Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-199966
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an
offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to Completion. Dated September
4, 2015.
Pricing Supplement to the Prospectus and Prospectus
Supplement, each dated November 7, 2014, the Underlying Supplement No. 1a-I dated November
7, 2014, and the Product Supplement No. 4a-I dated November 7, 2014 No.
Medium-Term Notes, Series E
$
Capped Enhanced Participation Equity Notes due 2017
(Linked to the iShares® MSCI Emerging Markets ETF)
The notes will not bear interest. The amount that you will be paid on your notes on the stated maturity date (September 14, 2017, subject to adjustment) is based
on the performance of the iShares® MSCI Emerging Markets ETF (which we refer to as the underlier) as measured from and including the trade date (on or about September 10, 2015) to and
including the determination date (September 11, 2017, subject to adjustment). If the final underlier level on the determination date is greater than the initial underlier level (set on the trade date), the return on your notes will be positive,
subject to the maximum settlement amount (expected to be between $1,312.50 and $1,350.00 for each $1,000 principal amount note). If the final underlier level is less than the initial underlier level, the return on your notes will be negative. You
could lose your entire investment in the notes. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
To determine your
payment at maturity, we will calculate the underlier return, which is the percentage increase or decrease in the final underlier level from the initial underlier level. On the stated maturity date, for each $1,000 principal amount note, you will
receive an amount in cash equal to:
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if the underlier return is positive (the final underlier level is greater than the initial underlier level), the sum of (i) $1,000 plus (ii) the product of (a) $1,000
times (b) 5.00 times (c) the underlier return, subject to the maximum settlement amount; or |
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if the underlier return is zero or negative (the final underlier level is equal to or less than the initial underlier level), the sum of (i) $1,000 plus (ii) the
product of (a) $1,000 times (b) the underlier return. You will receive less than $1,000 if the final underlier level is less than the initial underlier level. |
Your investment in the notes involves certain risks, including, among other things, our credit risk. See Risk Factors on page PS-8 of the accompanying
product supplement no. 4a-I, Risk Factors on page US-2 of the accompanying underlying supplement no. 1a-I and Selected Risk Factors on page PS-11 of this pricing supplement.
The foregoing is only a brief summary of the terms of your notes. You should read the additional disclosure provided herein so that you may better understand the terms
and risks of your investment.
If the notes priced today and assuming a maximum settlement amount equal to the middle of the range listed above, the estimated
value of the notes as determined by J.P. Morgan Securities LLC, which we refer to as JPMS, would be approximately $977.20 per $1,000 principal amount note. JPMSs estimated value of the notes, when the terms of the notes are set, will be
provided by JPMS in the final pricing supplement and will not be less than $967.20 per $1,000 principal amount note. See Summary Information JPMSs Estimated Value of the Notes on page PS-7 of this pricing supplement
for additional information about JPMSs estimated value and Summary Information Secondary Market Prices of the Notes on page PS-7 of this pricing supplement for information about secondary market prices of the notes.
Original issue date (settlement date): on or about September 17, 2015
Original issue price: 100.00% of the principal amount*
Underwriting
commission/discount: up to 2.00% of the principal amount
Net proceeds to the issuer: % of the principal amount
See Summary Information Supplemental Use of Proceeds on page PS-7 of this pricing supplement for information about the components of the original
issue price of the notes.
* |
JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to an unaffiliated dealer. In no event will these selling commissions exceed 2.00% of the principal
amount. See Plan of Distribution (Conflicts of Interest) on page PS-87 of the accompanying product supplement no. 4a-I. The original issue price will be 98.00% for investors in certain fee-based advisory accounts; see Supplemental
plan of distribution on page PS-6 of this pricing supplement. |
Neither the Securities and Exchange Commission (the SEC) nor any
other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this pricing supplement, the accompanying product supplement, the accompanying underlying supplement, the accompanying prospectus
supplement or the accompanying prospectus. Any representation to the contrary is a criminal offense.
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.
Pricing Supplement dated
, 2015
The original issue price, fees and
commissions and net proceeds listed above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing supplement, at issue prices and with fees and commission and net proceeds that differ from the
amounts set forth above. The return (whether positive or negative) on your investment in notes will depend in part on the price you pay for your notes.
We may use
this pricing supplement in the initial sale of the notes. In addition, JPMS or any other affiliate of ours may use this pricing supplement in a market-making transaction in a note after its initial sale. Unless JPMS or its agents inform the
purchaser otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction.
SUMMARY INFORMATION
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by
notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to
accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read this 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 and underlying supplement no. 1a-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 and Risk Factors in the accompanying underlying supplement no. 1a-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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Underlying supplement no. 1a-I dated November
7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_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.
Key Terms
Issuer: JPMorgan Chase & Co.
Underlier: the iShares® MSCI Emerging Markets ETF (Bloomberg symbol, EEM UP Equity). The accompanying product supplement refers to the underlier as the Fund.
Underlying index: the MSCI Emerging Markets Index, as maintained by MSCI Inc. (MSCI).
Principal amount: each note will have a principal amount of $1,000;
$ in the aggregate for all the offered notes; the aggregate principal amount of the offered notes may be increased if the issuer, at its sole option,
decides to sell an additional amount of the offered notes on a date subsequent to the date of this pricing supplement
Purchase at amount other than
principal amount: the amount we will pay you at the stated maturity date for your notes will not be adjusted based on the price you pay for your notes, so if you acquire notes at a premium (or discount) to the principal amount and hold them to
the stated maturity date, it could affect your investment in a number of ways. The return on your investment in the notes will be lower (or higher) than it would have been had you purchased the notes at the principal amount. Also, the cap level
PS-3
would be triggered at a lower (or higher) percentage return than indicated below, relative to your initial investment. See Selected Risk Factors If You Purchase Your Notes at a
Premium to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected on page PS-13 of this pricing
supplement.
Payment on the stated maturity date: for each $1,000 principal amount note, we will pay you on the stated maturity date an amount in cash equal
to:
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if the final underlier level is greater than or equal to the cap level, the maximum settlement amount; |
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if the final underlier level is greater than the initial underlier level but less than the cap level, the sum of (i) $1,000 plus (ii) the product of (a) $1,000
times (b) the upside participation rate times (c) the underlier return; or |
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if the final underlier level is equal to or less than the initial underlier level, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the underlier
return. You will receive less than $1,000 if the final underlier level is less than the initial underlier level. |
Initial underlier level
(to be set on the trade date and will be the closing level of the underlier on the trade date): $ . The accompanying product supplement refers to the initial underlier level
as the Initial Value.
Final underlier level: the closing level of the underlier on the determination date. In certain circumstances, the
closing level of the underlier will be based on the alternative calculation of the underlier 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) on page PS-44 of the accompanying product supplement or The Underlyings Funds Discontinuation of a Fund; Alternate Calculation of Closing Price and Trading Price on
page PS-75 of the accompanying product supplement. The accompanying product supplement refers to the final underlier level as the Final Value.
Underlier return: the quotient of (i) the final underlier level minus the initial underlier level
divided by (ii) the initial underlier level, expressed as a percentage
Upside participation rate: 5.00
Cap level (to be provided in the final pricing supplement): expected to be between 106.25% and 107.00% of the initial underlier level
Maximum settlement amount (to be provided in the final pricing supplement): expected to be between $1,312.50 and $1,350.00
Trade date: on or about September 10, 2015
Original issue
date (settlement date): on or about September 17, 2015
Determination date: September 11, 2017, 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) on
page PS-44 of the accompanying product supplement
Stated maturity date: September 14, 2017, subject to postponement in the event of a market
disruption event and as described under General Terms of Notes Postponement of a Payment Date on page PS-43 of the accompanying product supplement. The accompanying product supplement refers to the stated maturity date as the
maturity date.
No interest: The offered notes will not bear interest.
No listing: The offered notes will not be listed on any securities exchange or interdealer quotation system.
PS-4
No redemption: The offered notes will not be subject to redemption right or price dependent redemption right.
Closing level: as described under The Underlyings Funds Price of One Share of a Fund on page PS-70 of the accompanying product
supplement. The accompanying product supplement refers to the closing level as the closing price.
Share adjustment factor: the share adjustment
factor is referenced in determining the closing level of the underlier and is set initially at 1.0 on the trade date. The share adjustment factor is subject to adjustment upon the occurrence of certain events affecting the underlier. See The
Underlyings Funds Price of One Share of a Fund on page PS-70 of the accompanying product supplement and The Underlyings Funds Anti-Dilution Adjustments on page PS-73 of the accompanying product
supplement for further information.
Business day: as described under General Terms of Notes Postponement of a Payment Date on page
PS-43 of the accompanying product supplement
Trading day: as described under General Terms of Notes Postponement of a Determination Date
Additional Defined Terms on page PS-47 of the accompanying product supplement
Use of proceeds and hedging: as described under Use
of Proceeds and Hedging on page PS-42 of the accompanying product supplement no. 4a-I, as supplemented by Supplemental Use of Proceeds below
Tax treatment: You should review carefully the section entitled Material U.S. Federal Income Tax Consequences in the accompanying product supplement
no. 4a-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and
disposing of notes.
Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as open
transactions that are not debt instruments for U.S. federal income tax purposes, as more fully described in Material U.S. Federal Income Tax Consequences Tax Consequences to U.S. Holders Notes Treated as Open Transactions
That Are Not Debt Instruments in the accompanying product supplement no. 4a-I. Assuming this treatment is respected, subject to the possible application of the constructive ownership rules, the gain or loss on your notes should be
treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. The notes could be treated as constructive ownership transactions within the
meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term capital gain and that was in excess of the net underlying long-term capital gain (as defined in
Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over the notes term. Our special tax counsel has not expressed an opinion
with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment of the notes described above, 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 in
particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax;
and whether these instruments are or should be subject to the constructive ownership regime described above. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax
consequences of an investment in the notes, including the potential application of the constructive ownership rules, possible alternative treatments and the issues presented by this notice.
PS-5
Withholding under legislation commonly referred to as FATCA may (if the notes are recharacterized as debt
instruments) apply to amounts treated as interest paid with respect to the notes, as well as to the payment of gross proceeds of a sale of a note occurring after December 31, 2016 (including redemption at maturity). You should consult your tax
adviser regarding the potential application of FATCA to the notes.
ERISA: as described under Benefit Plan Investor Considerations on page PS-99
of the accompanying product supplement no. 4a-I
Supplemental plan of distribution: as described under Plan of Distribution (Conflicts of
Interest) on page PS-87 of the accompanying product supplement no. 4a-I; we estimate that our share of the total offering expenses, excluding underwriting discounts and commissions, will be approximately
$ . We expect to agree to sell to JPMS, and JPMS expects to agree to purchase from us, the aggregate face amount of the offered notes specified on the front cover of this pricing
supplement. JPMS proposes initially to offer the notes to the public at the original issue price set forth on the cover page of this pricing supplement, and to certain unaffiliated securities dealers at such price less a concession not in
excess of 2.00% of the face amount. The original issue price for notes purchased by certain fee-based advisory accounts will be 98.00% of the face amount of the notes, which will reduce the underwriting discount specified on the cover of this
pricing supplement with respect to such notes to 0.00%.
We expect to deliver the notes against payment therefor in New York, New York on or about
September 17, 2015, which is the fifth scheduled business day following the date of this pricing supplement and of the pricing of the notes. Under Rule 15c6-1 of 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 any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to three business days before delivery will be required, by
virtue of the fact that the notes are initially expected to settle in five business days (T + 5), to specify alternative settlement arrangements to prevent a failed settlement.
Conflicts of interest: JPMS has a conflict of interest within the meaning of FINRA Rule 5121 in any offering of the notes in which it participates
because we own, directly or indirectly, all of the outstanding equity securities of JPMS and because the net proceeds received from the sale of the notes will be used, in part, by JPMS or its affiliates in connection with hedging our obligations
under the notes. The offering of the notes will comply with the requirements of Rule 5121 of Financial Industry Regulatory Authority, Inc. (FINRA) regarding a FINRA member firms underwriting of securities of an affiliate. In
accordance with FINRA Rule 5121, neither JPMS nor any other affiliated agent of ours may make sales in the offering of the notes to any of its discretionary accounts without the specific written approval of the customer.
Calculation agent: JPMS
CUSIP no.: 48125U3K6
ISIN no.: US48125U3K68
FDIC: the notes are not bank deposits
and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
Supplemental Terms of the Notes
For purposes of the notes
offered by this pricing supplement, all references to each of the following terms used in the accompanying product supplement will be deemed to refer to the corresponding term used in this pricing supplement, as set forth in the table below:
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Product Supplement Term |
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Pricing Supplement Term |
Fund |
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underlier |
Initial Value |
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initial underlier level |
Final Value |
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final underlier level |
closing price |
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closing level |
pricing date |
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trade date |
maturity date |
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stated maturity date |
term sheet |
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preliminary pricing supplement |
PS-6
In addition, the following terms used in this pricing supplement are not defined in the accompanying product supplement:
underlier return, upside participation rate, maximum settlement amount and cap level. Accordingly, please refer to Key Terms on page PS-3 of this pricing supplement for the definitions of these terms.
JPMSs Estimated Value of the Notes
The estimated value
of the notes when the terms of the notes are set, which we refer to as 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 Factors JPMSs Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate
Debt on page PS-12 of this pricing supplement. 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. See Selected Risk
Factors JPMSs Estimated Value Does Not Represent Future Values of the Notes and May Differ from Others Estimates on page PS-12 of this pricing supplement.
JPMSs estimated value of the notes will be 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 the unaffiliated dealer, 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. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. See Selected Risk Factors JPMSs Estimated Value of
the Notes Will Be Lower Than the Original Issue Price of the Notes on page PS-12 of this pricing supplement.
Secondary Market Prices of the
Notes
For information about factors that will impact any secondary market prices of the notes, see Selected Risk Factors Secondary Market Prices
of the Notes Will Be Impacted by Many Economic and Market Factors on page PS-13 of this pricing 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 the period from the date of this pricing supplement through December 7, 2015. 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 Factors
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 on page PS-12 of this pricing
supplement.
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 Hypothetical Examples on page PS-8 of this pricing supplement for an illustration of the risk-return profile
of the notes and The Underlier on page PS-17 of this pricing supplement for a description of the market exposure provided by the notes.
The original
issue price of the notes is equal to JPMSs estimated value of the notes plus the selling commissions paid to JPMS and the unaffiliated dealer, 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.
PS-7
HYPOTHETICAL EXAMPLES
The following table and chart are provided for purposes of illustration only. They should not be taken as an indication or prediction of future investment results and
are intended merely to illustrate the impact that the various hypothetical underlier levels on the determination date could have on the payment at maturity assuming all other variables remain constant.
The examples below are based on a range of final underlier levels that are entirely hypothetical; no one can predict what the underlier level will be on any day
throughout the term of your notes, and no one can predict what the final underlier level will be on the determination date. The underlier has been highly volatile in the past meaning that the underlier level has changed considerably in
relatively short periods and its performance cannot be predicted for any future period.
The information in the following examples reflects hypothetical
rates of return on the offered notes assuming that they are purchased on the original issue date at the principal amount and held to the stated maturity date. If you sell your notes in a secondary market prior to the stated maturity date, your
return will depend upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected in the table below, such as interest rates, the volatility of the underlier and our creditworthiness. In
addition, JPMSs estimated value will be less than the original issue price. For more information on the JPMSs estimated value, see Summary Information JPMSs Estimated Value of the Notes on page PS-7 of this
pricing supplement. The information in the table also reflects the key terms and assumptions in the box below.
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Key Terms and Assumptions |
Principal amount |
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$1,000 |
Upside participation rate |
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5.00 |
Cap level |
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106.25% of the initial underlier level |
Maximum settlement amount |
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$1,312.50 |
Neither a market disruption event nor a non-trading day occurs on the originally scheduled determination date
During the term of the notes, the underlier is not delisted, liquidated or otherwise terminated,
the underlier and the underlying index have not been changed in any material respect and the underlier has not been otherwise modified so that it does not, in the opinion of the calculation agent, fairly represent the price of the underlier had
those changes or modifications not been made Notes purchased on original issue date at the
principal amount and held to the stated maturity date |
Moreover, we have not yet set the initial underlier level that will serve as the baseline for determining the underlier return and the
amount that we will pay on your notes, if any, at maturity. We will not do so until the trade date. As a result, the actual initial underlier level may differ substantially from the underlier level prior to the trade date.
For these reasons, the actual performance of the underlier over the term of your notes, as well as the amount payable at maturity, if any, may bear little relation to
the hypothetical examples shown below or to the historical underlier levels shown elsewhere in this pricing supplement. For information about the historical levels of the underlier during recent periods, see The Underlier Historical
Closing Levels of the Underlier below. Before investing in the offered notes, you should consult publicly available information to determine the levels of the underlier between the date of this pricing supplement and the date of your purchase
of the offered notes.
Also, the hypothetical examples shown below do not take into account the effects of applicable taxes. Because of the U.S. tax treatment
applicable to your notes, tax liabilities could affect the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the underlier stocks.
The levels in the left column of the table below represent hypothetical final underlier levels and are expressed as percentages of the initial underlier level. The
amounts in the right column represent the hypothetical payments at maturity, based on the corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level), and are expressed as percentages of the principal
amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical
PS-8
payment at maturity of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding principal amount of the offered notes on the stated maturity date
would equal 100.000% of the principal amount of a note, based on the corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level) and the assumptions noted above.
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Hypothetical Final Underlier Level
(as Percentage of Initial Underlier Level) |
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Hypothetical Payment at Maturity
(as Percentage of Principal Amount) |
150.000% |
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131.250% |
140.000% |
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131.250% |
130.000% |
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131.250% |
120.000% |
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131.250% |
115.000% |
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131.250% |
110.000% |
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131.250% |
106.250% |
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131.250% |
105.000% |
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125.000% |
102.500% |
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112.500% |
100.000% |
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100.000% |
75.000% |
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75.000% |
50.000% |
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50.000% |
25.000% |
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25.000% |
0.000% |
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0.000% |
If, for example, the final underlier level were determined to be 25.000% of the initial underlier level, the payment that we would
deliver on your notes at maturity would be 25.000% of the principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original issue date at the principal amount and held them to the stated maturity
date, you would lose 75.000% of your investment (if you purchased your notes at a premium to principal amount you would lose a correspondingly higher percentage of your investment). In addition, if the final underlier level were determined to be
150.000% of the initial underlier level, the payment that we would deliver on your notes at maturity would be capped at the maximum settlement amount (expressed as a percentage of the principal amount), or 131.250% of each $1,000 principal amount
note, as shown in the table above. As a result, if you held your notes to the stated maturity date, you would not benefit from any increase in the final underlier level over 106.250% of the initial underlier level.
The following chart also shows a graphical illustration of the hypothetical payments at maturity (expressed as a percentage of the principal amount of your notes) that
we would pay on your notes on the stated maturity date, if the final underlier level (expressed as a percentage of the initial underlier level) were any of the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical
final underlier level (expressed as a percentage of the initial underlier level) of less than 100.000% (the section left of the 100.000% marker on the horizontal axis) would result in a hypothetical payment at maturity of less than 100.000% of the
principal amount of your notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the notes. The chart also shows that any hypothetical final underlier level (expressed as a
percentage of the initial underlier level) of greater than or equal to 106.250% (the section right of the 106.250% marker on the horizontal axis) would result in a capped return on your investment.
PS-9
The payments at maturity shown above are entirely hypothetical; they are based on closing levels for the underlier that may not be
achieved on the determination date and on assumptions that may prove to be erroneous. The actual market value of your notes on the stated maturity date or at any other time, including any time you may wish to sell your notes, may bear little
relation to the hypothetical payments at maturity shown above, and these amounts should not be viewed as an indication of the financial return on an investment in the offered notes. The hypothetical payments at maturity on notes held to the stated
maturity date in the examples above assume you purchased your notes at their principal amount and have not been adjusted to reflect the actual price you pay for your notes. The return on your investment (whether positive or negative) in your notes
will be affected by the amount you pay for your notes. If you purchase your notes for a price other than the principal amount, the return on your investment will differ from, and may be significantly lower than, the hypothetical returns suggested by
the above examples. Please read Selected Risk Factors Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors on page PS-13 of this pricing supplement.
The hypothetical returns on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns shown above would likely be lower.
We cannot predict the actual final underlier level or what the market value of your notes will be on any particular day, nor can we
predict the relationship between the underlier level and the market value of your notes at any time prior to the stated maturity date. The actual amount that you will receive, if any, at maturity and the rate of return on the offered notes will
depend on the actual initial underlier level, cap level and maximum settlement amount we will provide in the final pricing supplement and the actual final underlier level determined by the calculation agent as described above. Moreover, the
assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on the stated maturity date may be very different from the information reflected in
the table and chart above.
PS-10
SELECTED RISK FACTORS
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An investment in your notes is subject to the risks described below, as well as the risks described under Risk Factors in the accompanying product
supplement no. 4a-I and Risk Factors in the accompanying underlying supplement no. 1a-I. Your notes are a riskier investment than ordinary debt securities. Also, your notes are not equivalent to investing directly in the underlier
stocks, i.e., the stocks underlying the underlier to which your notes are linked. You should carefully consider whether the offered notes are suited to your particular circumstances. |
You May Lose Some or All of Your Investment in the Notes
The notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance of the underlier and will depend on whether, and
the extent to which, the underlier return is positive or negative. Your investment will be exposed to loss if the final underlier level is less than the initial underlier level. For every 1% that the final underlier level is less than the initial
underlier level, you will lose an amount equal to 1% of the principal amount of your notes. Accordingly, you could lose some or all of your initial investment at maturity. Also, the market price of your notes prior to the stated maturity date may be
significantly lower than the purchase price you pay for your notes. Consequently, if you sell your notes before the stated maturity date, you may receive far less than the amount of your investment in the notes.
Your Maximum Gain on the Notes Is Limited to the Maximum Settlement Amount
If the final underlier level is greater than the initial underlier level, for each $1,000 principal amount note, you will receive at maturity a payment that will not
exceed the maximum settlement amount, regardless of the appreciation in the underlier, which may be significant. Accordingly, the amount payable on your notes may be significantly less than it would have been had you invested directly in the
underlier. The maximum settlement amount will be provided in the final pricing supplement and is expected to be between $1,312.50 and $1,350.00.
The Notes Are Subject to the Credit Risk of JPMorgan Chase & Co.
The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit ratings and credit spreads may adversely affect the market value of the notes.
Investors are dependent on JPMorgan Chase & Co.s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely
to adversely affect the value of the notes. If we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
Potential Conflicts of Interest
We and our affiliates play a
variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of
the notes and JPMSs estimated value. Also, the distributor from which you purchase the notes may conduct hedging activities for us in connection with the notes. In performing these duties, our economic interests, the economic interests of any
distributor performing such duties and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our business activities, and the business
activities of any distributor from which you purchase the notes, including hedging and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It
is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. If the distributor from which you purchase
notes is to conduct hedging activities for us in connection with the notes, that distributor may profit in connection with such hedging activities and such profit, if any, will be in addition to the compensation that the distributor receives for the
sale of the notes to you. You should be aware that the potential to earn fees in connection with hedging activities may create a further incentive for the distributor to sell the notes to you in addition to the compensation they would receive for
the sale of the notes. Please refer to Risk Factors Risks Relating to Conflicts of Interest on page PS-13 of the accompanying product supplement no. 4a-I for additional information about these risks.
PS-11
JPMSs Estimated Value of the Notes Will Be Lower Than the Original Issue Price of the Notes
JPMSs estimated value is only an estimate using several factors. The original issue price of the notes will exceed 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 Summary Information JPMSs Estimated Value of the Notes on page PS-7 of this pricing supplement.
JPMSs Estimated Value Does Not Represent Future Values of the Notes and May Differ from Others Estimates
JPMSs estimated value of the notes is determined by reference to JPMSs internal pricing models when the terms of the notes are set. This estimated value is
based on market conditions and other relevant factors existing at that time and JPMSs 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 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. See Summary Information JPMSs Estimated Value of the Notes on page PS-7 of this pricing supplement.
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 Summary Information JPMSs Estimated Value of the Notes on page PS-7 of this pricing supplement.
The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than JPMSs Then-Current
Estimated Value of the Notes for a Limited Time Period
We generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our secondary market credit spreads for structured debt issuances. See Summary Information Secondary Market Prices of the Notes on page PS-7 of this pricing supplement for additional information
relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
Secondary Market Prices of the Notes Will Likely Be Lower Than the Original Issue Price of the Notes
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that
are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by
you prior to the maturity date could result in a substantial loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary market prices of the notes.
PS-12
The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your
notes to maturity. See Lack of Liquidity on page PS-15 of this pricing supplement.
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 level of the underlier, including:
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any actual or potential change in our creditworthiness or credit spreads; |
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customary bid-ask spreads for similarly sized trades; |
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secondary market credit spreads for structured debt issuances; |
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the actual and expected volatility of the underlier; |
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the time to maturity of the notes; |
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the dividend rates on the underlier stocks; |
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interest and yield rates in the market generally; |
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the exchange rates and the volatility of the exchange rates between the U.S. dollar and the currencies in which the underlier stocks are traded and the correlation between those rates and the closing levels of the
underlier; |
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the occurrence of certain events to the underlier that may or may not require an adjustment to the share adjustment factor; and |
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a variety of other economic, financial, political, regulatory and judicial events. |
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.
We May Sell an Additional Aggregate Principal Amount of the Notes at a Different Issue Price
At our sole option, we may decide to sell an additional aggregate principal amount of the notes subsequent to the date of this pricing supplement. The issue
price of the notes in the subsequent sale may differ substantially (higher or lower) from the original issue price you paid as provided on the cover of this pricing supplement.
If You Purchase Your Notes at a Premium to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the
Principal Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected
The amount you will be paid for your notes on the stated maturity
date will not be adjusted based on the price you pay for the notes. If you purchase notes at a price that differs from the principal amount of the notes, then the return on your investment in the notes held to the stated maturity date will differ
from, and may be substantially less than, the return on notes purchased at the principal amount. If you purchase your notes at a premium to the principal amount and hold them to the stated maturity date the return on your investment in the notes
will be lower than it would have been had you purchased the notes at the principal amount or a discount to the principal amount. In addition, the impact of the cap level on the return on your investment will depend upon the price you pay for your
notes relative to the principal amount. For example, if you purchase your notes at a premium to the principal amount, the cap level will permit only a lower percentage increase in your investment in the notes than would have been the case for notes
purchased at the principal amount or a discount to the principal amount.
PS-13
No Interest or Dividend Payments or Voting Rights
As a holder of the notes, you will not receive interest payments. As a result, even if the amount payable for your notes on the stated maturity date exceeds the
principal amount of your notes, the overall return you earn on your notes may be less than you would have earned by investing in a non-fund-linked debt security of comparable maturity that bears interest at a prevailing market rate. In addition, as
a holder of the notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the underlier stocks or shares of the underlier would have.
The Notes Are Subject to Currency Exchange Risk
Because the
prices of the underlier stocks are converted into U.S. dollars for purposes of calculating the net asset value of the underlier, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the
underlier stocks trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of the underlier stocks denominated in each of those currencies. If, taking into
account the relevant weighting, the U.S. dollar strengthens against those currencies, the level of the underlier will be adversely affected and the payment at maturity, if any, may be reduced. Of particular importance to potential currency exchange
risk are:
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existing and expected rates of inflation; |
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existing and expected interest rate levels; |
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the balance of payments in the countries issuing those currencies and the United States and between each country and its major trading partners; |
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political, civil or military unrest in the countries issuing those currencies and the United States; and |
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the extent of government surpluses or deficits in the countries issuing those currencies and the United States. |
All of
these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and the United States and other countries important to international trade and finance.
The Notes Are Subject to Risks Associated with Securities Issued by Non-U.S. Companies
The underlier stocks have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated
with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain
countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are
subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
There Are Risks Associated With the Underlier
Although the
shares of the underlier are listed for trading on NYSE Arca, Inc., which we refer to as NYSE Arca, and a number of similar products have been traded on NYSE Arca and other securities exchanges for varying periods of time, there is no assurance that
an active trading market will continue for the shares of the underlier or that there will be liquidity in the trading market. The underlier is subject to management risk, which is the risk that the investment strategies of the underliers
investment adviser, the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares of the underlier and, consequently, the value of the
notes.
PS-14
There Are Differences Between the Underlier and the Underlying Index
The underlier does not fully replicate the underlying index and may hold securities not included in the underlying index. In addition, its performance will reflect
additional transaction costs and fees that are not included in the calculation of the underlying index. All of these factors may lead to a lack of correlation between the underlier and the underlying index. In addition, corporate actions with
respect to the equity securities held by the underlier (such as mergers and spin-offs) may impact the variance between the underlier and the underlying index. Finally, because the shares of the underlier are traded on NYSE Arca and are subject to
market supply and investor demand, the market value of one share of the underlier may differ from the net asset value per share of the underlier. For all of the foregoing reasons, the performance of the underlier may not correlate with the
performance of the underlying index.
The Notes Are Subject to Risks Associated with Emerging Markets
The underlier stocks have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging markets may have relatively unstable
governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of
countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may
trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ
favorably or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. Any of the foregoing could adversely affect the market
value of shares of the underlier and the notes.
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.
The Anti-Dilution Protection for the Underlier Is Limited
The calculation agent will make adjustments to the share adjustment factor for certain events affecting the shares of the underlier. However, the calculation
agent will not make an adjustment in response to all events that could affect the shares of the underlier. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely
affected.
The Final Terms and Valuation of the Notes Will Be Provided in the Final Pricing Supplement
The final terms of the notes will be based on relevant market conditions when the terms of the notes are set and will be provided in the final pricing supplement. In
particular, each of JPMSs estimated value, the cap level and the maximum settlement amount will be provided in the final pricing supplement and each may be as low as the applicable minimum set forth on the cover of this pricing supplement.
Accordingly, you should consider your potential investment in the notes based on the minimums for JPMSs estimated value, the cap level and the maximum settlement amount.
The Tax Consequences of an Investment in the Notes Are Uncertain
There is no direct legal authority as to the proper U.S. federal income tax characterization of the notes, and we do not intend to request a ruling from the IRS. The
IRS might not accept, and a court might not uphold, the treatment of the notes described in Key Terms Tax treatment in this pricing supplement and in Material U.S. Federal Income Tax Consequences in the accompanying
product supplement no. 4a-I. If the IRS were successful in asserting an alternative treatment for the notes, the timing and character of any income or loss on the notes could differ materially and adversely from our description herein.
Even if the treatment of the notes is respected, the IRS may assert that the notes constitute constructive ownership transactions within the meaning of
Section 1260 of the Code, in which case gain recognized in
PS-15
respect of the notes that would otherwise be long-term capital gain and that was in excess of the net underlying long-term capital gain (as defined in Section 1260) would be
treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over the notes term. Our special tax counsel has not expressed an opinion with respect to whether the
constructive ownership rules apply to the notes.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of prepaid forward contracts and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income
(including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime described above. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes,
possibly with retroactive effect.
You should review carefully the section entitled Material U.S. Federal Income Tax Consequences in the accompanying
product supplement no. 4a-I and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including the potential application of the constructive ownership rules, possible alternative treatments and
the issues presented by the notice described above.
PS-16
THE UNDERLIER
The iShares® MSCI Emerging Markets ETF is an exchange-traded fund of iShares, Inc., which is a registered
investment company that consists of numerous separate investment portfolios. The iShares® MSCI Emerging Markets ETF seeks to provide investment results that correspond generally to the price
and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free-float adjusted average of the U.S. dollar values of all of the equity securities constituting the MSCI indices for
selected emerging markets countries. For additional information about the iShares® MSCI Emerging Markets ETF, see Fund Descriptions The iShares® MSCI Emerging Markets ETF on page US-129 of the accompanying underlying supplement no. 1a-I.
Historical Closing Levels of the Underlier
The closing level
of the underlier has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of the underlier during any period shown below is not an indication that the
underlier is more or less likely to increase or decrease at any time during the term of your notes.
You should not take the historical levels of the underlier
as an indication of the future performance of the underlier. We cannot give you any assurance that the future performance of the underlier or the underlier stocks will result in a return of any of your initial investment on the stated maturity
date. In light of the increased volatility currently being experienced by the financial services sector and U.S. and global securities markets, and recent market declines, it may be substantially more likely that you could lose all or a substantial
portion of your investment in the notes.
Neither we nor any of our affiliates make any representation to you as to the performance of the underlier. The
actual performance of the underlier over the term of the offered notes, as well as the amount payable at maturity, may bear little relation to the historical levels shown below.
The graph below shows the closing levels of the underlier on each day from January 4, 2010 through September 3, 2015. The closing level of the underlier on
September 3, 2015 was $33.13. We obtained the closing levels listed in the graph below from the Bloomberg Professional® service (Bloomberg), without independent verification.
PS-17
We have not authorized anyone to provide any information other than that contained or incorporated by reference in this
pricing supplement, the accompanying underlying supplement no. 1a-I, the accompanying product supplement no. 4a-I and the accompanying prospectus supplement and prospectus with respect to the notes offered by this pricing supplement and with respect
to JPMorgan Chase & Co. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you. This pricing supplement, together with the accompanying underlying supplement no.
1a-I, the accompanying product supplement no. 4a-I and the accompanying prospectus supplement and prospectus, 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. The information in this pricing supplement, the
accompanying underlying supplement no. 1a-I, the accompanying product supplement no. 4a-I and the accompanying prospectus supplement and prospectus may be accurate only as of the dates of each of these documents, respectively. This pricing
supplement, the accompanying underlying supplement no. 1a-I, the accompanying product supplement no. 4a-I and the accompanying prospectus supplement and prospectus do not constitute an offer to sell or a solicitation of an offer to buy the notes in
any circumstances in which such offer or solicitation is unlawful.
TABLE OF CONTENTS
Pricing Supplement
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Page |
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Summary Information |
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PS-3 |
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Hypothetical Examples |
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PS-8 |
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Selected Risk Factors |
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PS-11 |
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The Underlier |
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PS-17 |
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Product Supplement No. 4a-I dated November 7, 2014 |
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Description of Notes |
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PS-1 |
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Estimated Value and Secondary Market Prices of the Notes |
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PS-7 |
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Risk Factors |
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PS-8 |
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Use of Proceeds and Hedging |
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PS-42 |
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General Terms of Notes |
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PS-43 |
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The Underlyings |
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PS-52 |
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Material U.S. Federal Income Tax Consequences |
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PS-77 |
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Plan of Distribution (Conflicts of Interest) |
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PS-87 |
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Notice to Investors |
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PS-89 |
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Benefit Plan Investor Considerations |
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PS-99 |
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Underlying Supplement No. 1a-I dated November 7, 2014 |
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Supplemental Terms of Notes |
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US-1 |
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Risk Factors |
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US-2 |
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Equity Index Descriptions |
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US-15 |
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The Dow Jones Industrial AverageTM |
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US-15 |
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The EURO STOXX 50® Index |
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US-17 |
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The EURO STOXX® Banks Index |
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US-22 |
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The FTSE 100 Index |
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US-27 |
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The FTSE GEIS Indices |
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US-29 |
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The MSCI Indices |
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US-37 |
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The MSCI 25/50 Indices |
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US-51 |
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The NASDAQ-100 Index® |
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US-56 |
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The Nikkei 225 Index |
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US-61 |
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The Russell Indices |
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US-65 |
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The S&P 500® Index |
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US-73 |
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The S&P MidCap 400® Index |
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US-78 |
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The S&P Select Industry Indices |
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US-83 |
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The Select Sector Indices |
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US-88 |
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The TOPIX® Index |
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US-91 |
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Commodity Index Descriptions |
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US-94 |
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The Bloomberg Commodity Indices |
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US-94 |
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The S&P GSCI Indices |
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US-107 |
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Fund Descriptions |
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US-117 |
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The Financial Select Sector SPDR® Fund |
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US-117 |
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The iShares® 20+ Year Treasury Bond ETF |
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US-119 |
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The iShares® U.S. Real Estate ETF |
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US-122 |
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The iShares® MSCI Brazil Capped ETF |
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US-126 |
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The iShares® MSCI Emerging Markets ETF |
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US-129 |
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The iShares® MSCI EAFE ETF |
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US-132 |
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The iShares® MSCI Mexico Capped ETF |
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US-135 |
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The iShares® Russell 2000 ETF |
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US-138 |
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The Market Vectors Gold Miners ETF |
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US-141 |
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The SPDR® Gold Trust |
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US-146 |
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The SPDR® S&P 500® ETF
Trust |
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US-149 |
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The SPDR® S&P® Homebuilders
ETF |
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US-151 |
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The SPDR® S&P®
Metals & Mining ETF |
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US-154 |
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The Technology Select Sector SPDR® Fund |
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US-157 |
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The United States Oil Fund, LP |
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US-160 |
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The Vanguard FTSE Emerging Markets ETF |
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US-161 |
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The Vanguard FTSE Europe ETF |
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US-163 |
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The Vanguard Total Stock Market ETF |
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US-165 |
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The WisdomTree Japan Hedged Equity Fund |
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US-172 |
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Prospectus Supplement dated November 7, 2014 |
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PS-18
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About This Prospectus Supplement |
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S-1 |
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Foreign Currency Risks |
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S-2 |
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Description of Notes |
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S-4 |
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Description of Warrants |
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S-11 |
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Description of Units |
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S-14 |
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United States Federal Taxation |
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S-16 |
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Plan of Distribution (Conflicts of Interest) |
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S-17 |
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Prospectus dated November 7, 2014 |
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Where You Can Find More Information |
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1 |
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JPMorgan Chase & Co. |
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2 |
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Consolidated Ratios of Earnings to Fixed Charges |
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3 |
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Use of Proceeds |
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3 |
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Important Factors That May Affect Future Results |
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4 |
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Description of Debt Securities |
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6 |
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Description of Warrants |
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12 |
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Description of Units |
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15 |
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Description of Purchase Contracts |
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17 |
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Forms of Securities |
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18 |
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Plan of Distribution (Conflicts of Interest). |
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24 |
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Independent Registered Public Accounting Firm |
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25 |
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Legal Matters |
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26 |
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Benefit Plan Investor Considerations |
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26 |
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PS-19
$
JPMorgan Chase & Co.
Capped Enhanced
Participation Equity Notes due 2017
(Linked to the iShares® MSCI Emerging Markets ETF)
Medium-Term Notes, Series E
PS-20
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