’s estimated |
● | JPMS'S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS' ESTIMATES — See “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
● | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes” in this pricing supplement. |
● | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
● | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. |
● | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the 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. |
Historical Performance of the S&P 500® Index
Source: Bloomberg
|
Historical Performance of the Russell 2000® Index
Source: Bloomberg
|
● | Product supplement no. 4a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf |
● | Underlying supplement no. 1a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf |
● | Prospectus supplement and prospectus, each dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf |
PS 9| Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the
Lesser Performing of the S&P 500® Index and the Russell 2000® Index
|
1 Year JP Morgan Chase Chart |
1 Month JP Morgan Chase Chart |
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