CALCULATION OF REGISTRATION FEE |
Title
of Each Class of
Securities Offered |
Maximum
Aggregate
Offering Price |
Amount
of
Registration Fee |
Notes |
$1,089,000 |
$126.54 |
Registration Statement No.
333-199966; Rule 424(b)(2)
March 25,
2015
JPMorgan Chase & Co.
Structured Investments
$1,089,000
Contingent Coupon Callable Yield Notes Linked
to the Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF due March 29, 2018
| · | The Notes are designed for investors who seek a Contingent Interest Payment with respect to each Observation Date for which
the closing value of each of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF, which we refer to as the Underlyings, is greater than or equal to 65.00% of its Initial Value, which we refer to
as a Coupon Barrier. |
| · | The Notes may be redeemed early, in whole but not in part, at our option on any of the Contingent Interest Payment Dates (other
than the final Contingent Interest Payment Date). |
| · | Investors in the Notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Observation Dates. |
| · | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments. |
| · | The Notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the Notes is subject to
the credit risk of JPMorgan Chase & Co. |
| · | Payments on the Notes are not linked to a basket composed of the Underlyings. Payments on the Notes are linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The Notes priced on March 25, 2015 and are expected to settle on or about March 30, 2015. |
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, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement no. 1a-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, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$17.50 |
$982.50 |
Total |
$1,089,000 |
$19,057.50 |
$1,069,942.50 |
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the Notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $17.50 per $1,000 principal
amount Note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
beginning on page PS-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 $968.70 per $1,000 principal amount Note. See “JPMS’s 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.
Pricing supplement no. 498 to product
supplement no. 4a-I dated November 7, 2014, underlying supplement no. 1a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Key
Terms
Underlyings: The EURO STOXX 50® Index (Bloomberg ticker: SX5E), the WisdomTree Japan Hedged Equity Fund (Bloomberg ticker: DXJ) and the iShares® MSCI EAFE ETF (Bloomberg ticker: EFA) |
Contingent Interest Payments:
If the Notes have not been previously redeemed early and the
closing value of each Underlying on any Observation Date is greater than or equal to its Coupon Barrier, you will receive on the
applicable Contingent Interest Payment Date for each $1,000 principal amount Note a Contingent Interest Payment equal to $19.125
(equivalent to a Contingent Interest Rate of 7.65% per annum, payable at a rate of 1.9125% per quarter).
If the closing value of any Underlying on any Observation
Date is less than its Coupon Barrier, no Contingent Interest Payment will be made with respect to that Observation Date. |
Contingent
Interest Rate: 7.65% per annum, payable at a rate of
1.9125% per quarter |
Coupon
Barrier / Trigger Value: With respect to each Underlying,
65% of its Initial Value, which is 2,394.626 for the EURO STOXX 50® Index, $36.40 for the WisdomTree Japan
Hedged Equity Fund and $42.601 for the iShares® MSCI EAFE ETF |
Pricing
Date: March 25, 2015 |
Original
Issue Date (Settlement Date): On or about March 30,
2015 |
Observation
Dates*: June 25, 2015, September 25, 2015, December
29, 2015, March 29, 2016, June 27, 2016, September 26, 2016, December 28, 2016, March 27, 2017, June 26, 2017, September 25,
2017, December 27, 2017 and March 26, 2018 (the “Valuation Date”) |
Contingent
Interest Payment Dates*: July 2, 2015, October 2, 2015,
January 6, 2016, April 5, 2016, July 5, 2016, October 3, 2016, January 5, 2017, April 3, 2017, July 3, 2017, October 2, 2017,
January 4, 2018 and the Maturity Date |
Maturity Date*: March
29, 2018 |
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement no. 4a-I
|
Least Performing Underlying: The Underlying with the Least Performing Underlying Return |
Least Performing Underlying Return: The lowest of the Underlying Returns of the Underlyings |
Underlying
Return: With respect to each Underlying,
(Final Value – Initial Value)
Initial Value |
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date, which was 3,684.04 for the EURO STOXX 50® Index, $56.00 for the
WisdomTree Japan Hedged Equity Fund and $65.54 for the iShares® MSCI EAFE ETF |
Final
Value: With respect to each Underlying, the closing
value of that Underlying on the Valuation Date |
Early Redemption:
We, at our election, may redeem the Notes early, in whole but
not in part, on any of the Contingent Interest Payment Dates (other than the final Contingent Interest Payment Date) at a price,
for each $1,000 principal amount Note, equal to $1,000 plus any accrued and unpaid Contingent Interest Payment. If we intend
to redeem your Notes early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before
the applicable Contingent Interest Payment Dates on which the Notes are redeemed early. |
Payment at Maturity:
If the Notes have not been redeemed early and the Final Value
of each Underlying is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000
principal amount Note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the Valuation Date.
If the Notes
have not been redeemed early and the Final Value of any Underlying is less than its Trigger Value, your
payment at maturity per $1,000 principal amount Note will be calculated as follows:
$1,000 + ($1,000 × Least Performing
Underlying Return)
If the Notes have not been redeemed early and the Final Value
of any Underlying is less than its Trigger Value you will lose more than 35.00% of your principal amount at maturity and could
lose all of your principal amount at maturity. |
Share
Adjustment Factor: The Share Adjustment Factor is referenced
in determining the closing value of the WisdomTree Japan Hedged Equity Fund and the iShares® MSCI EAFE ETF
(together, the “Funds”) and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is
subject to adjustment upon the occurrence of certain events affecting the Funds. See “The Underlyings —
Funds — Anti-Dilution Adjustments” in the accompanying product supplement no. 4a-I for further information. |
PS-1 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
How
the Notes Work
Payments in Connection with Observation
Dates Preceding the Valuation Date
Payment at Maturity If the Notes Have Not
Been Redeemed Early
PS-2 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount Note over the term of the Notes based on the Contingent Interest Rate
of 7.65% per annum, depending on how many Contingent Interest Payments are made prior to early redemption or maturity.
Number of Contingent
Interest Payments |
Total Contingent Interest Payments |
12 |
$229.500 |
11 |
$210.375 |
10 |
$191.250 |
9 |
$172.125 |
8 |
$153.000 |
7 |
$133.875 |
6 |
$114.750 |
5 |
$95.625 |
4 |
$76.500 |
3 |
$57.375 |
2 |
$38.250 |
1 |
$19.125 |
0 |
$0.000 |
Hypothetical
Payout Examples
The following examples illustrate payments on
the Notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Observation Dates. The hypothetical payments set forth below assume the following:
| · | the Notes have not been redeemed early; |
| · | an Initial Value for the Least Performing Underlying of 100.00; |
| · | a Coupon Barrier and a Trigger Value for the Least Performing Underlying
of 65.00 (equal to 65% of its hypothetical Initial Value); and |
| · | a Contingent Interest Rate of 7.65% per annum (payable at a rate of 1.9125%
per quarter). |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Underlying.
The actual Initial Value of each Underlying is specified under “Key Terms – Initial Value” in this pricing supplement.
For historical data regarding the actual closing values of each Underlying, please see the historical information set forth under
“The Underlyings” 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 have NOT been redeemed
early and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value.
Date |
Closing Value of Least
Performing Underlying |
Payment (per $1,000 principal amount Note) |
First Observation Date |
95.00 |
$19.125 |
Second Observation Date |
85.00 |
$19.125 |
Third through Eleventh Observation Dates |
Less than Coupon Barrier |
$0 |
Valuation Date |
90.00 |
$1,019.125 |
|
Total Payment |
$1,057.375 (5.7375% return) |
Because the Notes have not been redeemed early
and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value and Coupon Barrier, the payment
at maturity, for each $1,000 principal amount note, will be $1,019.125 (or $1,000 plus
PS-3 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
the Contingent Interest Payment applicable to
the Valuation Date). When added to the Contingent Interest Payments received with respect to the prior Observation Dates, the total
amount paid, for each $1,000 principal amount note, is $1,057.375.
Example 2 — Notes have NOT been redeemed
early and the Final Value of the Least Performing Underlying is less than its Trigger Value.
Date |
Closing Value of Least
Performing Underlying |
Payment (per $1,000 principal amount Note) |
First Observation Date |
60.00 |
$0 |
Second Observation Date |
55.00 |
$0 |
Third through Eleventh Observation Dates |
Less than Coupon Barrier |
$0 |
Valuation Date |
45.00 |
$450.00 |
|
Total Payment |
$450.00 (-55.00% return) |
Because the Notes have not been redeemed early
and the Final Value of the Least Performing Underlying is less than its Trigger Value and Coupon Barrier and the Least Performing
Underlying Return is -55.00%, the payment at maturity will be $450 per $1,000 principal amount Note, calculated as follows.
$1,000 + [$1,000 × (-55.00%)] = $450.00
The hypothetical returns and hypothetical payments
on the Notes shown above apply only if you hold the Notes for their entire term. 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” sections of the accompanying product supplement
and underlying supplement.
| · | 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 redeemed early and the Final Value of any Underlying is less than its Trigger Value, you
will lose 1% of the principal amount of your Notes for every 1% that the Final Value of the Least Performing Underlying is less
than its Initial Value. Accordingly, under these circumstances, you will lose more than 35.00% of your principal amount and could
lose all of your principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the Notes have not been redeemed
early, we will make a Contingent Interest Payment with respect to an Observation Date only if the closing value of each Underlying
on that Observation Date is greater than or equal to its Coupon Barrier. If the closing value of any Underlying on that Observation
Date is less than its Coupon Barrier, no Contingent Interest Payment will be made with respect to that Observation Date. Accordingly,
if the closing value of any Underlying on each Observation Date is less than its Coupon Barrier, you will not receive any interest
payments over the term of the Notes.
| · | 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.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation in the
value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying.
PS-4 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the Notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by any of the Underlyings over the term of the Notes may negatively affect whether you will receive a Contingent Interest Payment
on any Contingent Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance
by the other Underlyings.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE VALUATION DATE — |
If the Final Value of any Underlying
is less than its Trigger Value and the Notes have not been redeemed early, the benefit provided by the Trigger Value will terminate
and you will be fully exposed to any depreciation in the closing value of the Least Performing Underlying.
| · | THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your Notes are redeemed early, the
term of the Notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest Payments
after the applicable Contingent Interest Payment 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.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUNDS OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING
OR HAVE ANY RIGHTS WITH RESPECT TO THE FUNDS OR THOSE SECURITIES. |
| · | THERE ARE RISKS ASSOCIATED WITH THE FUNDS — |
The Funds are subject to management
risk, which is the risk that the investment strategies of the Funds’ investment advisers, 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 Funds and, consequently, the value of the notes.
| · | DIFFERENCES BETWEEN EACH FUND AND ITS UNDERLYING INDEX — |
Each Fund does not fully replicate
its Underlying Index (as defined under “The Underlyings” below) and may hold securities not included in the Underlying
Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included in the
calculation of its Underlying Index. Furthermore, because the shares of each Fund are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of each Fund may differ from the net asset value per share
of that Fund. All of these factors may lead to a lack of correlation between each Fund and its Underlying Index.
| · | NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50®
INDEX — |
The value
of your Notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity
securities included in the EURO STOXX 50® Index are based, although any currency fluctuations could affect the
performance of the EURO STOXX 50® Index.
| · | NON-U.S. SECURITIES RISK — |
The equity securities held by the Underlyings
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. 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.
PS-5 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUNDS — |
Because the prices of the equity securities
held by the Funds are converted into U.S. dollars for purposes of calculating the net asset value of the Funds, holders of the
notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held
by the Funds 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 equity securities held by the Funds denominated in each of those currencies. If, taking into
account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Funds will be adversely
affected and any payment on the notes may be reduced.
| · | THE CURRENCY HEDGE STRATEGY EMPLOYED BY THE WISDOMTREE JAPAN HEDGED EQUITY FUND MAY NOT SUFFICIENTLY
REDUCE ITS EXPOSURE TO CURRENCY FLUCTUATIONS — |
The price of the WisdomTree Japan Hedged
Equity Fund is related to the U.S. dollar value of equity securities that trade in Japanese yen. The WisdomTree Japan Hedged Equity
Fund attempts to mitigate the impact of currency fluctuations on its performance by entering into forward currency contracts or
futures contracts designed to offset its exposure to the Japanese yen. The amount of forward contracts and futures contracts in
the WisdomTree Japan Hedged Equity Fund is based on the aggregate exposure of the WisdomTree Japan Hedged Equity Fund to the Japanese
yen. However, this approach may not eliminate the exposure of the WisdomTree Japan Hedged Equity Fund to the Japanese yen. The
return of the forward currency contracts and currency futures contracts may not offset the actual fluctuations between the Japanese
yen and the U.S. dollar. As a result, the holders of the Notes will still likely be exposed to currency exchange rate risk with
respect to the Japanese yen. An investor’s net exposure will depend on the extent to which the currency hedge strategy employed
by the WisdomTree Japan Hedged Equity Fund is able to mitigate currency fluctuations and the extent to which the Japanese yen strengthens
or weakens against the U.S. dollar. If the U.S. dollar strengthens against the Japanese yen, the price of the WisdomTree Japan
Hedged Equity Fund could be adversely affected and the payment at maturity on the Notes may be reduced.
| · | THE PERFORMANCE OF THE WISDOMTREE JAPAN HEDGED EQUITY FUND WILL NOT LIKELY BENEFIT FROM THE APPRECIATION
OF THE JAPANESE YEN RELATIVE TO THE U.S. DOLLAR — |
The
currency hedge strategy of the Fund will likely result in lower returns in the WisdomTree Japan
Hedged Equity Fund than an equivalent unhedged
investment when the Japanese yen is rising relative to the U.S. dollar. Consequently, the weakening of the U.S. dollar relative
to the Japanese yen is not expected to have any positive impact on the WisdomTree Japan Hedged
Equity Fund (as compared to returns of an equivalent
unhedged investment)..
| · | THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Funds. However, the calculation agent will not make
an adjustment in response to all events that could affect the shares of the Funds. 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 RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS COUPON BARRIER OR TRIGGER VALUE
IS GREATER IF THE VALUE OF THAT UNDERLYING 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.
| · | JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC)
OF THE NOTES — |
JPMS’s estimated value is only
an estimate using several factors. The original issue price of the Notes exceeds JPMS’s estimated value because costs associated
with selling, structuring and hedging the Notes are included in the original issue price of the Notes. These costs include the
selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the Notes and the estimated cost of hedging our obligations under the Notes. See “JPMS’s Estimated
Value of the Notes” in this pricing supplement.
PS-6 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
| · | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM
OTHERS’ ESTIMATES — |
See “JPMS’s Estimated Value
of the Notes” in this pricing supplement.
| · | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL
FIXED-RATE DEBT — |
The internal funding rate used in the
determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate
debt. The discount is based on, among other things, our view of the funding value of the Notes as well as the higher issuance,
operational and ongoing liability management costs of the Notes in comparison to those costs for our conventional fixed-rate debt.
If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic terms
of the Notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect on the
terms of the Notes and any secondary market prices of the Notes. See “JPMS’s Estimated Value of the Notes” in
this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the
costs included in the original issue price of the Notes will be partially paid back to you in connection with any repurchases of
your Notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your Notes during this initial period may be lower than the value of the Notes as published by JPMS (and which may be
shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES — |
Any secondary market prices of the
Notes will likely be lower than the original issue price of the Notes because, among other things, secondary market prices take
into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude
selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the
original issue price of the Notes. As a result, the price if any, at which JPMS will be willing to buy the Notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date
could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the Notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. 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
Underlyings
The EURO STOXX 50® Index, consists
of 50 component stocks of market sector leaders from within the Eurozone. For additional information about the EURO STOXX 50®
Index, see “Equity Index Descriptions — The EURO STOXX 50® Index” in the accompanying underlying
supplement.
The WisdomTree Japan Hedged Equity Fund is an
exchange-traded fund of WisdomTree Trust, a registered investment company. The Fund seeks to track the price and yield performance,
before fees and expenses, of the WisdomTree Japan Hedged Equity Index. The Fund attempts to mitigate the currency risk resulting
from the Fund’s exposure to the Japanese Yen by entering into forward currency contracts or futures contracts on the Japanese
yen. For additional information about the WisdomTree Japan Hedged Equity Fund, see “Fund Descriptions — The WisdomTree
Japan Hedged Equity Fund” in the accompanying underlying supplement.
The iShares® MSCI EAFE ETF is an
exchange-traded fund of iShares® Trust, a registered investment company, which seeks investment results that correspond
generally to the price and yield performance, before fees and expenses, of the MSCI EAFE® Index,
PS-7 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
which we refer to as the Underlying Index with
respect to the iShares® MSCI EAFE ETF. The MSCI EAFE® Index is a free float-adjusted market capitalization
index intended to measure the equity market performance of the developed equity markets in Europe, Asia, Australia and New Zealand.
For additional information about the iShares® MSCI EAFE ETF, see “Fund Descriptions — The iShares®
MSCI EAFE ETF” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 8, 2010 through March 20, 2015. The closing
value of the EURO STOXX 50® Index on March 25, 2015 was 3,684.04. The closing price of the WisdomTree Japan Hedged
Equity Fund on March 25, 2015 was $56.00. The closing price of the iShares® MSCI EAFE ETF on March 25, 2015 was
$65.54. We obtained the closing values below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing values of the Funds below may have been adjusted by Bloomberg for actions taken by
the Funds, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying
on any Observation Date. We cannot give you assurance that the performance of the Underlyings will result in the return of any
of your principal amount or the payment of any interest.
PS-8 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
PS-9 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. In determining our
reporting responsibilities we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement no. 4a-I. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that 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 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 and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. 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 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 possible alternative
treatments and the issues presented by this notice.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your Notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Notes in light of your particular circumstances.
FATCA. Withholding under legislation
commonly referred to as “FATCA” could apply to payments on the Notes, and (if they are recharacterized, in whole or
in part, as debt instruments) could also apply to the payment of gross proceeds of a sale of a Note occurring after December 31,
2016 (including an early redemption or redemption at maturity). You should consult your tax adviser regarding the potential application
of FATCA to the Notes.
In the event of any withholding on the Notes,
we will not be required to pay any additional amounts with respect to amounts so withheld.
PS-10 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
JPMS’s
Estimated Value of the Notes
JPMS’s 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. JPMS’s 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 JPMS’s estimated value generally represents a discount from the credit
spreads for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
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 JPMS’s 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, JPMS’s 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.
JPMS’s 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 JPMS’s estimated value. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the Notes
could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy Notes from you in secondary
market transactions.
JPMS’s 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 — JPMS’s 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
JPMS’s 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 Underlyings” in this pricing supplement for a description of the market exposure provided by the Notes.
The original issue price of the Notes is
equal to JPMS’s 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.
PS-11 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
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 trustee’s 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 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, supplements the term sheet related hereto 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):
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.
PS-12 | Structured Investments
Contingent Coupon Callable Yield Notes Linked to the
Least Performing of the EURO STOXX 50® Index, the WisdomTree Japan Hedged Equity Fund and the iShares®
MSCI EAFE ETF. |
|
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