CALCULATION OF REGISTRATION FEE
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Title of Each Class of Securities Offered |
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Maximum Aggregate Offering Price |
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Amount of Registration Fee |
Notes |
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$1,000,000 |
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$116.20 |
April 23, 2015
JPMorgan Chase & Co.
Structured Investments
$1,000,000
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of
BioMarin Pharmaceutical Inc. due April 28, 2016
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The notes are designed for investors who seek a higher interest rate than either the current dividend yield on the Reference Stock or the yield on a conventional debt security with the same maturity issued by us. The
notes will pay 13.10% per annum interest over the term of the notes, assuming no automatic call, payable at a rate of 1.0917% per month. |
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The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Strike Value. |
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The first date on which the notes can be automatically called is October 23, 2015. |
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Investors in the notes should be willing to accept the risks of owning equities in general and the Reference Stock in particular, and the risk of losing some or all of their principal. |
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Investors should also be willing to forgo dividend payments, in exchange for Interest Payments. |
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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. |
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Minimum denominations of $1,000 and integral multiples thereof |
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The notes priced on April 23, 2015 and are expected to settle on or about April 30, 2015. |
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Investing in the notes involves a number of risks. See Risk Factors beginning on page PS-8 of the accompanying product supplement no. 4a-I
and Selected Risk Considerations beginning on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission
(the SEC) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus.
Any representation to the contrary is a criminal offense.
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Price to Public (1) |
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Fees and Commissions (2) |
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Proceeds to Issuer |
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Per note |
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$1,000 |
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$15 |
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$985 |
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Total |
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$1,000,000 |
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$15,000 |
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$985,000 |
(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 $15.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See
Plan of Distribution (Conflicts of Interest) beginning on page PS-87 of the accompanying product supplement no. 4a-I. |
The estimated value of the notes as determined by JPMS, when the terms of the notes were set, was $958.70 per $1,000
principal amount note. See JPMSs Estimated Value of the Notes in this pricing supplement for additional information.
The
notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
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Pricing supplement no. 625 to product supplement no. 4a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Registration Statement No. 333-199966; Rule 424(b)(2) |
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Key Terms
Issuer: J.P. Morgan Chase & Co.
Reference Stock: The common stock, par value $0.001 per share, of BioMarin
Pharmaceutical Inc. (Bloomberg ticker: BMRN). We refer to BioMarin Pharmaceutical Inc. as BioMarin Pharmaceutical.
Interest Payments:
If the notes have not been automatically called, you will receive on each Interest Payment
Date for each $1,000 principal amount note an Interest Payment equal to $10.9167 (equivalent to an Interest Rate of 13.10% per annum, payable at a rate of 1.0917% per month).
Interest Rate: 13.10% per annum, payable at a rate of 1.0917% per
month
Trigger Value: $67.6225, which is 55.00% of the Strike
Value
Pricing Date: April 23, 2015
Original Issue Date (Settlement Date): On or about April 30, 2015
Review Dates*: October 23, 2015, November 23,
2015, December 23, 2015, January 25, 2016, February 23, 2016, March 23, 2016 and April 25, 2016 (final Review Date)
Interest Payment Dates*: May 29, 2015, June 26, 2015, July 28,
2015, August 27, 2015, September 28, 2015, October 28, 2015, November 27, 2015, December 29, 2015, January 28, 2016, February 26, 2016, March 29, 2016 and the Maturity
Date
Maturity Date*: April 28, 2016
Call Settlement Date*: If the notes are automatically called on any Review
Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
* 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 a Single Underlying Notes Linked to a Single Underlying (Other Than a Commodity Index) and
General Terms of Notes Postponement of a Payment Date in the accompanying product supplement no. 4a-I
Automatic Call:
If the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Strike Value, the notes
will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments
will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and (i) the Final Value is greater than or equal to the Strike Value or (ii) a Trigger Event has not occurred,
you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and (i) the Final Value is less than the Strike Value and (ii) a Trigger Event has occurred, you will receive at
maturity per $1,000 principal amount note, in addition to the Interest Payment applicable to the Maturity Date, the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional
shares will be paid in cash.
The market value of the Physical Delivery Amount or the Cash Value will most likely be substantially less than the principal amount
of your notes, and may be zero.
Physical Delivery Amount:
8.1334, which is the number of shares of the Reference Stock, per $1,000 principal amount note, equal to $1,000 divided by the Strike Value, times the Stock
Adjustment Factor
Cash Value: For each $1,000 principal amount note, $1,000 divided by the
Strike Value, times the Final Value
Strike Value: $122.95, which
is the closing price of one share of the Reference Stock on the Pricing Date.
Final Value: The closing price of one share of the Reference Stock on the final Review Date
Trigger Event: A Trigger Event occurs if, at any time during the Monitoring
Period, the trading price of one share of the Reference Stock is less than the Trigger Value.
Monitoring
Period: The period from but excluding the Pricing Date to and including the final Review Date
Stock Adjustment Factor:
The Stock Adjustment Factor is referenced in
determining the closing price and the trading price of one share of the Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the
Reference Stock. See The Underlyings Reference Stocks Anti-Dilution Adjustments and The Underlyings Reference Stocks Reorganization Events in the accompanying product supplement no. 4a-I for
further information.
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PS-1 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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How the Notes Work
Payments in Connection with Review
Dates Preceding the Final Review Date
Payment at Maturity If the Notes Have Not Been Automatically Called
Total Interest Payments
The table below illustrates the hypothetical total Interest Payments per $1,000 principal amount note over the term of the notes based on the Interest Rate of
13.10% per annum, depending on how many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the hypothetical total Interest Payments per $1,000 principal amount note over the term of
the notes will be equal to the maximum amount shown in the table below.
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Number of Interest Payments |
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Total Interest Payments |
12 |
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$131.0000 |
11 |
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$120.0833 |
10 |
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$109.1667 |
9 |
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$98.2500 |
8 |
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$87.3333 |
7 |
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$76.4167 |
6 |
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$65.5000 |
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PS-2 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the Review Dates. The hypothetical payments set forth below assume the following:
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A Strike Value of $100.00; |
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A Trigger Value of $55.00 (equal to 55.00% of the hypothetical Strike Value); and |
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An Interest Rate of 13.10% per annum (payable at a rate of 1.0917% per month). |
The hypothetical Strike Value
of $100.00 has been chosen for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value is the closing price of one share of the Reference Stock on the Pricing Date and is specified under Key Terms
Strike Value in this pricing supplement. For historical data regarding the actual closing prices of one share of the Reference Stock, please see the historical information set forth under The Reference Stock in this pricing
supplement.
Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes.
The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1 Notes are automatically called on
the first Review Date
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Date |
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Closing Price |
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First Review Date |
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$105.00 |
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Notes are automatically called |
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Total Payment |
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$1,065.50 (6.55% return) |
Because the closing price of one share of the Reference Stock on the first Review Date is greater than or equal to the Strike Value, the
notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,010.9167 (or $1,000 plus the Interest Payment applicable to the corresponding Interest Payment Date), payable on the applicable Call
Settlement Date. When added to the Interest Payments received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,065.50. No further payments will be made on the notes.
Example 2 Notes have NOT been automatically called, the Final Value is greater than or equal to the Strike Value and a Trigger Event has
occurred
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Date |
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Closing Price |
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First Review Date |
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$95.00 |
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Notes NOT automatically called |
Second Review Date |
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$90.00 |
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Notes NOT automatically called |
Third through sixth Review Dates |
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Various (all below Strike Value) |
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Notes NOT automatically called |
Final Review Date |
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$105.00 |
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Final Value is greater than or equal to Strike Value |
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Total Payment |
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$1,131.00 (13.10% return) |
Because the notes have not been automatically called and the Final Value is greater than or equal to the Strike Value, even though a
Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,010.9167 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,131.00.
Example 3 Notes
have NOT been automatically called, the Final Value is less than the Strike Value and a Trigger Event has NOT occurred
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Date |
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Closing Price |
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First Review Date |
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$95.00 |
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Notes NOT automatically called |
Second Review Date |
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$85.00 |
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Notes NOT automatically called |
Third through sixth Review Dates |
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Various (all below Strike Value) |
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Notes NOT automatically called |
Final Review Date |
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$95.00 |
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Final Value is less than Strike Value |
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Total Payment |
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$1,131.00 (13.10% return) |
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PS-3 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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Because the notes have not been automatically called and a Trigger Event has not occurred, even though the Final Value is
less than the Strike Value, the payment at maturity, for each $1,000 principal amount note, will be $1,010.9167 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,131.00.
Example 4 Notes
have NOT been automatically called, the Final Value is less than the Strike Value and a Trigger Event has occurred
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Date |
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Closing Price |
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First Review Date |
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$80.00 |
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Notes NOT automatically called |
Second Review Date |
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$70.00 |
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Notes NOT automatically called |
Third through sixth Review Date |
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Various (all below Strike Value, but above Trigger Value (i.e., a Trigger Event does not occur)) |
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Notes NOT automatically called |
Final Review Date |
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$50.00 |
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Final Value is less than Strike Value |
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Total Payment |
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$631.00 (-36.90% return) |
Because the notes have not been automatically called, the Final Value is less than the Strike Value and a Trigger Event has occurred, you
will receive at maturity, in addition to the Interest Payment applicable to the Maturity Date, the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in
cash. Assuming that the value of the Physical Delivery Amount on the Maturity Date is equal to the Cash Value, the value of the payment at maturity will be $510.9167 per $1,000 principal amount note, calculated as follows.
[($1,000 / $100.00) × $50.00] + $10.9167 = $510.9167
When added to the Interest
Payments received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $651.00. The actual value of the Physical Delivery Amount will be less than the Cash Value if the price of the
Reference Stock on the Maturity Date is less than the Final Value.
The hypothetical returns and hypothetical payments on the notes shown above apply only if you
hold the notes for their entire term or until automatically called. These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These
risks are explained in more detail in the Risk Factors section of the accompanying product supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS |
The notes do not guarantee any
return of principal. If the notes have not been automatically called and (i) the Final Value is less than the Strike Value and (ii) a Trigger Event has occurred, you will receive at maturity a predetermined number of shares of the
Reference Stock (or, at our election, the Cash Value), the market value of which will most likely be substantially less than the principal amount of your notes, and may be zero.
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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.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation in the price of the Reference Stock, which may be significant. You will not participate in any appreciation in the price of
the Reference Stock.
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PS-4 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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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.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE AT ANY TIME DURING THE MONITORING PERIOD |
If, at any time during the Monitoring Period, the trading price of one share of the Reference Stock is less than the Trigger Value (i.e., a Trigger
Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock. You will be subject
to this potential loss of principal even if the Reference Stock subsequently recovers such that the trading price of one share of the Reference Stock is greater than or equal to the Trigger Value.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT |
If your notes are
automatically called, the term of the notes may be reduced to as short as approximately six months and you will not receive any Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the
proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER |
We have not independently verified
any of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuers public
disclosure of information, whether contained in SEC filings or otherwise.
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY |
The calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. The calculation agent may make
adjustments in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder
of the notes in making these determinations.
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THE RISK OF THE TRADING PRICE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE PRICE OF THE REFERENCE STOCK IS VOLATILE. |
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your notes to maturity.
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JPMSS ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES |
JPMSs estimated value is only an estimate using several factors. The original issue price of the notes exceeds JPMSs 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 JPMSs Estimated Value of the Notes in this pricing supplement.
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JPMSS ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS ESTIMATES |
See JPMSs Estimated Value of the Notes in this pricing supplement.
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PS-5 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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JPMSS 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 JPMSs 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 JPMSs Estimated Value of the Notes in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMSS THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
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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).
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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.
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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 price of the Reference Stock. 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.
The Reference Stock
All information contained herein on the Reference Stock and on BioMarin Pharmaceutical is derived from publicly available sources, without independent verification.
According to its publicly available filings with the SEC, BioMarin Pharmaceutical develops and commercializes pharmaceuticals for diseases and medical conditions. The common stock of BioMarin Pharmaceutical, par value $0.001 per share, is registered
under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of BioMarin Pharmaceutical in the accompanying product
supplement no. 4a-I. Information provided to or filed with the SEC by BioMarin Pharmaceutical pursuant to the Exchange Act can be located by reference to SEC file number 000-26727, and can be accessed through www.sec.gov. We do not make any
representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance of the common stock of BioMarin Pharmaceutical based on the weekly historical closing prices of one share of the
Reference Stock from January 8, 2010 through April 17, 2015. The closing price of one share of the Reference Stock on April 23, 2015 was $122.95. We obtained the closing prices below from the Bloomberg Professional® service (Bloomberg), without independent verification. The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference Stock should not be taken as an
indication of future performance, and no assurance can be given as to the closing price of one share of the Reference Stock on any Review Date or the trading price of one
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PS-6 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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share of the Reference Stock at any time during the Monitoring Period. We cannot give you assurance that the performance of the Reference Stock will result in the return of any of your principal
amount.
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 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 Put Option written by you that is terminated if an Automatic Call occurs and that, if not terminated, requires you to purchase the Reference Stock (or, at our option, receive the Cash Value thereof) from
us at maturity for an amount equal to the Deposit under circumstances where the payment due at maturity is the Physical Delivery Amount (or the Cash Value thereof) and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your
potential obligation under the Put Option, as more fully described 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 in the
accompanying product supplement no. 4a-I, and in particular in the subsection thereof entitled Notes with a Term of Not More than One Year. By purchasing the notes, you agree (in the absence of an administrative determination or
judicial ruling to the contrary) to follow this treatment and the allocation described in the following paragraph. However, there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income
or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of prepaid forward contracts and similar
instruments. The notice focuses on a number of issues, the most relevant of which for investors in the notes are the character of income or loss (including whether the Put Premium might be currently included as ordinary income) and the degree, if
any, to which income realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the notes would be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that any
Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
In determining our reporting responsibilities, we intend to treat 5.88% of each interest payment as interest on the Deposit and the remainder as Put Premium. Assuming
that the treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or
settlement, including a settlement following an Automatic Call.
Withholding under legislation commonly referred to as FATCA will apply to amounts
treated as interest or other fixed or determinable annual or periodical income for U.S. federal income tax purposes paid with respect to the notes.
You
should consult your tax adviser regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial
purchasers of
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PS-7 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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notes at the issue price should also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible alternative treatments, as well as the
allocation of the purchase price of the notes between the Deposit and the Put Option.
JPMSs Estimated Value of the Notes
JPMSs estimated value of the notes set
forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using our internal funding rate for
structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the notes. JPMSs estimated value does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary
market (if any exists) at any time. The internal funding rate used in the determination of JPMSs estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. For additional information, see
Selected Risk Considerations JPMSs Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.
The value of the derivative or derivatives underlying the economic terms of the notes is derived from JPMSs internal pricing models. These models are dependent on
inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions
about future market events and/or environments. Accordingly, JPMSs estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that time.
JPMSs estimated value does not represent future values of the notes and may differ from others estimates. Different pricing models and assumptions could
provide valuations for notes that are greater than or less than JPMSs 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.
JPMSs estimated value of the notes is lower than the original issue price of the notes because costs
associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by
market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits realized in hedging our obligations under the notes may be allowed to other affiliated or
unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See Selected Risk Considerations JPMSs Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public)
of the Notes in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see Risk Factors Risks Relating to the Estimated Value and Secondary Market Prices of the Notes Secondary market prices of the notes will be impacted by many economic and market factors in the
accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that
will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances. This
initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in
connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See Selected Risk Considerations The Value of the Notes as Published by JPMS (and Which May Be
Reflected on Customer Account Statements) May Be Higher Than JPMSs Then-Current Estimated Value of the Notes for a Limited Time Period.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes. See How the Notes
Work and Hypothetical Payout Examples in this pricing supplement for an illustration of the risk-return profile of the notes and The Reference Stock in this pricing supplement for a description of the market exposure
provided by the notes.
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PS-8 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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The original issue price of the notes is equal to JPMSs estimated value of the notes plus the selling commissions paid
to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our
obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against
payment for the notes on or about the settlement date set forth on the front cover of this pricing supplement, which will be the fifth business day following the expected pricing date of the notes (this settlement cycle being referred to as T+5).
Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers
who wish to trade notes on the pricing date or the succeeding business day will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as our
special products counsel, when the notes offered by this pricing supplement have been executed and issued by us and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be our
valid and binding obligations, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors rights generally, concepts of reasonableness and equitable principles of general
applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision
of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the federal laws of the United States of America, the laws of the State of New York and the General Corporation Law of the State
of Delaware. In addition, this opinion is subject to customary assumptions about the trustees authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated November 7, 2014, which was filed as an exhibit to the Registration Statement on Form S-3 by us on November 7, 2014.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the
prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014, relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product supplement no. 4a-I dated
November 7, 2014. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in
Risk Factors in the accompanying product supplement no. 4a-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you
invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for
the relevant date on the SEC website):
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Product supplement no. 4a-I dated November
7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
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Prospectus supplement and prospectus, each dated November
7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this pricing supplement, we, us and our
refer to JPMorgan Chase & Co.
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PS-9 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of BioMarin Pharmaceutical Inc. |
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