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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 | |
---|---|---|---|---|---|---|---|---|
-0.96 | -0.50% | 192.32 | 13,022 | 14:27:55 |
PRICING SUPPLEMENT NO. 140
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-209682 and 333-209682-01
Dated May 20, 2016
|
Investment Description
|
Features
|
Key Dates
|
q
|
Contingent Coupon:
If the closing level of each Underlying is equal to or greater than its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will make a Contingent Coupon payment with respect to that Quarterly Observation Period. JPMorgan Financial will not pay you the Contingent Coupon for any Quarterly Observation Period in which the closing level of any Underlying on any day during that Quarterly Observation Period is less than its Coupon Barrier.
|
q
|
Issuer Callable:
JPMorgan Financial may, at its election, call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date, and pay you the principal amount
plus
any Contingent Coupon otherwise due for the Quarterly Observation Period ending on that Quarterly Observation End Date. If the Notes are called, no further payments will be made after the Call Settlement Date.
|
q
|
Downside Exposure with Contingent Repayment of Principal Amount at Maturity:
If by maturity the Notes have not been called and each Underlying closes at or above its Downside Threshold on the Final Valuation Date, JPMorgan Financial will pay you the principal amount per Note at maturity, in addition to any Contingent Coupon with respect to the final Quarterly Observation Period. If any Underlying closes below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline in the closing level of the Least Performing Underlying from its Initial Value to its Final Index Value. The contingent repayment of principal applies only if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
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Trade Date
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May 20, 2016
|
Original Issue Date (Settlement Date)
|
May 27, 2016
|
Quarterly Observation End Dates
1
|
Quarterly (see page 4)
|
Final Valuation Date
1
|
May 21, 2018
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Maturity Date
1
|
May 29, 2018
|
1
|
Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment Date” and “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” in the accompanying product supplement.
|
Note Offering
|
Underlying
|
Contingent
Coupon Rate
|
Initial Value
|
Downside Threshold*
|
Coupon Barrier*
|
CUSIP / ISIN
|
S&P 500
®
Index (Bloomberg Ticker: SPX)
|
10.50% per annum
|
2,052.32
|
1,334.01, which is 65% of the Initial Value
|
1,334.01, which is 65% of the Initial Value
|
46646W797 / US46646W7974
|
EURO STOXX 50
®
Index (Bloomberg Ticker: SX5E)
|
2,962.16
|
1,925.40, which is 65% of the Initial Value
|
1,925.40, which is 65% of the Initial Value
|
||
Russell 2000
®
Index (Bloomberg Ticker: RTY)
|
1,112.276
|
722.979, which is 65% of the Initial Value
|
722.979, which is 65% of the Initial Value
|
Price to Public
(1)
|
Fees and Commissions
(2)
|
Proceeds to Issuer
|
||||
Offering of Notes
|
Total
|
Per Note
|
Total
|
Per Note
|
Total
|
Per Note
|
Notes linked to the least performing of the S&P 500
®
Index, the EURO STOXX 50
®
Index and the Russell 2000
®
Index
|
$7,893,000
|
$10
|
$118,395
|
$0.15
|
$7,774,605
|
$9.85
|
(1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Notes. |
(2) | UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.15 per $10 principal amount Note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of Distribution” in this pricing supplement. |
Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
|
t | Product supplement no. UBS-1-I dated April 15, 2016: |
t | Underlying supplement no. 1-I dated April 15, 2016: |
t | Prospectus supplement and prospectus, each dated April 15, 2016: |
Investor Suitability
|
t | You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment. |
t | You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside market risk as an investment in the Least Performing Underlying. |
t | You are willing to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final Valuation Date and understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline or any potential increase in the levels of the other Underlyings. |
t | You accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates. |
t | You understand and accept that you will not participate in any appreciation in the level of any Underlying and that your potential return is limited to the Contingent Coupons. |
t | You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the levels of the Underlyings. |
t | You are willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof. |
t | You do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the stocks included in the Underlyings. |
t | You are able and willing to invest in Notes that may be called early at JPMorgan Financial’s election or you are otherwise willing to hold the Notes to maturity. |
t | You accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes. |
t | You understand and accept the risks associated with the Underlyings. |
t | You are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts due to you including any repayment of principal. |
t | You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment. |
t | You cannot tolerate a loss of all or a substantial portion of your investment and are unwilling to make an investment that may have the same downside market risk as an investment in the Least Performing Underlying. |
t | You are unwilling to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final Valuation Date or do not understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline or any potential increase in the levels of the other Underlyings. |
t | You require an investment designed to provide a full return of principal at maturity. |
t | You do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates. |
t | You seek an investment that participates in the full appreciation in the level of any or all Underlyings or that has unlimited return potential. |
t | You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the levels of the Underlyings. |
t | You are not willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof. |
t | You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings. |
t | You seek guaranteed current income from this investment or prefer to receive the dividends paid on the stocks included in the Underlyings. |
t | You are unable or unwilling to invest in Notes that may be called early at JPMorgan Financial’s election, or you are otherwise unable or unwilling to hold the Notes to maturity or you seek an investment for which there will be an active secondary market. |
t | You do not understand or accept the risks associated with the Underlyings. |
t | You are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including any repayment of principal. |
The suitability considerations identified above are not exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” section of this pricing supplement and the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying supplement for risks related to an investment in the Notes. For more information on the Underlyings, please see the sections titled “The S&P 500 ® Index,” “The EURO STOXX 50 ® Index” and “The Russell 2000 ® Index” below. |
Final Terms
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Issuer:
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JPMorgan Chase Financial Company LLC
|
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Guarantor:
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JPMorgan Chase & Co.
|
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Issue Price:
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$10 per Note
|
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Underlyings:
|
S&P 500
®
Index
EURO STOXX 50
®
Index
Russell 2000
®
Index
|
|
Principal Amount:
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
|
|
Term:
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Approximately 2 years, unless called earlier at the election of JPMorgan Financial
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Issuer Call Feature:
|
JPMorgan Financial may elect to call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount
plus
any Contingent Coupon otherwise due for the Quarterly Observation Period ending on the applicable Quarterly Observation End Date, and no further payments will be made on the Notes. Before JPMorgan Financial elects to call the Notes on a Quarterly Observation End Date, JPMorgan Financial will deliver written notice to The Depository Trust Company (“DTC”) on or before that Quarterly Observation End Date.
|
|
Contingent
Coupon:
|
If the closing level of each Underlying is equal to or greater than its Coupon Barrier on each day during a Quarterly Observation Period, we will pay you the Contingent Coupon for that Quarterly Observation Period on the relevant Coupon Payment Date.
If the closing level of any Underlying is less than its Coupon Barrier on any day during a Quarterly Observation Period, the Contingent Coupon for that Quarterly Observation Period will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal quarterly installments at the Contingent Coupon Rate, which is a per annum rate.
Contingent Coupon payments on the Notes are not guaranteed. We will not pay you the Contingent Coupon for any Quarterly Observation Period in which the closing level of any Underlying on any day during that Quarterly Observation Period is less than its Coupon Barrier.
|
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Quarterly
Observation Period:
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With respect to each Coupon Payment Date, the period from but excluding the second immediately preceding Quarterly Observation End Date (or, in the case of the first Coupon Payment Date, from but excluding the Pricing Date) to and including the immediately preceding Quarterly Observation End Date.
|
|
Contingent
Coupon Rate:
|
10.50% per annum
|
|
Contingent
Coupon payments:
|
$0.2625 per $10 principal amount Note
|
|
Coupon Payment
Dates
1
:
|
5th business day following the Quarterly Observation End Date on which the applicable Quarterly Observation Period ends, except that the Coupon Payment Date for the final Quarterly Observation Period is the Maturity Date
|
|
Call Settlement
Dates
1
:
|
First Coupon Payment Date following the applicable Quarterly Observation End Date
|
|
Payment at
Maturity (per $10
Note):
|
If JPMorgan Financial does not elect to call the Notes and the Final Value of each Underlying is equal to or greater than its Downside Threshold ,
we will pay you a cash payment at maturity per $10 principal amount Note equal to $10
plus
any Contingent Coupon otherwise due on the Maturity Date.
If JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying is less than its Downside Threshold,
we will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note resulting in a loss on your principal amount proportionate to the negative Underlying Return of the Least Performing Underlying, equal to:
$10 × (1 + Least Performing Underlying Return)
|
|
Underlying Return:
|
With respect to each Underlying:
Final Value – Initial Value
Initial Value
|
|
Least Performing
Underlying:
|
The Underlying with the Lowest Underlying Return
|
|
Least Performing
Underlying Return:
|
The lowest of the Underlying Returns of the Underlyings
|
|
Initial Value:
|
With respect to each Underlying, the closing level of that Underlying on the Trade Date
|
|
Final Value:
|
With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date
|
|
Downside
Threshold
2
:
|
With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
|
|
Coupon Barrier
2
:
|
With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
|
1
|
See footnote 1 under “Key Dates” on the front cover
|
2
|
Rounded to two decimal places for the S&P 500
®
Index and the EURO STOXX 50
®
Index and rounded to three decimal places for the Russell 2000
®
Index
|
Investment Timeline
|
Quarterly Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates
|
Quarterly Observation Periods Ending on the
Following Quarterly Observation End Dates
|
Coupon Payment Dates /
Call Settlement Dates (if called)
|
August 22, 2016
|
August 29, 2016
|
November 21, 2016
|
November 29, 2016
|
February 21, 2017
|
February 28, 2017
|
May 22, 2017
|
May 30, 2017
|
August 21, 2017
|
August 28, 2017
|
November 20, 2017
|
November 28, 2017
|
February 20, 2018
|
February 27, 2018
|
May 21, 2018* (the Final Valuation Date)
|
May 29, 2018* (the Maturity Date)
|
What Are the Tax Consequences of the Notes?
|
Key Risks
|
t | Your Investment in the Notes May Result in a Loss — The Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the Notes. If JPMorgan Financial does not elect to call the Notes and the closing level of any Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation of the Least Performing Underlying from its Initial Value to its Final Value. In this case, JPMorgan Financial will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return of the Least Performing Underlying. Under these circumstances, you will lose 1% of your principal for every 1% that the Final Value of the Least Performing Underlying is less than its Initial Value and could lose your entire principal amount. As a result, your investment in the Notes may not perform as well as an investment in a security that does not have the potential for full downside exposure to any Underlying. |
t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank pari passu with all of our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment. |
t | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets — As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the Notes. If these affiliates do not make payments to us and we fail to make payments on the Notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. |
t | You Are Not Guaranteed Any Contingent Coupons — We will not necessarily make periodic coupon payments on the Notes. If the closing level of any Underlying is less than its Coupon Barrier on any day during a Quarterly Observation Period, we will not pay you the Contingent Coupon for that Quarterly Observation Period and the Contingent Coupon that would otherwise be payable will not be accrued and will be lost. This will be the case even if the closing levels of the other Underlyings are greater than or equal to their respective Coupon Barriers on each day during that Quarterly Observation Period, and even if the closing level of that Underlying was higher than its Coupon Barrier on every other day during the Quarterly Observation Period. If the closing level of any Underlying is less than its Coupon Barrier on any day during each Quarterly Observation Period, we will not pay you any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes. |
t | Each Quarterly Contingent Coupon Is Based on the Closing Levels of the Underlyings on Each Day During the Applicable Quarterly Observation Period — Whether a Contingent Coupon will be payable with respect to a Quarterly Observation Period will be based solely on the closing levels of the Underlyings on each day during that Quarterly Observation Period. If the closing level of any Underlying on any day during a Quarterly Observation Period is less than its Coupon Barrier, you will not receive any Contingent Coupon with respect to that Quarterly Observation Period. As a result, a Contingent Coupon for a Quarterly Observation Period may be lost after the first day of such period, but you will not know whether you will receive a Contingent Coupon for a Quarterly Observation Period until the end of the related period. |
t | Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in Any Appreciation of Any Underlying — The return potential of the Notes is limited to the specified Contingent Coupon Rate, regardless of the appreciation of any Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number of Quarterly Observation Periods during which the requirements for a Contingent Coupon have been met prior to maturity or JPMorgan Financial electing to call the Notes. Further, if JPMorgan Financial elects to call the Notes, you will not receive any Contingent Coupons or any other payments in respect of any Quarterly Observation Periods after the Call Settlement Date. If JPMorgan Financial does not elect to call the Notes, you may be subject to the risk of decline in the level of each Underlying, even though you are not able to participate in any potential appreciation of any Underlying. As a result, the return on an investment in the Notes could be less than the return on a hypothetical direct investment in any Underlying. In addition, if JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying is below its Downside Threshold, you will lose some or all of your principal amount and the overall return on the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity. |
t | Because the Notes Are Linked to the Least Performing Underlying, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant Loss on Your Investment at Maturity Than If the Notes Were Linked to a Single |
t | You Are Exposed to the Risk of Decline in the Level of Each Underlying — Your return on the Notes and your payment at maturity, if any, is not linked to a basket consisting of the Underlyings. If JPMorgan Financial does not elect to call the Notes, your payment at maturity is contingent upon the performance of each individual Underlying such that you will be fully exposed to the risks related to each of the Underlyings. In addition, the performance of the Underlyings may not be correlated. Poor performance by any of the Underlyings over the term of the Notes may negatively affect whether you will receive a Contingent Coupon on any Coupon Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by the other Underlyings. Accordingly, your investment is subject to the risk of decline in the value of each Underlying. |
t | Your Payment at Maturity May Be Determined By the Least Performing Underlying — Because the payment at maturity will be determined based on the performance of the Least Performing Underlying, you will not benefit from the performance of the other Underlyings. Accordingly, if JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying is less than its Downside Threshold, you will lose some or all of your principal amount at maturity, even if the Final Value of the other Underlyings is greater than or equal to its Initial Value. |
t | Contingent Repayment of Principal Applies Only If You Hold the Notes to Maturity — If you are able to sell your Notes in the secondary market prior to maturity, you may have to sell them at a loss relative to your initial investment even if the closing levels of all of the Underlyings are above their respective Downside Thresholds. If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per Note, with or without the Contingent Coupon, or, if any Underlying closes below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline in the closing level of the Least Performing Underlying from the Trade Date to the Final Valuation Date. This contingent repayment of principal applies only if you hold your Notes to maturity. |
t | A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or Downside Threshold May Reflect Greater Expected Volatility of the Underlyings, Which Is Generally Associated With a Greater Risk of Loss — Volatility is a measure of the degree of variation in the levels of the Underlyings over a period of time. The greater the expected volatilities of the Underlyings at the time the terms of the Notes are set, the greater the expectation is at that time that the level of an Underlying could close below its Coupon Barrier on any day during any Quarterly Observation Period, resulting in the loss of one or more, or all, Contingent Coupon payments, or below its Downside Threshold on the Final Valuation Date, resulting in the loss of a significant portion or all of your principal at maturity. In addition, the economic terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold, are based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where higher expected volatilities will generally be reflected in a higher Contingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity and/or on otherwise comparable securities and/or a lower Coupon Barrier and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Contingent Coupon Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier or Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should be willing to accept the downside market risk of each Underlying and the potential loss of some or all of your principal at maturity. |
t | Call and Reinvestment Risk — JPMorgan Financial may, in its sole discretion, elect to call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects to call your Notes early, you will no longer have the opportunity to receive any Contingent Coupons after the applicable Call Settlement Date. The first Quarterly Observation End Date, and the first potential date on which JPMorgan Financial may elect to call the Notes, occurs after approximately three months and therefore you may not have the opportunity to receive any Contingent Coupons after approximately three months. In the event JPMorgan Financial elects to call the Notes, there is no guarantee that you would be able to reinvest the proceeds at a comparable return and/or with a comparable Contingent Coupon Rate for a similar level of risk. |
t | 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 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 the estimated value of the Notes. In performing these duties, our and JPMorgan Chase & Co.’s 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 and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s 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 for additional information about these risks. |
t | The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes — The estimated value of the Notes is only an estimate determined by reference to several factors. The original issue price of the Notes exceeds the estimated value of the Notes because costs associated with selling, structuring and hedging the Notes are included in the original issue price of the Notes. These costs include the selling commissions, 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 “The Estimated Value of the Notes” in this pricing supplement. |
t | The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates — The estimated value of the Notes is determined by reference to internal pricing models of our affiliates when the terms of the Notes are set. This estimated value of the Notes is based on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for Notes that are greater than or less than the estimated value of the Notes. 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 or JPMorgan Chase & Co.’s 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 “The Estimated Value of the Notes” in this pricing supplement. |
t | The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate — The internal funding rate used in the determination of the estimated value of the Notes is based on, among other things, our and our affiliates’ 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 the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Notes and any secondary market prices of the Notes. See “The Estimated Value of the Notes” in this pricing supplement. |
t | The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the 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 selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates 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). |
t | 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 internal secondary market funding rates 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 factor for information about additional factors that will impact any secondary market prices of the Notes. |
t | Many Economic and Market Factors Will Impact the Value of the Notes — As described under “The Estimated Value of the Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, 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 Underlyings, including: |
t | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
t | customary bid-ask spreads for similarly sized trades; |
t | our internal secondary market funding rates for structured debt issuances; |
t | the actual and expected volatility in the levels of the Underlyings; |
t | the time to maturity of the Notes; |
t | whether the closing level of any Underlying has been, or is expected to be, less than its Coupon Barrier on any day during any Quarterly Observation Period and whether the Final Value of any Underlying is expected to be less than its Downside Threshold; |
t | the dividend rates on the equity securities underlying the Underlyings; |
t | the actual and expected positive or negative correlation between the Underlyings, or the actual or expected absence of any such correlation; |
t | interest and yield rates in the market generally; |
t | 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 EURO STOXX 50 ® Index trade and the correlation among those rates and the levels of the EURO STOXX 50 ® Index; and |
t | a variety of other economic, financial, political, regulatory and judicial events. |
t | Investing in the Notes Is Not Equivalent to Investing in the Stocks Composing the Underlyings — Investing in the Notes is not equivalent to investing in the stocks included in the Underlyings. As an investor in the Notes, you will not have any ownership interest or rights in the stocks included in the Underlyings, such as voting rights, dividend payments or other distributions. |
t | We Cannot Control Actions by the Sponsor of Any Underlying and That Sponsor Has No Obligation to Consider Your Interests — We and our affiliates are not affiliated with the sponsor of any Underlying and have no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of that Underlying. The sponsor of each Underlying is not involved in this Note offering in any way and has no obligation to consider your interest as an owner of the Notes in taking any actions that might affect the market value of your Notes. |
t | Your Return on the Notes Will Not Reflect Dividends on the Stocks Composing the Underlyings — Your return on the Notes will not reflect the return you would realize if you actually owned the stock included in the Underlyings and received the dividends on the stock included in the Underlyings. This is because the calculation agent will determine whether the Notes will be called and whether a Contingent Coupon is payable. The calculation agent will calculate the amount payable to you at maturity of the Notes by reference to the closing level of each Underlying on the Final Valuation Date, without taking into consideration the value of dividends on the stock included in that Underlying. |
t | No Assurances That the Investment View Implicit in the Notes Will Be Successful — While the Notes are structured to provide for Contingent Coupons if each Underlying does not close below its Coupon Barrier on any day during the Quarterly Observation Periods, we cannot assure you of the economic environment during the term or at maturity of your Notes. |
t | 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. |
t | Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Notes, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold the Underlyings and could affect the level of an Underlying, and therefore the market value of the Notes. |
t | Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax adviser about your tax situation. |
t | Potential JPMorgan Financial Impact on the Level of an Underlying — Trading or transactions by JPMorgan Financial or its affiliates in an Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance of an Underlying may adversely affect the level of that Underlying and, therefore, the market value of the Notes. |
t | JPMorgan Chase & Co. Is Currently One of the Companies that Make Up the S&P 500 ® Index — JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500 ® Index. JPMorgan Chase & Co. will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect the value of the S&P 500 ® Index and the Notes. |
t | Non-U.S. Securities Risk with Respect to the EURO STOXX 50 ® Index — The equity securities included in the EURO STOXX 50 ® 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 about U.S. companies that are subject to the reporting requirements of the SEC. |
t | No Direct Exposure to Fluctuations in Foreign Exchange Rates with Respect to the EURO STOXX 50 ® Index — The value of the Notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the EURO STOXX 50 ® Index are based, although any currency fluctuations could affect the performance of the EURO STOXX 50 ® Index. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the Notes, you will not receive any additional payment or incur any reduction in any payment on the Notes. |
t | An Investment in the Notes is Subject to Risks Associated with Small Capitalization Stocks with Respect to the Russell 2000 ® Index — The equity securities included in the Russell 2000 ® 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. These companies tend to be less well-established than large market capitalization 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. |
Hypothetical Examples
|
Principal Amount:
|
$10.00
|
Term:
|
Approximately 2 years (unless earlier called)
|
Hypothetical Initial Value:
|
100.00 for the SPX Index, 100.00 for the SX5E Index and 100.000 for the RTY Index
|
Contingent Coupon Rate:
|
10.50% per annum (or 2.625% per quarter)
|
Quarterly Observation Periods/Quarterly
Observation End Dates:
|
Quarterly
|
Hypothetical Downside Threshold:
|
65.00 for the SPX Index, 65.00 for the SX5E Index and 65.000 for the RTY Index (which, with respect to each Underlying, is 65% of the hypothetical Initial Value of that Underlying)
|
Hypothetical Coupon Barrier:
|
65.00 for the SPX Index, 65.00 for the SX5E Index and 65.000 for the RTY Index (which, with respect to each Underlying, is 65% of the hypothetical Initial Value of that Underlying)
|
*
|
Terms used for purposes of these hypothetical examples do not represent the actual Initial Values, Coupon Barriers or Downside Thresholds. The hypothetical Initial Values of 100.00 for the SPX Index, 100.00 for the SX5E Index and 100.000 for the RTY Index have been chosen for illustrative purposes only and do not represent the actual Initial Value for either Underlying. The actual Initial Value and resulting Downside Threshold and Coupon Barrier of each Underlying are based on the closing level of that Underlying on the Trade Date and are specified on the cover of this pricing supplement. For historical data regarding the actual closing levels of the Underlyings, please see the historical information set forth under the sections titled “The S&P 500
®
Index,” “The EURO STOXX 50
®
Index” and “The Russell 2000
®
Index” below.
|
Quarterly Observation
Period
|
Lowest Closing
Level During
Applicable
Quarterly
Observation Period
|
Payment (per Note)
|
|||
First Quarterly Observation Period
|
SPX Index: 105.00
SX5E Index: 110.00
RTY Index: 90.000
|
Issuer elects to call the Notes. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2625 on Call Settlement Date.
|
|||
Total Payments (per $10.00 Note):
|
Payment on Call Settlement Date:
|
$10.2625 ($10.00 + $0.2625)
|
|||
Total:
|
$10.2625
|
||||
Total Return:
|
2.625%
|
Quarterly
Observation
Period
|
Lowest Closing
Level During
Applicable
Quarterly
Observation
Period
|
Final
Value
|
Payment (per Note)
|
||||
First Quarterly Observation Period
|
SPX Index: 115.00
SX5E Index: 110.00
RTY Index: 105.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2625 on first Coupon Payment Date.
|
||||
Second Quarterly Observation Period
|
SPX Index: 80.00
SX5E Index: 80.00
RTY Index: 90.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2625 on second Coupon Payment Date.
|
||||
Third Quarterly Observation Period
|
SPX Index: 85.00
SX5E Index: 80.00
RTY Index: 45.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of RTY Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
||||
Fourth to Seventh Quarterly Observation Periods
|
Various (at least one Underlying below Coupon Barrier)
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to seventh Coupon Payment Dates.
|
||||
Eighth Quarterly Observation Period (the final Quarterly Observation Period)
|
SPX Index:
110.00
SX5E Index:
85.00
RTY Index: 80.000
|
SPX Index: 110.00
SX5E Index: 90.00
RTY Index: 85.000
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold and closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer repays principal
plus
pays Contingent Coupon of $0.2625 on Maturity Date.
|
||||
Total Payments (per $10.00 Note):
|
Payment at Maturity:
|
$10.2625 ($10.00 + $0.2625)
|
|||||
Prior Contingent Coupons:
|
$0.525 ($0.2625 × 2)
|
||||||
Total:
|
$10.7875
|
||||||
Total Return:
|
7.875%
|
Quarterly
Observation
Period
|
Lowest Closing
Level During
Applicable
Quarterly
Observation
Period
|
Final
Value
|
Payment (per Note)
|
||||
First Quarterly Observation Period
|
SPX Index: 115.00
SX5E Index: 110.00
RTY Index: 105.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2625 on first Coupon Payment Date.
|
||||
Second Quarterly Observation Period
|
SPX Index: 80.00
SX5E Index: 80.00
RTY Index: 90.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2625 on second Coupon Payment Date.
|
||||
Third Quarterly Observation Period
|
SPX Index: 85.00
SX5E Index: 80.00
RTY Index: 60.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of RTY Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
||||
Fourth to Seventh Quarterly Observation Periods
|
Various (at least one Underlying below Coupon Barrier)
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to seventh Coupon Payment Dates.
|
||||
Eighth Quarterly Observation Period (the final Quarterly Observation Period)
|
SPX Index: 90.00
SX5E Index: 80.00
RTY Index: 60.000
|
SPX Index: 110.00
SX5E Index: 90.00
RTY Index: 80.000
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold but closing level of RTY Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer repays principal but does not pay Contingent Coupon.
|
||||
Total Payments (per $10.00 Note):
|
Payment at Maturity:
|
$10.00
|
|||||
Prior Contingent Coupons:
|
$0.525 ($0.2625 × 2)
|
||||||
Total:
|
$10.525
|
||||||
Total Return:
|
5.25%
|
Quarterly
Observation
Period
|
Lowest Closing
Level During
Applicable
Quarterly
Observation
Period
|
Final Value
|
Payment (per Note)
|
|||
First Quarterly Observation Period
|
SPX Index: 40.00
SX5E Index: 45.00
RTY Index: 30.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
|
|||
Second Quarterly Observation Period
|
SPX Index: 105.00
SX5E Index: 45.00
RTY Index: 80.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
|
|||
Third Quarterly Observation Period
|
SPX Index: 90.00
SX5E Index: 45.00
RTY Index: 80.000
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
|||
Fourth to Seventh Quarterly Observation Periods
|
Various (at least one Underlying below Coupon Barrier)
|
N/A
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to seventh Coupon Payment Dates.
|
|||
Eighth Quarterly Observation Period (the final Quarterly Observation Period)
|
SPX Index: 45.00
SX5E Index: 100.00
RTY Index: 80.000
|
SPX Index: 45.00
SX5E Index: 110.00
RTY Index: 80.000
|
Notes NOT callable. Closing level of SPX Index below its Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Least Performing Underlying.
|
Total Payments (per $10.00 Note):
|
Payment at Maturity:
|
$4.50
|
|
Prior Contingent Coupons:
|
$0.00
|
||
Total:
|
$4.50
|
||
Total Return:
|
-55.00%
|
Final Value – Initial Value
|
=
|
45.00 – 100.00
|
= -55.00%
|
|
Initial Value
|
100.00
|
Final Value – Initial Value
|
=
|
110.00 – 100.00
|
= 10.00%
|
|
Initial Value
|
100.00
|
Final Value – Initial Value
|
=
|
80.000 – 100.000
|
= -20.00%
|
|
Initial Value
|
100.000
|
The Underlyings
|
The S&P 500
®
Index
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
|||||
1/1/2011
|
3/31/2011
|
1,343.01
|
1,256.88
|
1,325.83
|
|||||
4/1/2011
|
6/30/2011
|
1,363.61
|
1,265.42
|
1,320.64
|
|||||
7/1/2011
|
9/30/2011
|
1,353.22
|
1,119.46
|
1,131.42
|
|||||
10/1/2011
|
12/31/2011
|
1,285.09
|
1,099.23
|
1,257.60
|
|||||
1/1/2012
|
3/31/2012
|
1,416.51
|
1,277.06
|
1,408.47
|
|||||
4/1/2012
|
6/30/2012
|
1,419.04
|
1,278.04
|
1,362.16
|
|||||
7/1/2012
|
9/30/2012
|
1,465.77
|
1,334.76
|
1,440.67
|
|||||
10/1/2012
|
12/31/2012
|
1,461.40
|
1,353.33
|
1,426.19
|
|||||
1/1/2013
|
3/31/2013
|
1,569.19
|
1,457.15
|
1,569.19
|
|||||
4/1/2013
|
6/30/2013
|
1,669.16
|
1,541.61
|
1,606.28
|
|||||
7/1/2013
|
9/30/2013
|
1,725.52
|
1,614.08
|
1,681.55
|
|||||
10/1/2013
|
12/31/2013
|
1,848.36
|
1,655.45
|
1,848.36
|
|||||
1/1/2014
|
3/31/2014
|
1,878.04
|
1,741.89
|
1,872.34
|
|||||
4/1/2014
|
6/30/2014
|
1,962.87
|
1,815.69
|
1,960.23
|
|||||
7/1/2014
|
9/30/2014
|
2,011.36
|
1,909.57
|
1,972.29
|
|||||
10/1/2014
|
12/31/2014
|
2,090.57
|
1,862.49
|
2,058.90
|
|||||
1/1/2015
|
3/31/3015
|
2,117.39
|
1,992.67
|
2,067.89
|
|||||
4/1/2015
|
6/30/2015
|
2,130.82
|
2,057.64
|
2,063.11
|
|||||
7/1/2015
|
9/30/2015
|
2,128.28
|
1,867.61
|
1,920.03
|
|||||
10/1/2015
|
12/31/2015
|
2,109.79
|
1,923.82
|
2,043.94
|
|||||
1/1/2016
|
3/31/2016
|
2,063.95
|
1,829.08
|
2,059.74
|
|||||
4/1/2016
|
5/20/2016*
|
2,102.40
|
2,040.04
|
2,052.32
|
*
|
As of the date of this pricing supplement, available information for the second calendar quarter of 2016 includes data for the period from April 1, 2016 through May 20, 2016. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the second calendar quarter of 2016.
|
The EURO STOXX 50
®
Index
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
|||||
1/1/2011
|
3/31/2011
|
3,068.00
|
2,721.24
|
2,910.91
|
|||||
4/1/2011
|
6/30/2011
|
3,011.25
|
2,715.88
|
2,848.53
|
|||||
7/1/2011
|
9/30/2011
|
2,875.67
|
1,995.01
|
2,179.66
|
|||||
10/1/2011
|
12/31/2011
|
2,476.92
|
2,090.25
|
2,316.55
|
|||||
1/1/2012
|
3/31/2012
|
2,608.42
|
2,286.45
|
2,477.28
|
|||||
4/1/2012
|
6/30/2012
|
2,501.18
|
2,068.66
|
2,264.72
|
|||||
7/1/2012
|
9/30/2012
|
2,594.56
|
2,151.54
|
2,454.26
|
|||||
10/1/2012
|
12/31/2012
|
2,659.95
|
2,427.32
|
2,635.93
|
|||||
1/1/2013
|
3/31/2013
|
2,749.27
|
2,570.52
|
2,624.02
|
|||||
4/1/2013
|
6/30/2013
|
2,835.87
|
2,511.83
|
2,602.59
|
|||||
7/1/2013
|
9/30/2013
|
2,936.20
|
2,570.76
|
2,893.15
|
|||||
10/1/2013
|
12/31/2013
|
3,111.37
|
2,902.12
|
3,109.00
|
|||||
1/1/2014
|
3/31/2014
|
3,172.43
|
2,962.49
|
3,161.60
|
|||||
4/1/2014
|
6/30/2014
|
3,314.80
|
3,091.52
|
3,228.24
|
|||||
7/1/2014
|
9/30/2014
|
3,289.75
|
3,006.83
|
3,225.93
|
|||||
10/1/2014
|
12/31/2014
|
3,277.38
|
2,874.65
|
3,146.43
|
|||||
1/1/2015
|
3/31/3015
|
3,731.35
|
3,007.91
|
3,697.38
|
|||||
4/1/2015
|
6/30/2015
|
3,828.78
|
3,424.30
|
3,424.30
|
|||||
7/1/2015
|
9/30/2015
|
3,686.58
|
3,019.34
|
3,100.67
|
|||||
10/1/2015
|
12/31/2015
|
3,506.45
|
3,069.05
|
3,267.52
|
|||||
1/1/2016
|
3/31/2016
|
3,178.01
|
2,680.35
|
3,004.93
|
|||||
4/1/2016
|
5/20/2016*
|
3,151.69
|
2,871.57
|
2,962.16
|
The Russell 2000
®
Index
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
|||||
1/1/2011
|
3/31/2011
|
843.549
|
773.184
|
843.549
|
|||||
4/1/2011
|
6/30/2011
|
865.291
|
777.197
|
827.429
|
|||||
7/1/2011
|
9/30/2011
|
858.113
|
643.421
|
644.156
|
|||||
10/1/2011
|
12/31/2011
|
765.432
|
609.490
|
740.916
|
|||||
1/1/2012
|
3/31/2012
|
846.129
|
747.275
|
830.301
|
|||||
4/1/2012
|
6/30/2012
|
840.626
|
737.241
|
798.487
|
|||||
7/1/2012
|
9/30/2012
|
864.697
|
767.751
|
837.450
|
|||||
10/1/2012
|
12/31/2012
|
852.495
|
769.483
|
849.350
|
|||||
1/1/2013
|
3/31/2013
|
953.068
|
872.605
|
951.542
|
|||||
4/1/2013
|
6/30/2013
|
999.985
|
901.513
|
977.475
|
|||||
7/1/2013
|
9/30/2013
|
1,078.409
|
989.535
|
1,073.786
|
|||||
10/1/2013
|
12/31/2013
|
1,163.637
|
1,043.459
|
1,163.637
|
|||||
1/1/2014
|
3/31/2014
|
1,208.651
|
1,093.594
|
1,173.038
|
|||||
4/1/2014
|
6/30/2014
|
1,192.964
|
1,095.986
|
1,192.964
|
|||||
7/1/2014
|
9/30/2014
|
1,208.150
|
1,101.676
|
1,101.676
|
|||||
10/1/2014
|
12/31/2014
|
1,219.109
|
1,049.303
|
1,204.696
|
|||||
1/1/2015
|
3/31/3015
|
1,266.373
|
1,154.709
|
1,252.772
|
|||||
4/1/2015
|
6/30/2015
|
1,295.799
|
1,215.417
|
1,253.947
|
|||||
7/1/2015
|
9/30/2015
|
1,273.328
|
1,083.907
|
1,100.688
|
|||||
10/1/2015
|
12/31/2015
|
1,204.159
|
1,097.552
|
1,135.889
|
|||||
1/1/2016
|
3/31/2016
|
1,114.028
|
953.715
|
1,114.028
|
|||||
4/1/2016
|
5/20/2016*
|
1,154.149
|
1,092.785
|
1,112.276
|
Correlation of the Underlyings
|
S&P 500
®
Index
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
|
S&P 500
®
Index
|
—
|
0.613
|
0.925
|
EURO STOXX 50
®
Index
|
0.613
|
—
|
0.544
|
Russell 2000
®
Index
|
0.925
|
0.544
|
—
|
Supplemental Plan of Distribution
|
The Estimated Value of the Notes
|
Secondary Market Prices of the Notes
|
Supplemental Use of Proceeds
|
Validity of the Notes and the Guarantee
|
1 Year JP Morgan Chase Chart |
1 Month JP Morgan Chase Chart |
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