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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 | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 190.51 | 77 | 10:13:49 |
CALCULATION OF REGISTRATION FEE
|
||||
Title of Each Class of
Securities Offered
|
Maximum Aggregate
Offering Price
|
Amount of
Registration Fee
|
||
Notes
|
$25,100,000
|
$2,527.57
|
Pricing supplement no. 1755
To prospectus dated November 7, 2014, prospectus supplement dated November 7, 2014 and product supplement no. 2a-I dated November 7, 2014 |
Registration Statement No. 333-199966
Dated February 2, 2016 Rule 424(b)(2)
|
Structured
Investments
|
$25,100,000
Yield Notes Linked to the 10-Year U.S. Dollar ICE Swap Rate due February 9, 2017
|
· | The notes are designed for investors who do not think that the 10-Year U.S. Dollar ICE Swap Rate determined as described below, which we refer to as the Reference Rate, will decline by more than the Buffer Amount of 15% on the Observation Date from the Strike Rate. For example, with a Strike Rate of 1.734%, investors will be taking the view that the Final Reference Rate will not decline below 1.4739%, which is equivalent to 85% of the Strike Rate (85% × 1.734% = 1.4739%). Investors should also be willing to accept the risk of losing some or all of their principal if the Final Reference Rate is less than the Strike Rate by more than the Buffer Amount. If the Final Reference Rate is less than the Strike Rate by more than the Buffer Amount, at maturity investors will lose 1.17647% of their principal for every 1% that the Final Reference Rate is less than the Strike Rate by more than the Buffer Amount. In the example above, investors would start to lose principal if the Final Reference Rate is below 1.4739% (85% of the Strike Rate). If the Final Reference Rate is less than or equal to 0.00%, investors will lose 100% of their principal. See "Hypothetical Examples of Amounts Payable At Maturity" for additional hypothetical payment scenarios. |
· | If the Reference Rate does not decline by more than the Buffer Amount, investors have the potential to receive a higher return than the current yield on a conventional debt security with the same maturity issued by us. Investors should be willing to forgo the potential to participate in any increase in the Reference Rate. |
· | The notes will pay 8.00% per annum interest over the term of the notes, payable at a rate of 2.00% per quarter. The Interest Rate is a fixed rate and is not linked to the Reference Rate. |
· | 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. |
· | Minimum denominations of $1,000 and integral multiples thereof |
Reference Rate:
|
10-Year U.S. Dollar ICE Swap Rate (the “ICE Swap Rate”) determined as set forth under “Supplemental Terms of the Notes” in this pricing supplement
|
Interest Rate:
|
8.00% per annum, payable at a rate of 2.00% per quarter. The Interest Rate is a fixed rate and is not linked to the Reference Rate.
|
Interest Payment
Dates†:
|
May 5, 2016, August 5, 2016, November 7, 2016 and the Maturity Date
|
Payment at Maturity:
|
If the Final Reference Rate is greater than or equal to the Strike Rate or is less than the Strike Rate by up to the Buffer Amount, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to $1,000 plus any accrued and unpaid interest.
|
If the Final Reference Rate is less than the Strike Rate by more than the Buffer Amount, at maturity you will lose 1.17647% of the principal amount of your notes for every 1% that the Final Reference Rate is less than the Strike Rate by more than the Buffer Amount. Under these circumstances, your payment at maturity per $1,000 principal amount note, in addition to any accrued and unpaid interest, will be calculated as follows:
$1,000 + [$1,000 × (Reference Rate Return + Buffer Amount) × Downside Leverage Factor]
If the Final Reference Rate is less than the Strike Rate by more than the Buffer Amount, you will lose some or all of your principal amount at maturity.
|
|
Buffer Amount:
|
15%
|
Downside Leverage
Factor:
|
1.17647
|
Reference Rate Return:
|
Final Reference Rate – Strike Rate
Strike Rate
|
In no event, however, will the Reference Rate Return be less than -100%.
|
|
Strike Rate:
|
1.734%, which is a rate determined by reference to certain intraday ICE Swap Rate levels on the Pricing Date. The Strike Rate is not determined by reference to the Reference Rate on the Pricing Date. Although the calculation agent has made all determinations and has taken all actions in relation to the establishment of the Strike Rate in good faith, it should be noted that such discretion could have an impact (positive or negative), on the value of your notes. The calculation agent is under no obligation to consider your interests as a holder of the notes in taking any actions, including the determination of the Strike Rate, that might affect the value of your notes.
|
Final Reference Rate:
|
The Reference Rate on the Observation Date
|
Pricing Date:
|
February 2, 2016
|
Original Issue Date
(Settlement Date):
|
On or about February 5, 2016
|
Observation Date††:
|
February 6, 2017
|
Maturity Date†:
|
February 9, 2017
|
CUSIP:
|
48128GLG3
|
† | Subject to postponement as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 2a-I |
†† | Subject to adjustment as described under “Supplemental Terms of the Notes” in this pricing supplement |
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
|
Per note
|
$1,000
|
$7.50
|
$992.50
|
Total
|
$25,100,000
|
$188,250
|
$24,911,750
|
(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 $7.50 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-79 of the accompanying product supplement no. 2a-I. |
·
|
Product supplement no. 2a-I dated November 7, 2014:
|
·
|
Prospectus supplement and prospectus, each dated November 7, 2014:
|
· | THE NOTES OFFER A HIGHER INTEREST RATE THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE MATURITY ISSUED BY US — The notes will pay interest at the Interest Rate specified on the cover of this pricing supplement, which is higher than the yield currently available on debt securities of comparable maturity issued by us. Because the notes are our unsecured and unsubordinated obligations, payment of any amount on the notes is subject to our ability to pay our obligations as they become due. |
· | QUARTERLY INTEREST PAYMENTS — The notes offer quarterly interest payments as specified on the cover of this pricing supplement. Interest will be payable to the holders of record at the close of business on the business day immediately preceding the applicable Interest Payment Date. If an Interest Payment Date is not a business day, payment will be made on the next business day immediately following such day, but no additional interest will accrue as a result of the delayed payment. |
· | THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL — We will pay you your principal back at maturity only if the Final Reference Rate is greater than or equal to the Strike Rate or is less than the Strike Rate by up to the Buffer Amount. However, if the Final Reference Rate is less than the Strike Rate by more than the Buffer Amount, you will lose some or all of your principal amount at maturity. Even if the Final Reference Rate is negative, your payment at maturity per $1,000 principal amount note, excluding the final Interest Payment, will not be less than $0. |
· | RETURN LINKED TO THE 10-YEAR U.S. DOLLAR ICE SWAP RATE — The ICE Swap Rate is the “constant maturity swap rate” that measures the annual fixed rate of interest payable on a hypothetical fixed-for-floating U.S. dollar interest rate swap transaction with a 10-year maturity. In such a hypothetical swap transaction, the fixed rate of interest, payable semi-annually on the basis of a 360-day year consisting of twelve 30-day months, is exchangeable for a floating three-month USD London Interbank Offered Rate (“three-month USD LIBOR”) based payment stream that is payable quarterly on the basis of the actual number of days elapsed during a quarterly period in a 360-day year. Three-month USD LIBOR reflects the rate at which banks lend U.S. dollars to each other for a term of three months in the London interbank market. |
· | TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining our reporting responsibilities we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x) a derivative contract (the “Derivative Contract”) that requires you to pay us at maturity an amount equal to the Deposit in exchange for your receipt of an amount equal to the Payment at Maturity and the Derivative Payments as described below and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your obligation under the Derivative Contract. Under this approach, a portion of each Interest Payment will be treated as interest on the Deposit, and the remainder as a payment to you under the Derivative Contract (a “Derivative Payment”). You should review the discussion in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit – Notes with a Term of More than One Year” in the accompanying product supplement no. 4a-I, reading all references therein to a “Put Option” and “Put Premium” as references to a “Derivative Contract” and “Derivative Payment.” To the extent the discussion in this section is inconsistent with the tax treatment described in that section, the discussion herein is controlling. The remainder of this discussion assumes this treatment is respected, unless otherwise indicated. |
· | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the Final Reference Rate is less than the Strike Rate by more than the Buffer Amount, you will lose 1.17647% of your principal amount at maturity for every 1% that the Final Reference Rate, which may be a negative rate, is less than the Strike Rate by more than the Buffer Amount. In no event, however, will the Reference Rate Return be less than -100%. Accordingly, under these circumstances, you will lose some or all of your principal amount at maturity. |
· | CREDIT RISK OF JPMORGAN CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit ratings and credit spreads may adversely affect the market value of the notes. 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, AND YOU WILL NOT PARTICIPATE IN ANY INCREASE IN THE REFERENCE RATE — The appreciation potential of the notes is limited to the sum of the interest payments, regardless of any increase in the Reference Rate, which may be significant. The Interest Rate is a fixed rate and is not linked to the Reference Rate. You will not participate in any increase in the Reference Rate. Accordingly, the return on the notes may be significantly less than the return on a direct investment in the Reference Rate during the term of the notes. |
· | POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, 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 notes. 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 notes and the value of 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 no. 2a-I for additional information about these risks. |
· | 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 — JPMS’s estimated value of the notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are set. This estimated value is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions about market parameters, which can include volatility, interest rates and other factors. 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. 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 |
· | 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. 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. 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 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. See the immediately following risk consideration for information about additional factors that will impact any secondary market prices of the notes. |
· | 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 Reference Rate, including: |
· | any actual or potential change in our creditworthiness or credit spreads; |
· | customary bid-ask spreads for similarly sized trades; |
· | secondary market credit spreads for structured debt issuances; |
· | the actual and expected volatility of the Reference Rate; |
· | the time to maturity of the notes; |
· | interest and yield rates in the market generally; and |
· | a variety of other economic, financial, political, regulatory, geographical, meteorological and judicial events. |
· | THE REFERENCE RATE WILL BE AFFECTED BY A NUMBER OF FACTORS — The Reference Rate will depend on the a number of factors, including, but not limited to: |
· | changes in, or perceptions about, future Reference Rate levels; |
· | general economic conditions: the economic, financial, political, regulatory and judicial events that affect financial markets generally will affect the Reference Rate; |
· | prevailing interest rates: the Reference Rate is subject to daily fluctuations depending on the levels of prevailing interest rates in the market generally; and |
· | policy of the Federal Reserve Board regarding interest rates. |
· | THE REFERENCE RATE MAY BE VOLATILE — The Reference Rate is subject to volatility due to a variety of factors affecting interest rates generally, including: |
· | sentiment regarding underlying strength in the U.S. and global economies; |
· | expectations regarding the level of price inflation; |
· | sentiment regarding credit quality in U.S. and global credit markets; |
· | central bank policy regarding interest rates; and |
· | performance of capital markets. |
· | THE CMS RATE AND THE MANNER IN WHICH IT IS CALCULATED MAY CHANGE IN THE FUTURE — There can be no assurance that the method by which the ICE Swap Rate is calculated will continue in its current form. Any changes in the method of calculation could reduce the Reference Rate. |
· | THE REFERENCE RATE MAY BE CALCULATED BASED ON DEALER QUOTATIONS OR BY THE CALCULATION AGENT IN GOOD FAITH AND IN A COMMERCIALLY REASONABLE MANNER — If on the Observation Date, the |
· | LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, 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. |
Final Reference Rate
|
Reference Rate Return
(1)
|
Total Return
|
Total Payments Over the
Term of the Notes
|
3.0600%
|
80.00%
|
8.000%
|
$1,080.00
|
2.8050%
|
65.00%
|
8.000%
|
$1,080.00
|
2.5500%
|
50.00%
|
8.000%
|
$1,080.00
|
2.3800%
|
40.00%
|
8.000%
|
$1,080.00
|
2.2100%
|
30.00%
|
8.000%
|
$1,080.00
|
2.0400%
|
20.00%
|
8.000%
|
$1,080.00
|
1.8700%
|
10.00%
|
8.000%
|
$1,080.00
|
1.7850%
|
5.00%
|
8.000%
|
$1,080.00
|
1.7000%
|
0.00%
|
8.000%
|
$1,080.00
|
1.6150%
|
-5.00%
|
8.000%
|
$1,080.00
|
1.5300%
|
-10.00%
|
8.000%
|
$1,080.00
|
1.4450%
|
-15.00%
|
8.000%
|
$1,080.00
|
1.360%
|
-20.00%
|
2.118%
|
$1,021.18
|
1.3294%
|
-21.80%
|
0.000%
|
$1,000.00
|
1.2750%
|
-25.00%
|
-3.765%
|
$962.35
|
1.1900%
|
-30.00%
|
-9.647%
|
$903.53
|
1.0200%
|
-40.00%
|
-21.412%
|
$785.88
|
0.8500%
|
-50.00%
|
-33.176%
|
$668.24
|
0.6800%
|
-60.00%
|
-44.941%
|
$550.59
|
0.5100%
|
-70.00%
|
-56.706%
|
$432.94
|
0.3400%
|
-80.00%
|
-68.471%
|
$315.29
|
0.1700%
|
-90.00%
|
-80.235%
|
$197.65
|
0.0000%
|
-100.00%
|
-92.000%
|
$80.00
|
-0.1700%
|
-100.00%
|
-92.000%
|
$80.00
|
-0.3400%
|
-100.00%
|
-92.000%
|
$80.00
|
-0.5100%
|
-100.00%
|
-92.000%
|
$80.00
|
(1) The Reference Rate Return may not be less than -100%.
|
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