Obbligazione JPMorgan Chase 0% ( US48125U6B33 ) in USD

JPMorgan Chase

99 USD ⇌

Stati Uniti

US48125U6B33 ( in USD )

30/09/2025

Prospetto opuscolo dell'obbligazione JP Morgan US48125U6B33 en USD 0%, scadenza 30/09/2025

1 000 USD

48125U6B3

N/A

JPMorgan Chase & Co. è una delle più grandi istituzioni finanziarie al mondo, operante nel settore bancario d'investimento, gestione patrimoniale e servizi finanziari.

L'obbligazione con codice ISIN US48125U6B33 (CUSIP 48125U6B3), emessa negli Stati Uniti da JP Morgan, una delle principali istituzioni finanziarie a livello globale che opera su scala mondiale, si configura come un titolo zero-coupon in USD con un tasso di interesse nullo, attualmente quotata al 99% del suo valore nominale sul mercato, la cui scadenza è fissata al 30 settembre 2025 con una dimensione minima di acquisto di 1000 unità.

424B2 1 e66311_424b2.htm PRICING SUPPLEMENT NO. 1326
CALCULATION OF REGISTRATION FEE
Title of Each Class of
Maximum Aggregate
Amount of
Securities Offered
Offering Price
Registration Fee
Notes
$1,000,000
$116.20

September 28, 2015
Registration statement No. 333-199966; Rule 424(b)(2)

JPMorgan Chase & Co.
Structured Investments
$1,000,000
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the S&P 500® Index and the Russell 2000® Index
due September 30, 2025
·
The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the
closing level of each of the S&P 500® Index and the Russell 2000® Index, which we refer to as the Indices, is greater than or equal
to 50.00% of its Initial Value, which we refer to as an Interest Barrier.
·
The notes will be automatically called if the closing level of each Index on any Review Date (other than the first, second, third and
final Review Dates) is greater than or equal to its Initial Value.
·
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 Review 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 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.
·
Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of
each of the Indices individually, as described below.
·
Minimum denominations of $1,000 and integral multiples thereof
·
The notes priced on September 28, 2015 and are expected to settle on or about September 30, 2015.
·
CUSIP: 48125U6B3
I nve st ing in t he not e s involve s a num be r of risk s. Se e "Risk Fa c t ors" be ginning on pa ge PS -8 of t he a c c om pa nying
produc t supple m e nt no. 4 a -I , "Risk Fa c t ors" be ginning on pa ge U S-2 of t he a c c om pa nying unde rlying supple m e nt
no. 1 a -I a nd "Se le c t e d Risk Conside ra t ions" be ginning on pa ge PS -6 of t his pric ing supple m e nt .
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
$33.50
$966.50
Total
$1,000,000
$33,500
$966,500
(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
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

commissions of $33.50 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 and "JPMS's Estimated Value of the
Notes" in this pricing supplement.
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 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 $ 9 5 0 .9 0 pe r
$ 1 ,0 0 0 princ ipa l a m ount not e . Se e "J PM S's Est im a t e d V a lue of t he N ot e s" in t his pric ing supple m e nt for a ddit iona l
inform a t ion.
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. 1326 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

K e y T e rm s
I ndic e s: The S&P 500® Index (Bloomberg ticker: SPX) and the
Aut om a t ic Ca ll:
Russell 2000® Index (Bloomberg ticker: RTY)
If the closing level of each Index on any Review Date (other than
Cont inge nt I nt e re st Pa ym e nt s:
the first, second, third and final Review Dates) is greater than or
If the notes have not been automatically called and the closing
equal to its Initial Value, the notes will be automatically called for
level of each Index on any Review Date is greater than or equal
a cash payment, for each $1,000 principal amount note, equal to
to its Interest Barrier, you will receive on the applicable Interest
(a) $1,000 plus (b) the Contingent Interest Payment applicable to
Payment Date for each $1,000 principal amount note a
that Review Date, payable on the applicable Call Settlement Date.
Contingent Interest Payment equal to $16.50 (equivalent to a
No further payments will be made on the notes.
Contingent Interest Rate of 6.60% per annum, payable at a rate
Pa ym e nt a t M a t urit y:
of 1.65% per quarter).
If the notes have not been automatically called and the Final
If the closing level of either Index on any Review Date is less than
Value of each Index is greater than or equal to its Trigger Value,
its Interest Barrier, no Contingent Interest Payment will be made
you will receive a cash payment at maturity, for each $1,000
with respect to that Review Date.
principal amount note, equal to (a) $1,000 plus (b) the Contingent
Cont inge nt I nt e re st Ra t e : 6.60% per annum, payable at a
Interest Payment applicable to the final Review Date.
rate of 1.65% per quarter
If the notes have not been automatically called and the Final
I nt e re st Ba rrie r / T rigge r V a lue : With respect to each
Value of either Index is less than its Trigger Value, your payment
Index, 50.00% of its Initial Value, which is 940.85 for the S&P
at maturity per $1,000 principal amount note will be calculated as
500® Index and 545.285 for the Russell 2000® Index
follows:
Pric ing Da t e : September 28, 2015
$1,000 + ($1,000 × Lesser Performing Index Return)
Origina l I ssue Da t e (Se t t le m e nt Da t e ): On or about
If the notes have not been automatically called and the Final
September 30, 2015
Value of either Index is less than its Trigger Value, you will lose
more than 50.00% of your principal amount at maturity and could
Re vie w Da t e s* : December 28, 2015, March 28, 2016, June
lose all of your principal amount at maturity.
28, 2016, September 28, 2016, December 28, 2016, March 28,
Le sse r Pe rform ing I nde x : The Index with the Lesser
2017, June 28, 2017, September 28, 2017, December 28, 2017,
Performing Index Return
March 28, 2018, June 28, 2018, September 28, 2018, December
28, 2018, March 28, 2019, June 28, 2019, September 30, 2019,
Le sse r Pe rform ing I nde x Re t urn: The lower of the Index
December 30, 2019, March 30, 2020, June 29, 2020, September
Returns of the Indices
28, 2020, December 28, 2020, March 29, 2021, June 28, 2021,
I nde x Re t urn: With respect to each Index,
September 28, 2021 December 28, 2021, March 28, 2022, June
(Final Value Initial Value)
28, 2022, September 28, 2022, December 28, 2022, March 28,
Initial Value
2023, June 28, 2023, September 28, 2023, December 28, 2023,
I nit ia l V a lue : With respect to each Index, the closing level of
March 28, 2024, June 28, 2024, September 30, 2024, December
that Index on the Pricing Date, which was 1,881.77 for the S&P
30, 2024, March 28, 2025, June 30, 2025 and September 25,
500® Index and 1,090.570 Russell 2000® Index
2025 (final Review Date)
Fina l V a lue : With respect to each Index, the closing level of
I nt e re st Pa ym e nt Da t e s* : December 31, 2015, March 31,
that Index on the final Review Date
2016, July 1, 2016, October 3, 2016, January 3, 2017, March 31,
2017, July 3, 2017, October 3, 2017, January 3, 2018, April 3,
2018, July 3, 2018, October 3, 2018, January 3, 2019, April 2,
2019, July 3, 2019, October 3, 2019, January 3, 2020, April 2,
2020, July 2, 2020, October 1, 2020, December 31, 2020, April 1,
2021, July 1, 2021, October 1, 2021, December 31, 2021, March
31, 2022, July 1, 2022, October 3, 2022, January 3, 2023, March
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

31, 2023, July 3, 2023, October 3, 2023, January 3, 2024, April 3,
2024, July 3, 2024, October 3, 2024, January 3, 2025, April 2,
2025, July 3, 2025 and the Maturity Date
M a t urit y Da t e * : September 30, 2025
Ca ll Se t t le m e nt Da t e * : If the notes are automatically
called on any Review Date (other than the first, second, third
and final Review Dates), the first Interest Payment Date
immediately following that Review Date
* Subject to postponement in the event of a market disruption event
and as described under "General Terms of Notes -- Postponement of a
Determination Date -- Notes Linked to Multiple Underlyings" and
"General Terms of Notes -- Postponement of a Payment Date" in the
accompanying product supplement no. 4a-I

PS-1 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

H ow t he N ot e s Work
Pa ym e nt in Conne c t ion w it h t he First , Se c ond a nd T hird Re vie w Da t e s
Pa ym e nt s in Conne c t ion w it h Re vie w Da t e s (Ot he r t ha n t he First , Se c ond, T hird a nd Fina l Re vie w Da t e s)
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

PS-2 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

Pa ym e nt a t M a t urit y I f t he N ot e s H a ve N ot Be e n Aut om a t ic a lly Ca lle d
T ot a l Cont inge nt I nt e re st Pa ym e nt s
The table below illustrates the total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on the
Contingent Interest Rate of 6.60% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or
maturity.
Number of Contingent
Total Contingent Interest
Interest Payments
Payments
40
$660.00
39
$643.50
38
$627.00
37
$610.50
36
$594.00
35
$577.50
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

34
$561.00
33
$544.50
32
$528.00
31
$511.50
30
$495.00
29
$478.50
28
$462.00
27
$445.50
26
$429.00
25
$412.50
24
$396.00
23
$379.50
22
$363.00
21
$346.50
20
$330.00
19
$313.50
18
$297.00
17
$280.50
16
$264.00
15
$247.50
14
$231.00
13
$214.50
12
$198.00
11
$181.50
10
$165.00
9
$148.50
8
$132.00

PS-3 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

Number of Contingent
Total Contingent Interest
Interest Payments
Payments
7
$115.50
6
$99.00
5
$82.50
4
$66.00
3
$49.50
2
$33.00
1
$16.50
0
$0.00
H ypot he t ic a l Pa yout Ex a m ple s
The following examples illustrate payments on the notes linked to two hypothetical Indices, assuming a range of performances for the
hypothetical Lesser Performing Index on the Review Dates. Ea c h hypot he t ic a l pa ym e nt se t fort h be low a ssum e s t ha t t he
c losing le ve l of t he I nde x t ha t is not t he Le sse r Pe rform ing I nde x on e a c h Re vie w Da t e is gre a t e r t ha n or e qua l t o
it s I nit ia l V a lue (a nd t he re fore it s I nt e re st Ba rrie r a nd T rigge r V a lue ).
In addition, the hypothetical payments set forth below assume the following:
· An Initial Value for the Lesser Performing Index of 100.00;
· An Interest Barrier for the Lesser Performing Index of 50.00 (equal to 50.00% of its hypothetical Initial Value);
· A Trigger Value for the Lesser Performing Index of 50.00 (equal to 50.00% of its hypothetical Initial Value); and
· A Contingent Interest Rate of 6.60% per annum (payable at a rate of 1.65% per quarter).
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

The hypothetical Initial Value of the Lesser Performing Index of 100.00 has been chosen for illustrative purposes only and does not represent
the actual Initial Value of either Index. The actual Initial Value of each Index is the closing level of that Index on the Pricing Date and is specified
under "Key Terms -- Initial Value" in this pricing supplement. For historical data regarding the actual closing levels of each Index, please see the
historical information set forth under "The Indices" 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.
Ex a m ple 1 -- N ot e s a re a ut om a t ic a lly c a lle d on t he fourt h Re vie w Da t e .
Date
Closing Level of Lesser
Payment (per $1,000 principal amount note)
Performing Index
First Review Date
105.00
$16.50
Second Review Date
110.00
$16.50
Third Review Date
105.00
$16.50
Fourth Review Date
105.00
$1,016.50

Total Payment
$1,066.00 (6.60% return)
Because the closing level of each Index on the fourth Review Date is greater than or equal to its Initial Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, of $1,016.50 (or $1,000 plus the Contingent Interest Payment applicable to
the fourth Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the fourth Review Date,
even though the closing level of each Index on each of the first, second and third Review Dates is greater than its Initial Value. When added to
the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note,
is $1,066.00. No further payments will be made on the notes.

PS-4 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

Ex a m ple 2 -- N ot e s ha ve N OT be e n a ut om a t ic a lly c a lle d a nd t he Fina l V a lue of t he Le sse r Pe rform ing I nde x is
gre a t e r t ha n or e qua l t o it s T rigge r V a lue a nd it s I nt e re st Ba rrie r.
Date
Closing Level of Lesser
Payment (per $1,000 principal amount note)
Performing Index
First Review Date
95.00
$16.50
Second Review Date
85.00
$16.50
Third through Thirty-Ninth
Less than Interest Barrier
$0
Review Dates
Final Review Date
90.00
$1,016.50

Total Payment
$1,049.50 (4.95% return)
Because the notes have not been automatically called and the Final Value of the Lesser Performing Index is greater than or equal to its Trigger
Value and its Interest Barrier, the payment at maturity, for each $1,000 principal amount note, will be $1,016.50 (or $1,000 plus the Contingent
Interest Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with respect to the prior
Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,049.50.
Ex a m ple 4 -- N ot e s ha ve N OT be e n a ut om a t ic a lly c a lle d a nd t he Fina l V a lue of t he Le sse r Pe rform ing I nde x is le ss
t ha n it s T rigge r V a lue .
Date
Closing Level of Lesser
Payment (per $1,000 principal amount note)
Performing Index
First Review Date
40.00
$0
Second Review Date
45.00
$0
Third through Thirty-Ninth
Less than Interest Barrier
$0
Review Dates
Final Review Date
40.00
$400.00

Total Payment
$400.00 (-60.00% return)
Because the notes have not been automatically called, the Final Value of the Lesser Performing Index is less than its Trigger Value and the
Lesser Performing Index Return is -60.00%, the payment at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold t he not e s for t he ir e nt ire t e rm
or unt il a ut om a t ic a lly c a lle d. 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.

PS-5 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

Se le c t e d Risk Conside ra t ions
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.
·
Y OU R I N V EST M EN T I N T H E N OT ES M AY RESU LT I N A LOSS --
The notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value of either Index 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 Lesser
Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose more than 50.00% of your principal
amount at maturity and could lose all of your principal amount at maturity.
·
T H E N OT ES DO N OT GU ARAN T EE T H E PAY M EN T OF I N T EREST AN D M AY N OT PAY AN Y I N T EREST AT ALL --
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if the
closing level of each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of either Index on that
Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if
the closing level of either Index on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the
term of the notes.
·
CREDI T RI SK OF J PM ORGAN CH ASE & 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.
·
T H E APPRECI AT I ON POT EN T I AL OF T H E N OT ES I S LI M I T ED T O T H E SU M OF AN Y CON T I N GEN T I N T EREST
PAY M EN T S T H AT M AY BE PAI D OV ER T H E T ERM OF T H E N OT ES,
regardless of any appreciation in the level of either Index, which may be significant. You will not participate in any appreciation in the level of
either Index.
·
POT EN T I AL CON FLI CT S --
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.
·
WE ARE CU RREN T LY ON E OF T H E COM PAN I ES T H AT M AK E U P T H E S& P 5 0 0 ® I N DEX ,
but we will not have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500®
Index.
·
Y OU ARE EX POSED T O T H E RI SK OF DECLI N E I N T H E LEV EL OF EACH I N DEX --
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual
Index. Poor performance by either of the Indices over the term of the notes may negatively affect whether you will receive a Contingent
Interest Payment on any Interest Payment Date, and your payment at maturity and will not be offset or mitigated by positive performance by
the other Index.
·
Y OU R PAY M EN T AT M AT U RI T Y M AY BE DET ERM I N ED BY T H E LESSER PERFORM I N G I N DEX .
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

·
T H E BEN EFI T PROV I DED BY T H E T RI GGER V ALU E M AY T ERM I N AT E ON T H E FI N AL REV I EW DAT E --
If the Final Value of either Index is less than its Trigger Value and the notes have not been automatically called, the benefit provided by the
Trigger Value will terminate and you will be fully exposed to any depreciation in the closing level of the Lesser Performing Index.
·
T H E AU T OM AT I C CALL FEAT U RE M AY FORCE A POT EN T I AL EARLY EX I T --
If your notes are automatically called, the term of the notes may be reduced to as short as one year and you will not receive any Contingent
Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an
investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk.

PS-6 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

·
Y OU WI LL N OT RECEI V E DI V I DEN DS ON T H E SECU RI T I ES I N CLU DED I N EI T H ER I N DEX OR H AV E AN Y RI GH T S
WI T H RESPECT T O T H OSE SECU RI T I ES.
·
AN I N V EST M EN T I N T H E N OT ES I S SU BJ ECT T O RI SK S ASSOCI AT ED WI T H SM ALL CAPI T ALI Z AT I ON ST OCK S
WI T H RESPECT T O T H E RU SSELL 2 0 0 0 ® I N DEX --
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could
be a factor that limits downward stock price pressure under adverse market conditions.
·
T H E RI SK OF T H E CLOSI N G LEV EL OF AN I N DEX FALLI N G BELOW I T S I N T EREST BARRI ER OR T RI GGER V ALU E
I S GREAT ER I F T H E LEV EL OF T H AT I N DEX I S V OLAT I LE.
·
LACK OF LI QU I DI T Y --
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.
·
J PM S'S EST I M AT ED V ALU E OF T H E N OT ES I S LOWER T H AN T H E ORI GI N AL I SSU E PRI CE (PRI CE T O PU BLI C) OF
T H E N OT ES --
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.
·
J PM S'S EST I M AT ED V ALU E DOES N OT REPRESEN T FU T U RE V ALU ES OF T H E N OT ES AN D M AY DI FFER FROM
OT H ERS' EST I M AT ES --
See "JPMS's Estimated Value of the Notes" in this pricing supplement.
·
J PM S'S EST I M AT ED V ALU E I S N OT DET ERM I N ED BY REFEREN CE T O CREDI T SPREADS FOR OU R
CON V EN T I ON AL FI X ED -RAT E 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.
·
T H E V ALU E OF T H E N OT ES AS PU BLI SH ED BY J PM S (AN D WH I CH M AY BE REFLECT ED ON CU ST OM ER
ACCOU N T ST AT EM EN T S) M AY BE H I GH ER T H AN J PM S'S T H EN -CU RREN T EST I M AT ED V ALU E OF T H E N OT ES
FOR A LI M I T ED T I M E PERI OD --
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
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

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).
·
SECON DARY M ARK ET PRI CES OF T H E N OT ES WI LL LI K ELY BE LOWER T H AN T H E ORI GI N AL I SSU E PRI CE OF
T H E N OT ES --
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.

PS-7 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

·
SECON DARY M ARK ET PRI CES OF T H E N OT ES WI LL BE I M PACT ED BY M AN Y ECON OM I C AN D M ARK ET FACT ORS
--
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 Indices. 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.

PS-8 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

T he I ndic e s
The S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For
additional information about the S&P 500® Index, see "Equity Index Descriptions -- The S&P 500® Index" in the accompanying underlying
supplement.
The Russell 2000® Index consists of the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation
methodology, consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index, see "Equity
Index Descriptions -- The Russell Indices" in the accompanying underlying supplement.
H ist oric a l I nform a t ion
The following graphs set forth the historical performance of each Index based on the weekly historical closing levels from January 8, 2010
through September 25, 2015. The closing level of the S&P 500® Index on September 28, 2015 was 1,881.77. The closing level of the Russell
2000® Index on September 28, 2015 was 1,090.570. We obtained the closing levels above and below from the Bloomberg Professional® service
("Bloomberg"), without independent verification. Although Russell Investments publishes the official closing levels of the Russell 2000® Index to
six decimal places, Bloomberg publishes the closing levels of the Russell 2000® Index to only three decimal places.
The historical closing levels of each Index should not be taken as an indication of future performance, and no assurance can be given as to the
closing level of either Index on any Review Date. We cannot give you assurance that the performance of the Indices will result in the return of
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

any of your principal amount or the payment of any interest.

PS-9 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500® Index and the Russell 2000® Index

T a x T re a t m e nt
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
http://www.sec.gov/Archives/edgar/data/19617/000089109215008623/e66311_424b2.htm[9/30/2015 12:12:16 PM]

Document Outline

#1">
- #1">