Bond JPMorgan Chase 1.44% ( US46625HME70 ) in USD

JPMorgan Chase

100 % ▲

United States

US46625HME70 ( in USD )

1.44% per year ( payment 4 times a year)

29/07/2035

Prospectus brochure of the bond JP Morgan US46625HME70 en USD 1.44%, maturity 29/07/2035

1 000 USD

7 000 000 USD

46625HME7

A- ( Upper medium grade - Investment-grade )

30/04/2026 ( In 82 days )

JPMorgan Chase & Co. is a leading global financial services firm offering investment banking, asset and wealth management, and consumer and community banking services.

The Bond issued by JPMorgan Chase ( United States ) , in USD, with the ISIN code US46625HME70, pays a coupon of 1.44% per year.
The coupons are paid 4 times per year and the Bond maturity is 29/07/2035

The Bond issued by JPMorgan Chase ( United States ) , in USD, with the ISIN code US46625HME70, was rated NR by Moody's credit rating agency.

The Bond issued by JPMorgan Chase ( United States ) , in USD, with the ISIN code US46625HME70, was rated A- ( Upper medium grade - Investment-grade ) by Standard & Poor's ( S&P ) credit rating agency.

424B2 1 e65351_424b2.htm PRICING SUPPLEMENT NO. 1004
CALCULATION OF REGISTRATION FEE
Maximum Aggregate
Amount of
Title of Each Class of Securities Offered
Offering Price
Registration Fee
Notes
$7,000,000
$813.40

J uly 2 0 1 5
Pricing Supplement No. 1004
Registration Statement No. 333-199966
Dated July 28, 2015
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED INVESTMENTS
Leveraged Callable CMS Curve Linked Notes due July 31, 2035
Link e d t o t he 3 0 -Y e a r U .S. Dolla r Const a nt M a t urit y Sw a p Ra t e a nd t he 2 -Y e a r U .S. Dolla r Const a nt M a t urit y
Sw a p Ra t e
As further described below, interest will accrue on the notes (i) for the first year: at a rate of 10.00% per annum and (ii) in Years 2 to Maturity: at a variable
rate per annum equal to the applicable Leverage Factor times the difference, if any, between (a) the 30-Year U.S. Dollar Constant Maturity Swap Rate
("30CMS") minus (b) the 2-Year U.S. Dollar Constant Maturity Swap Rate ("2CMS") minus (c) 0.25%, as determined on the CMS determination date at the
start of the related quarterly interest payment period; subject to, for each interest payment period, the maximum interest rate of 10.00% per annum and the
minimum interest rate of 0.00% per annum. The notes provide an above-market interest rate in Year 1; however, for each interest payment period in Years 2
to maturity, the notes will not pay any interest with respect to the interest payment period if the 30CMS minus the 2CMS minus 0.25% is equal to or less
than 0.00% on the related quarterly CMS determination date. We, JPMorgan Chase & Co., have the right to redeem the notes on any quarterly redemption
date beginning July 31, 2017. Any pa ym e nt on t he not e s is subje c t t o t he c re dit risk of J PM orga n Cha se & Co.
SU M M ARY T ERM S
I ssue r:
JPMorgan Chase & Co.
Aggre ga t e princ ipa l a m ount :
$7,000,000. We may increase the aggregate principal amount prior to the original issue date but are not
required to do so.
St a t e d princ ipa l a m ount :
$1,000 per note
I ssue pric e :
$1,000 per note (see "Commissions and Issue Price" below)
Pric ing da t e :
July 28, 2015
Origina l issue da t e (se t t le m e nt
July 31, 2015 (3 business days after the pricing date), subject to the business day convention
da t e ):
I nt e re st a c c rua l da t e :
July 31, 2015, subject to the business day convention
M a t urit y da t e :
July 31, 2035, subject to the business day convention
Pa ym e nt a t m a t urit y:
The payment at maturity per note will be the stated principal amount plus accrued and unpaid interest, if any.
I nit ia l int e re st pa ym e nt pe riod(s):
The interest payment periods beginning on and including the original issue date and ending on but excluding
July 31, 2016
I nit ia l int e re st ra t e :
10.00% per annum
I nt e re st ra t e :
With respect to each initial interest payment period, 10.00% per annum and with respect to each interest
payment period (other than the initial interest payment period), a rate per annum equal to the greater of (a)
the minimum interest rate and (b) the applicable leverage factor multiplied by the spread, subject to the
maximum interest rate.
Le ve ra ge fa c t or:
From (a nd inc luding)
T o (but e x c luding)
Le ve ra ge Fa c t or

July 31, 2015
July 31, 2016
Not applicable

July 31, 2016
July 31, 2021
4.0

July 31, 2021
July 31, 2026
5.0

July 31, 2026
July 31, 2031
6.0

July 31, 2031
July 31, 2035
7.0
Spre a d:
On the applicable CMS determination date, the difference of (a) 30CMS minus (b) 2CMS minus (c) 0.25%.
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

M a x im um int e re st ra t e :
10.00% per annum
M inim um int e re st ra t e :
0.00% per annum
I nt e re st :
Subject to the interest accrual convention described below and in the accompanying product supplement no.
1a-I, with respect to each interest payment period, for each $1,000 principal amount note, we will pay you
interest in arrears on each interest payment date in accordance with the following formula:
$1,000 × interest rate × day count fraction
I nt e re st pa ym e nt pe riod:
Quarterly (the period beginning on and including the original issue date of the notes and ending on but
excluding the first interest payment date and each successive period beginning on and including an interest
payment date and ending on but excluding the next succeeding interest payment date, subject to the interest
accrual convention described below and in the accompanying product supplement no. 1a-I).
I nt e re st pa ym e nt da t e s:
Each July 31, October 31, January 31 and April 30, beginning October 31, 2015 to and including the maturity
date, or, if the notes have been redeemed, the applicable redemption date, subject to the business day
convention and interest accrual convention described below and in the accompanying product supplement no.
1a-I.
Re de m pt ion pe rc e nt a ge :
With respect to a redemption date, if any, 100%
Re de m pt ion:
Beginning July 31, 2017, we have the right to redeem all of these notes on any quarterly redemption date and
pay to you 100% of the stated principal amount per note plus accrued and unpaid interest to but excluding the
date of such redemption, subject to the business day convention and the interest accrual convention
described below and in the accompanying product supplement no. 1a-I. If we decide to redeem the notes, we
will give you notice at least 5 business days before the redemption date specified in the notice.
Re de m pt ion da t e :
Each July 31, October 31, January 31, and April 30, beginning on July 31, 2017, subject to the business day
convention and the interest accrual convention described below and in the accompanying product supplement
no. 1a-I.
CM S ra t e :
30CMS or 2CMS. Please see "Additional Provisions" beginning on page 3 below.
CM S de t e rm ina t ion da t e :
For each interest payment period (other than the initial interest payment periods), two U.S. government
securities business days immediately prior to the beginning of the applicable interest payment period.
Busine ss da y c onve nt ion:
Following
I nt e re st a c c rua l c onve nt ion:
Unadjusted
Da y c ount fra c t ion:
30/360
Ca lc ula t ion a ge nt :
J.P. Morgan Securities LLC ("JPMS"). All determinations made by the calculation agent will be at the sole
discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes
and binding on you and on us
List ing:
The notes will not be listed on any securities exchange.
De nom ina t ions:
$1,000 / $1,000
CU SI P / I SI N :
46625HME7 / US46625HME70
Book -e nt ry or c e rt ific a t e d not e :
Book-entry
Busine ss da y:
New York
Age nt :
JPMS

Com m issions a nd issue pric e :
Pric e t o Public (1)
Fe e s a nd Com m issions
Proc e e ds t o I ssue r
Pe r N ot e
$1,000
$35.00(2)
$965.00
T ot a l
$7,000,000
$245,000
$6,755,000
(1) The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates, which includes
our affiliates' expected cost of providing such hedge as well as the profit our affiliates expect to realize in consideration for assuming the risks
inherent in providing such hedge. For additional related information, please see "Use of Proceeds and Hedging" beginning on PS-34 of the
accompanying product supplement no. 1a-I.
(2) JPMS, acting as agent for JPMorgan Chase & Co. received a commission and used $35.00 per $1,000 stated principal amount note to allow selling
concessions to Morgan Stanley Investment Bank ("MSIB"). See "Plan of Distribution (Conflicts of Interest)" beginning on page PS-60 of the
accompanying product supplement no. 1a-1.
T he e st im a t e d va lue of t he not e s a s de t e rm ine d by J .P. M orga n Se c urit ie s LLC, w hic h w e re fe r t o a s J PM S, w he n t he t e rm s
of t he not e s w e re se t , w a s $ 8 7 5 .4 0 pe r $ 1 ,0 0 0 princ ipa l a m ount not e . Se e "Addit iona l I nform a t ion About t he N ot e s -- J PM S's
Est im a t e d V a lue of t he N ot e s" in t his doc um e nt for a ddit iona l inform a t ion.
N e it he r t he Se c urit ie s a nd Ex c ha nge Com m ission (t he "SEC") nor a ny st a t e se c urit ie s c om m ission ha s a pprove d or
disa pprove d of t he not e s or pa sse d upon t he a c c ura c y or t he a de qua c y of t his pric ing supple m e nt or t he a c c om pa nying
produc t supple m e nt , prospe c t us supple m e nt a nd prospe c t us. Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

The notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency, nor are they obligations of, or guaranteed by, a bank.
Y OU SHOULD READ THIS PRICING SUPPLEMENT TOGETHER WITH THE RELATED PRODUCT SUPPLEMENT NO. 1 A-I , PROSPECTUS SUPPLEMENT AND PROSPECTUS, EACH OF WHICH
CAN BE ACCESSED V I A T H E H Y PERLI N K S BELOW, BEFORE Y OU DECI DE T O I N V EST .
Product supplement no. 1a-I dated November 7, 2014:http://www.sec.gov/Archives/edgar/data/19617/000089109214008402/e61380_424b2.htm
Prospectus supplement dated November 7, 2014:http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Prospectus dated November 7, 2014:http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

The Notes
The notes are issued by JPMorgan Chase & Co. We describe the basic features of these notes in the sections of the
accompanying product supplement called "Description of Notes" and "General Terms of Notes" subject to and as modified by the
provisions described above. The terms of the notes as set forth in this pricing supplement, to the extent they differ or conflict with
those set forth in the accompanying product supplement no. 1a-I, will supersede the terms set forth in the accompanying product
supplement no. 1a-I. Among other things, your interest rate will be determined as described above under "Summary Terms --
Interest Rate." Regardless of the performance of the CMS rates, we will pay you at least the principal amount of your notes if you
hold the notes to maturity or to the redemption date, if any, on which we elect to redeem the notes, subject to the creditworthiness
of JPMorgan Chase & Co. The notes offer periodic interest payments on each interest payment date. With respect to each initial
interest payment period, the notes will pay an annual interest rate equal to the initial interest rate, and for each interest payment
period (other than the initial interest payment periods), the notes will pay a rate per annum equal to the greater of (a) the minimum
interest rate and (b) the applicable leverage factor multiplied by the spread, provided that such rate will not be greater than the
maximum interest rate. Interest, if any, will be paid in arrears on each interest payment date, to the holders of record at the close of
business on the business day immediately preceding the applicable interest payment date. The yield on the notes may be less than
the overall return you would receive from a conventional debt security that you could purchase today with the same maturity as the
notes. At our option, we may redeem the notes, in whole but not in part, on any redemption date, at a price equal to the principal
amount being redeemed plus any accrued and unpaid interest, subject to the business day convention and the interest accrual
convention described on the cover of this pricing supplement and in the accompanying product supplement. Any accrued and
unpaid interest on the notes redeemed will be paid to the person who is the holder of record of such notes at the close of business
on the business day immediately preceding the applicable redemption date.
Additional Provisions
T he CM S Ra t e
What are the 30-Year U.S. Dollar Constant Maturity Swap Rate ("30CMS") and the 2-Year U.S. Dollar Constant Maturity
Swap Rate ("2CMS")?
The 30CMS is the rate for U.S. dollar swap with a Designated Maturity of 30 years that appears on Reuters page "ISDAFIX1" (or
any successor page) at approximately 11:00 a.m., New York City time, on any CMS determination date, as determined by the
calculation agent.
The 2CMS is the rate for U.S. dollar swap with a Designated Maturity of 2 years that appears on Reuters page "ISDAFIX1" (or any
successor page) at approximately 11:00 a.m., New York City time, on any CMS determination date, as determined by the
calculation agent.
An interest rate swap rate, at any given time, generally indicates the fixed rate of interest (paid semi-annually) that a counterparty
in the swaps market would have to pay for a given maturity, in order to receive a floating rate (paid quarterly) equal to 3-month
LIBOR for that same maturity.
CMS Determination Date
For each interest payment period (other than the initial interest payment periods), two (2) U.S. government securities business days
immediately prior to the beginning of the applicable interest payment period.
U.S. Government Securities Business Day
Any day, other than a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association ("SIFMA")
recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S.
government securities.
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

July 2015
Page 2

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

CMS Rate Fallback Provisions
On any CMS determination date, if the 30CMS or the 2CMS cannot be determined by reference to Reuters page "ISDAFIX1" (or
any successor page), then the calculation agent will determine such affected rate for such day on the basis of the mid-market
semi-annual swap rate quotations to the calculation agent provided by five leading swap dealers in the New York City interbank
market (the "Reference Banks") at approximately 11:00 a.m., New York City time, on such CMS determination date, and, for this
purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg,
calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate swap transaction with a term equal to the
applicable 30 year or 2 year maturity commencing on such CMS determination date and in an amount that is representative for a
single transaction in the relevant market at the relevant time with an acknowledged dealer of good credit in the swap market,
where the floating leg, calculated on an actual/360 day count basis, is equivalent to USD LIBOR with a designated maturity of three
months. The calculation agent will request the principal New York City office of each of the Reference Banks to provide a quotation
of its rate. If at least three quotations are provided, the rate for that day will be the arithmetic mean of the quotations, eliminating
the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the event of equality, one of
the lowest). If fewer than three quotations are provided as requested, the rate will be determined by the calculation agent in good
faith and in a commercially reasonable manner.
Busine ss Da y
Any day, other than a Saturday, Sunday or a day on which banking institutions in The City of New York are authorized or obligated
by law, regulation or executive order to close or a day on which transactions in U.S. dollars are not conducted.

July 2015
Page 3

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

Hypothetical Examples
The following examples illustrate how to calculate the interest payment for an interest payment period (other than the initial interest
payment periods) and assume that the notes are not called prior to the scheduled maturity date and that the number of calendar
days in the applicable interest payment period is 90. The hypothetical CMS rates, spreads and interest rates set forth in the
following examples are for illustrative purposes only and may not be the actual CMS rates, spreads or interest rates for any interest
payment period applicable to a purchase of the notes. The numbers appearing in the following examples have been rounded for
ease of analysis.

Ex a m ple 1 : On t he a pplic a ble CM S de t e rm ina t ion da t e , 3 0 CM S is 4 .0 0 % a nd 2 CM S is 2 .0 0 % a nd t he
a pplic a ble Le ve ra ge Fa c t or is 4 .0 . Because 30CMS (4.00%) is greater than 2CMS (2.00%), the spread is positive and is
equal to 1.75%. Accordingly, the interest rate is calculated as follows:

MAX [0.00%, (4.0 × (4.00% - 2.00% - 0.25%))] = 7.00% per annum

The quarterly interest payment per $1,000 principal amount note is calculated as follows:

$1,000 × 7.00% × (90/360) = $17.50

Ex a m ple 2 : On t he a pplic a ble CM S de t e rm ina t ion da t e , 3 0 CM S is 7 .0 0 % a nd 2 CM S is 2 .0 0 % a nd t he
a pplic a ble Le ve ra ge Fa c t or is 5 .0 . Because 30CMS (7.00%) is greater than 2CMS (2.00%), the spread is positive and is
equal to 4.75%. Because the spread multiplied by the leverage factor of 5.0 is greater than the maximum interest rate of 10.00%
per annum, the interest rate is equal to the maximum interest rate of 10.00% per annum. The quarterly interest payment per $1,000
principal amount note is calculated as follows:
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

$1,000 × 10.00% × (90/360) = $25.00

Ex a m ple 3 : On t he a pplic a ble CM S de t e rm ina t ion da t e , 3 0 CM S is 4 .0 0 % a nd 2 CM S is 6 .0 0 % a nd t he
a pplic a ble Le ve ra ge Fa c t or is 7 .0 . Because 30CMS (4.00%) is less than 2CMS (6.00%), the spread is negative and equal
to -2.25%. Because the spread multiplied by the leverage factor of 7.0 is less than the minimum interest rate of 0.00% per annum,
the interest rate is equal to the minimum interest rate of 0.00% per annum. The quarterly interest payment per $1,000 principal
amount note is calculated as follows:

$1,000 × 0.00% × (90/360) = $0.00

July 2015
Page 4

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

Historical Information
CM S Ra t e s
The following graphs set forth the daily historical performance of the CMS rates and the spread from January 8, 2010 through July
24, 2015. We obtained the rates used to construct the graph below from Bloomberg Financial Markets. We make no representation
or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.

The 30CMS, as it appeared on Reuters page "ISDAFIX1" on July 28, 2015 was 2.778%. The 2CMS, as it appeared on Reuters
page "ISDAFIX1" on July 28, 2015 was 0.913%. The spread on July 28, 2015 was 1.615%.

T he CM S ra t e s a nd t he spre a d da t a in t he follow ing gra phs w e re obt a ine d from Bloom be rg Fina nc ia l
M a rk e t s a t a pprox im a t e ly 3 :3 0 p.m . on t he re le va nt da t e s a nd m a y not be indic a t ive of t he spre a d, w hic h is
de t e rm ine d on a ny da t e of de t e rm ina t ion by re fe re nc e t o t he CM S ra t e s publishe d on Re ut e rs pa ge
"I SDAFI X 1 " a t a pprox im a t e ly 1 1 :0 0 a .m ., N e w Y ork Cit y t im e . The historical CMS rates and the spread should not be
taken as an indication of future performance, and no assurance can be given as to the CMS rates or the spread on any CMS
determination date. We cannot give you assurance that the performance of the CMS rates and the spread will result in any positive
interest payments in any interest payment period subsequent to the final initial interest payment period.

http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

July 2015
Page 5

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

July 2015
Page 6

Leveraged Callable CMS Curve Linked Notes due July 31, 2035
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

Risk Factors
The following is a non-exhaustive list of certain key risk factors for investors in the notes. For further discussion of these and other
risks, you should read the section entitled "Risk Factors" beginning on page PS-18 of the accompanying product supplement.

We may call your notes prior to their scheduled maturity date. We may choose to call the notes early or choose
not to call the notes early on any redemption date in our sole discretion. If the notes are called early, you will receive the
principal amount of your notes plus any accrued and unpaid interest to, but not including, the redemption date. The aggregate
amount that you will receive through and including the redemption date will be less than the aggregate amount that you would
have received had the notes not been called early. If we call the notes early, your overall return may be less than the yield
which the notes would have earned if you held your notes to maturity and you may not be able to reinvest your funds at the
same rate as the original notes. We may choose to call the notes early, for example, if U.S. interest rates decrease significantly
or if volatility of U.S. interest rates decreases significantly.
The notes are not ordinary debt securities because, except for the initial interest payment periods, the
int e re st ra t e on t he not e s is va ria ble a nd m a y e qua l t he m inim um int e re st ra t e . For an initial interest payment
period, the notes will pay an annual interest rate equal to the initial interest rate, and for each interest payment period (other
than the initial interest payment periods), the notes will pay a rate per annum equal to the greater of (a) the minimum interest
rate and (b) the leverage factor multiplied by the spread, provided that such rate will not be greater than the maximum interest
rate.
The interest rate on the notes for an interest payment period (other than the initial interest payment
pe riods) is subje c t t o t he m a x im um int e re st ra t e . The interest rate for an interest payment period (other than the
initial interest payment periods) is variable; however, it will not exceed the maximum interest rate set forth on the front cover of
this pricing supplement, regardless of the performance of the CMS rates. In other words, for an interest payment period (other
than the initial interest payment periods), if the leverage factor multiplied by the spread is greater than or equal to the maximum
interest rate, your interest rate on the notes will be capped at the maximum interest rate.
The interest rate on the notes is based on the spread, w hich may result in application of the minimum
int e re st ra t e . The spread is calculated as (a) 30CMS minus (b) 2CMS minus (c) 0.25%. The CMS rates may be influenced
by a number of factors, including (but not limited to) monetary policies, fiscal policies, inflation, general economic conditions
and public expectations with respect to such factors. The effect that any single factor may have on the CMS rates may be
partially offset by other factors. We cannot predict the factors that may cause the CMS rates, and consequently the spread, to
increase or decrease. A decrease in a positive spread will result in a reduction of the interest rate payable for the
corresponding interest payment period (other than the initial interest payment periods). A negative spread will cause the interest
rate for the corresponding interest payment period to be equal to the minimum interest rate. The amount of interest you accrue
on the notes in any interest payment period (other than the initial interest payment periods) may decrease even if either or both
of the CMS rates increase. Interest during any interest payment period (other than the initial interest payment periods) may be
equal to zero, and you will not be compensated for any loss in value due to inflation and other factors relating to the value of
money over time during such period.
Longer dated notes may be more risky than shorted dated notes. By purchasing a note with a longer tenor, you
are more exposed to fluctuations in interest rates than if you purchased a note with a shorter tenor. Specifically, you may be
negatively affected if certain interest rate scenarios occur. The applicable discount rate, which is the prevailing rate in the
market for notes of the same tenor, will likely be higher for notes with longer tenors than if you had purchased a note with a
shorter tenor. Therefore, assuming that short term rates rise, the market value of a longer dated note will be lower than the
market value of a comparable short term note with similar terms.
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
July 2015
Page 7

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

market for taking our credit risk, is likely to adversely affect the value of the notes. If we were to default on our payment
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
Potential conflicts. We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making
the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes
are set, which we refer to as JPMS's estimated value. In performing these duties, our economic interests and the economic
interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes.
In addition, our business activities, including hedging and trading activities as well as modeling and structuring the economic
terms of the notes, could cause our economic interests to be adverse to yours and could adversely affect any payment on the
notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the
notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to "Risk
Factors -- Risks Relating to the Notes Generally" in the accompanying product supplement no. 1a-I for additional information
about these risks.
JPMS's estimated value of the notes is low er than the issue price (price to public) of the notes. JPMS's
estimated value is only an estimate using several factors. The issue price of the notes exceeds JPMS's estimated value
because costs associated with selling, structuring and hedging the notes are included in the 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
"Additional Information About the Notes JPMS's Estimated Value of the Notes" in this document.
JPMS's estimated value does not represent future values of the notes and may differ from others'
e st im a t e s. JPMS's estimated value of the notes is determined by reference to JPMS's internal pricing models. This
estimated value is based on market conditions and other relevant factors existing at the time of pricing and JPMS's
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 JPMS's estimated value.
In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be
incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy notes from you in secondary market transactions. See "Additional Information About the
Notes JPMS's Estimated Value of the Notes" in this document.
JPMS's estimated value is not determined by reference to credit spreads for our conventional fixed-rate
de bt . 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 "Additional Information About the Notes -- JPMS's Estimated Value of the Notes" in this document.
The value of the notes as published by JPMS (and w hich may be reflected on customer account
st a t e m e nt s) m a y be highe r t ha n J PM S's t he n-c urre nt e st im a t e d va lue of t he not e s for a lim it e d t im e
pe riod. We generally expect that some of the costs included in the 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 "Additional Information About the Notes -- Secondary
Market Prices of the Notes" in this document for additional information relating to this initial period. Accordingly, the estimated
value of
July 2015
Page 8

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

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 w ill likely be low er than the issue price of the notes. Any secondary
market prices of the notes will likely be lower than the 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 issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

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 two immediately following risk factors for information about
additional factors that will impact any secondary market prices of the 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. See "-- Lack of Liquidity" below.
Secondary market prices of the notes w ill 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, and estimated
hedging costs, including but not limited to:
o
any actual or potential change in our or our affiliates' creditworthiness or credit spreads;
o
customary bid-ask spreads for similarly sized trades;
o
our secondary market funding rates for structured issuances;
o
the actual and expected volatility of interest rates generally;
o
the time to maturity of the notes;
o
interest and yield rates in the market generally;
o
the likelihood, or expectation, that the notes will be redeemed by us, based on prevailing market interest rates or
otherwise; and
o
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.
JPMS and its affiliates may have published research, expressed opinions or provided recommendations
t ha t a re inc onsist e nt w it h inve st ing in or holding t he not e s, a nd m a y do so in t he fut ure . Any suc h
re se a rc h, opinions or re c om m e nda t ions c ould a ffe c t t he m a rk e t va lue of t he not e s. JPMS and its affiliates
publish research from time to time on financial markets and other matters that may influence the value of the notes, or express
opinions or provide recommendations that are inconsistent with purchasing or holding the notes. JPMS and its affiliates may
have published research or other opinions that call into question the investment view implicit in an investment in the notes. Any
research, opinions or recommendations expressed by JPMS or its affiliates may not be consistent with each other and may be
modified from time to time without notice. Investors should undertake their own independent investigation of the merits of
investing in the notes.
Reinvestment risk. If we redeem the notes, the term of the notes may be reduced and you will not receive interest
payments after the applicable redemption 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 in the event the
notes are redeemed prior to the maturity date.
Variable rate notes differ from fixed rate notes. For each interest payment period (other than the initial interest
payment periods), the rate of interest on your notes will be variable and equal to the greater of (a) the minimum interest rate
and (b) the leverage factor multiplied by the spread, provided that such rate will
July 2015
Page 9

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

not be greater than the maximum interest rate, which may be less than returns otherwise payable on notes issued by us with
similar maturities. You should consider, among other things, the overall potential annual percentage rate of interest to maturity
of the notes as compared to other investment alternatives.
The method of determining the variable interest rate for any interest payment period may not directly
c orre la t e w it h t he a c t ua l CM S ra t e s. The determination of the interest rate payable for any interest payment period
(other than the initial interest payment periods) will be based on the spread, but it will not directly correlate with actual CMS
rates. In addition, the interest rate applicable to the notes during any interest payment period (other than the initial interest
payment periods) will not be greater than the maximum interest rate or less than the minimum interest rate. We will use the
CMS rates on each CMS determination date to determine the spread on such CMS determination date, which in turn will be
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

used to determine the interest rate for the interest payment period corresponding to such CMS determination date, regardless
of what the actual CMS rates and differences between the CMS rates are for the calendar days during such interest payment
period that are not CMS determination dates.
The spread w ill be affected by a number of factors. After the initial interest payment periods, the amount of interest,
if any, payable on the notes will depend primarily on the CMS rates and the spread on the applicable CMS determination
dates. A number of factors can affect the spread by causing changes in the relative values of the CMS rates including, but not
limited to:
o
changes in, or perceptions about, future CMS rates;
o
general economic conditions;
o
prevailing interest rates; and
o
policies of the Federal Reserve Board regarding interest rates.
These and other factors may have a negative impact on the payment of interest on the notes and on the value of the notes in
the secondary market.
The CMS rates may be volatile. The CMS rates are subject to volatility due to a variety of factors affecting interest rates
generally, including but not limited to:
o
sentiment regarding underlying strength in the U.S. and global economies;
o
expectation regarding the level of price inflation;
o
sentiment regarding credit quality in U.S. and global credit markets;
o
central bank policy regarding interest rates; and
o
performance of capital markets.
Increases or decreases in the CMS rates could result in the corresponding spread decreasing or being negative and thus in the
reduction of interest, if any, payable on 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.

July 2015
Page 10

Leveraged Callable CMS Curve Linked Notes due July 31, 2035

Additional Information About the Notes
J PM S's Est im a t e d V a lue of t he N ot e s
JPMS's estimated value of the notes set forth on the cover of this document 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 "Risk Factors --
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.
See "Risk Factors -- JPMS's estimated value does not represent future values of the notes and may differ from others' estimates"
in this document.
http://www.sec.gov/Archives/edgar/data/19617/000089109215006705/e65351_424b2.htm[7/30/2015 5:04:03 PM]

Document Outline

#1">
- #1">