Obligation JPMorgan Chase 9.323% ( US48125U2N17 ) en USD

JPMorgan Chase

100 % ⇌

Etas-Unis

US48125U2N17 ( en USD )

9.323% par an ( paiement semestriel )

26/02/2031 - Obligation échue

Prospectus brochure de l'obligation JP Morgan US48125U2N17 en USD 9.323%, échue

1 000 USD

6 712 000 USD

48125U2N1

N/A

JPMorgan Chase & Co. est une société multinationale de services financiers américaine, offrant des services bancaires d'investissement, de gestion de patrimoine, de banque commerciale et de cartes de crédit à une clientèle mondiale.

L'obligation JP Morgan (ISIN : US48125U2N17, CUSIP : 48125U2N1), émise aux États-Unis pour un montant total de 6 712 000 USD, avec un taux d'intérêt de 9,323%, une taille minimale d'achat de 1 000 USD et une maturité initialement fixée au 26/02/2031, a atteint sa maturité et a été intégralement remboursée à 100% de sa valeur nominale en USD, avec une fréquence de paiement des coupons de 2.

424B2 1 e68465_424b2.htm PRICING SUPPLEMENT NO. 1812
CALCULATION OF REGISTRATION FEE
Title of Each Class of
Maximum Aggregate Offering
Securities Offered
Price
Amount of Registration Fee
Notes
$6,712,000
$675.90

February 2016
Pricing Supplement No. 1812
Registration Statement No. 333-199966
Dated February 23, 2016
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED INVESTMENTS
Leveraged Callable Range Accrual Securities due February 26, 2031
Link e d t o t he 3 0 -Y e a r U .S. Dolla r I CE Sw a p Ra t e a nd t he 2 -Y e a r U .S. Dolla r I CE Sw a p Ra t e a nd t he S& P
5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
As further described below, (i) for the first year: interest will accrue on the securities at a rate of 10.00% per annum and (ii) in Years 2 to Maturity : for each day that the index closing
value of the S&P 500 ® Index is greater than or equal to the index reference level, interest will accrue on the securities at a variable rate per annum equal to 8.2 times the difference, if
any, between (a) the 30 -Year U.S. Dollar ICE Swap Rate ("30ICE") minus (b) the 2 -Year U.S. Dollar ICE Swap Rate ("2ICE"), as determined on the ICE Swap 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. At maturity, if the index closing value on the valuation date is greater than or equal to the trigger level, we will pay you the principal amount of your securities plus any
accrued and unpaid interest to but excluding the maturity date. However, if the securities have not been redeemed and the index closing value of the S&P 500 ® Index on the valuation
date is less than trigger level, an investor in the securities will lose at least 50%, and may lose all, of the initial investment in the securities. The securities provide an above-market
interest rate in Year 1; however, for each interest payment period in Years 2 to maturity, the securities will not pay any interest with respect to the interest payment period if the 30ICE
minus the 2ICE is equal to or less than 0.00% on the related quarterly ICE Swap determination date. In addition, during any interest payment period, although the 30ICE minus the 2ICE
may be greater than 0.00% on the related quarterly ICE Swap determination date, interest will not accrue on any day on which the index closing value is less than the index reference
level, and if the index closing value is less than the index reference level on each day during an interest payment period, the securities will not pay any interest for such interest payment
period. We, JPMorgan Chase & Co., have the right to redeem the securities on any quarterly redemption date beginning February 26, 2017. Y ou c ould lose your e nt ire
inve st m e nt in t he se c urit ie s. Any pa ym e nt on t he se c urit ie 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 :
$6,712,000. We may increase the aggregate principal amount prior to the original issue date but are not required to do so.
I nde x :
The S&P 500 ® Index. Please see "Additional Provisions" beginning on page 3 below.
St a t e d princ ipa l a m ount :
$1,000 per security
I ssue pric e :
$1,000 per security (see "Commissions and Issue Price" below)
Pric ing da t e :
February 23, 2016
Origina l issue da t e (se t t le m e nt
February 26, 2016 (3 business days after the pricing date)
da t e ):
I nt e re st a c c rua l da t e :
February 26, 2016, subject to the business day convention
V a lua t ion da t e * :
February 21, 2031
M a t urit y da t e * :
February 26, 2031, subje c t t o t he busine ss da y c onve nt ion
Pa ym e nt a t m a t urit y:
If the final index value is greater than or equal to the trigger level, you will receive the principal amount of your securities at maturity.
If the final index value is less than the trigger level, you will lose 1% of the principal amount of your securities for every 1% that the final
index value is less than the initial index value, and your payment at maturity per $1,000 principal amount security will be calculated as
follows:
$1,000 + ($1,000 × index return)
If the final index value is less than the trigger level, you will lose at least 50.00% of your principal and may lose your entire principal at
maturity.
Regardless of whether the final index value is greater than, equal to or less than the initial index value, at maturity you will also receive any
accrued and unpaid interest on your securities.
I nit ia l inde x va lue :
1,921.27, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the valuation date
I nde x re t urn:
(final index value initial index value)
initial index value
T rigge r le ve l:
960.635, which is 50.00% of the initial index value
I nde x c losing va lue :
The daily closing value of the Index. Please see "Additional Provisions" beginning on page 3 below.
I nit ia l int e re st pa ym e nt pe riods:
The interest payment periods beginning on and including the original issue date and ending on but excluding February 26, 2017
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.
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For each interest payment period after the initial interest payment periods:
(x) the applicable per annum interest factor times (y) N/ACT; where
"N" = the aggregate number of calendar days in the applicable interest payment period on which the index closing value on the
corresponding accrual determination date is greater than or equal to the index reference level; and
"ACT" = the total number of calendar days in the applicable interest payment period.
If on the accrual determination date corresponding to any calendar day the index closing value is less than the index reference level, interest
will accrue at a rate of 0.00% per annum for that day.
I nt e re st fa c t or:
With respect to each interest payment period (other than the initial interest payment periods), a rate per annum equal to the greater of (a) the
minimum interest rate and (b) the leverage factor multiplied by the spread, subject to the maximum interest rate and the minimum interest rate.
T he int e re st ra t e may or may not equal the interest factor during any interest payment period. The interest rate will depend on the number
of calendar days during any given interest payment period on which the index closing value is greater than or equal to the index reference
level.
Le ve ra ge fa c t or:
8.2
Spre a d:
On the applicable ICE Swap determination date, the difference of (a) 30ICE minus (b) 2ICE
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 nde x re fe re nc e le ve l:
1,248.8255, which is 65.00% of the initial index value
I nde x c ut off:
For any interest payment period, the index closing value for any day from and including the sixth scheduled business day prior to but excluding
the related interest payment date shall be the index closing value for the trading day immediately preceding such sixth scheduled business
day. Please see "Additional Provisions" beginning on page 3 below.
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 security, 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 securities 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:
The 26th of each February, May, August and November, beginning on May 26, 2016 to and including the maturity date, or, if the securities
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 February 26, 2017, we have the right to redeem all of these securities on any quarterly redemption date and pay to you 100% of
the stated principal amount per security 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 securities, 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 :
The 26th of each February, May, August and November, beginning on February 26, 2017, subject to the business day convention and the interest
accrual convention described below and in the accompanying product supplement no. 1a -I.
I CE Sw a p ra t e :
30ICE or 2ICE. Please see "Additional Provisions" beginning on page 3 below.

I CE Sw a p de t e rm ina t ion
For each interest payment period (other than the initial interest payment periods), two U.S. government securities business days immediately prior to
da t e :
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 securities will not be listed on any securities exchange.
De nom ina t ions:
$1,000 / $1,000
CU SI P / I SI N :
48125U2N1 / US48125U2N17
Book -e nt ry or c e rt ific a t e d
Book-entry
se c urit y:
Busine ss da y:
New York
Age nt :
JPMS
* Subject to postponement in the event of a market disruption event and as described under "Description of Securities--Payment on the Securities--Payment At Maturity" and
"Description of Securities--Payment on the Securities--Postponement of an Observation Date" in the accompanying product supplement no. 1a -1.

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 Se c urit y
$1,000
$30.00(2)
$965.00

$5.00(3)

T ot a l
$6,712,000
$234,920.00
$6,477,080

(1)
The price to the public includes the estimated cost of hedging our obligations under the securities 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" 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 will use $30.00 per $1,000 stated principal amount security of that commission to allow selling
concessions to MSWM. See "Plan of Distribution (Conflicts of Interest)" beginning on page PS -60 of the accompanying product supplement no. 1a -1.
(3)
Reflects a structuring fee payable to Morgan Stanley Wealth Management ("MSWM") by the agent or its affiliates of $5.00 per $1,000 stated principal amount security.
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T he e st im a t e d va lue of t he se c urit ie 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 se c urit ie s w e re se t , w a s $ 8 9 6 .3 0 pe r $ 1 ,0 0 0 princ ipa l a m ount
se c urit y. J PM S's e st im a t e d va lue of t he se c urit ie s on t he pric ing da t e w ill be provide d by J PM S in t he pric ing supple m e nt a nd w ill not be le ss
t ha n $ 8 7 0 .0 0 pe r $ 1 ,0 0 0 st a t e d princ ipa l a m ount se c urit y. Se e "Addit iona l I nform a t ion About t he Se c urit ie s -- J PM S's Est im a t e d V a lue of t he
Se c urit ie 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 se c urit ie 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 .
The securities 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 VIA THE
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 and prospectus dated February 19, 2016: http://www.sec.gov/Archives/edgar/data/19617/000095010316011251/crt_dp63599-424b2.pdf
Underlying supplement no. 1a -I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf

Leveraged Callable Range Accrual Securities due February 26, 2031

The Securities
The securities are issued by JPMorgan Chase & Co. We describe the basic features of these securities in the sections of the
accompanying product supplement called "Description of Securities" and "General Terms of Securities" subject to and as modified
by the provisions described above. The terms of the securities 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." At maturity, if we have not redeemed the securities, regardless of the performance of the ICE
Swap rates, the payment at maturity will be determined based on the index closing value on the valuation date. If the index closing
value on the valuation date is greater than or equal to the trigger level, we will pay you the principal amount of your securities plus
any accrued and unpaid interest to but excluding the maturity date. However, if the index closing value on the valuation date is
less than the trigger level, you will lose at least 50% of principal and may lose your entire principal at maturity. All payments on the
securities are subject to the creditworthiness of JPMorgan Chase & Co. The securities offer periodic interest payments on each
interest payment date. With respect to each initial interest payment period, the securities 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 securities 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, and provided that interest will accrue at such
per annum rate only on each day on which the index closing value is greater than or equal to the index reference level on the
corresponding accrual determination date. If either (a) the spread is less than 0% on a ICE Swap determination date or (b) the
index closing value is less than the index reference level on each accrual determination date during such interest payment period,
interest will not accrue during the related interest payment period. 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 securities 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 securities. At our option, we may redeem the securities, 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 securities redeemed will be paid to the person who
is the holder of record of such securities at the close of business on the business day immediately preceding the applicable
redemption date.
Additional Provisions
T he S& P 5 0 0 ® I nde x .

The S&P 500® Index consists of stocks of 500 component companies selected to provide a performance benchmark for the U.S.
equity markets. For additional information on the S&P 500® Index, see the information set forth under "Equity Index Descriptions --
The S&P 500® Index" in the accompanying underlying supplement no. 1a-I.
T he I CE Sw a p Ra t e
What are the 30-Year U.S. Dollar ICE Swap Rate ("30ICE") and the 2-Year U.S. Dollar ICE Swap Rate ("2ICE")?
The 30ICE is the rate for U.S. dollar swap with a Designated Maturity of 30 years that appears on Reuters page "ICESWAP1" (or
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any successor page) at approximately 11:00 a.m., New York City time, on any ICE Swap determination date, as determined by the
calculation agent.
The 2ICE is the rate for U.S. dollar swap with a Designated Maturity of 2 years that appears on Reuters page "ICESWAP1" (or any
successor page) at approximately 11:00 a.m., New York City time, on any ICE Swap determination date, as determined by the
calculation agent.
February 2016
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Leveraged Callable Range Accrual Securities due February 26, 2031

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.
ICE Swap 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.
ICE Swap Rate Fallback Provisions
On any ICE Swap determination date, if the 30ICE or the 2ICE cannot be determined by reference to Reuters page "ICESWAP1"
(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 ICE Swap 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 ICE Swap 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.
I nde x Closing V a lue
For each accrual determination date, the official closing level of the S&P 500® Index (the "Index") published following the regular
official weekday close of trading for the S&P 500® Index on Bloomberg Professional® Service page "SPX Index HP" on such
accrual determination date. If a market disruption event exists with respect to the S&P 500® Index on any accrual determination
date, the index closing value on the immediately preceding accrual determination date for which no market disruption event occurs
or is continuing will be the index closing value for such disrupted accrual determination date (and will also be the index closing
value for the originally scheduled accrual determination date). In certain circumstances, the index closing value will be based on
the alternative calculation of the S&P 500® Index as described under "General Terms of Notes -- Discontinuation of an Equity
Index; Alteration of Method of Calculation" in the accompanying product supplement no. 1a-1.
Ac c rua l De t e rm ina t ion Da t e
For each calendar day, the second trading day prior to such calendar day; provided that for the period commencing on the sixth
scheduled business day prior to but excluding each interest payment date, the accrual determination date will be the first trading
day that immediately precedes such period. For purposes of product supplement no. 1a-1, an accrual determination date is an
index determination date.
T ra ding Da y
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A day, as determined by the calculation agent, on which trading is generally conducted on (i) the relevant exchanges for securities
underlying the S&P 500® Index or the relevant successor index, if applicable, and (ii) the exchanges on which futures or options
contracts related to the S&P 500® Index or the relevant successor index, if applicable, are traded, other than a day on which
trading on such relevant exchange or exchange on
February 2016
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Leveraged Callable Range Accrual Securities due February 26, 2031

which such futures or options contracts are traded is scheduled to close prior to its regular weekday closing time.
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.

February 2016
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Leveraged Callable Range Accrual Securities due February 26, 2031

Hypothetical Examples
H ypot he t ic a l Ex a m ple s of Ca lc ula t ion of t he I nt e re st Ra t e on t he Se c urit ie s for a n I nt e re st Pa ym e nt Pe riod

The following examples illustrate how to calculate the interest rate on the securities for four hypothetical interest payment periods
after the initial interest payment periods. The following examples assume that we have not called the securities prior to their
scheduled maturity date, the leverage factor is 8.2 and the total number of calendar days in the applicable interest payment period
is 90. The hypothetical interest rates in the following examples are for illustrative purposes only and may not correspond to the
actual interest rates for any interest payment period applicable to a purchaser of the securities. 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 I CE Sw a p de t e rm ina t ion da t e , t he 3 0 I CE is 4 .0 0 % a nd t he 2 I CE is 3 .0 0 % . I n
a ddit ion, t he a ggre ga t e num be r of c a le nda r da ys in t he a pplic a ble int e re st pa ym e nt pe riod on w hic h t he
inde x c losing va lue on t he c orre sponding a c c rua l de t e rm ina t ion da t e is gre a t e r t ha n or e qua l t o t he inde x
re fe re nc e le ve l is 8 1 . Be c a use t he 3 0 I CE (4 .0 0 % ) is gre a t e r t ha n t he 2 I CE (3 .0 0 % ), t he spre a d is posit ive
a nd is e qua l t o 1 .0 0 % . Ac c ordingly, t he int e re st fa c t or is 8 .2 0 % c a lc ula t e d a s follow s:

M AX [0 , 8 .2 × (4 .0 0 % - 3 .0 0 % )] = 8 .2 0 % pe r a nnum

T he re fore , t he int e re st ra t e pe r a nnum for t he int e re st pa ym e nt pe riod is e qua l t o 7 .3 8 % pe r a nnum ,
c a lc ula t e d a s follow s:

8 .2 0 % × (8 1 /9 0 ) = 7 .3 8 % pe r a nnum

Ex a m ple 2 : On t he a pplic a ble I CE Sw a p de t e rm ina t ion da t e , t he 3 0 I CE is 5 .0 0 % a nd t he 2 I CE is 1 .0 0 % . I n
a ddit ion, t he a ggre ga t e num be r of c a le nda r da ys in t he a pplic a ble int e re st pa ym e nt pe riod on w hic h t he
inde x c losing va lue on t he c orre sponding a c c rua l de t e rm ina t ion da t e is gre a t e r t ha n or e qua l t o t he inde x
re fe re nc e le ve l is 9 0 . Be c a use t he 3 0 I CE (5 .0 0 % ) is gre a t e r t ha n t he 2 I CE (1 .0 0 % ), t he spre a d is posit ive
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a nd is e qua l t o 4 .0 0 % . Be c a use t he spre a d t im e s t he le ve ra ge fa c t or is gre a t e r t ha n t he m a x im um int e re st
ra t e of 1 0 .0 0 % pe r a nnum , t he int e re st fa c t or is e qua l t o t he m a x im um int e re st ra t e .

T he re fore , t he int e re st ra t e pe r a nnum for t he int e re st pa ym e nt pe riod is e qua l t o t he m a x im um int e re st
ra t e of 1 0 .0 0 % pe r a nnum , c a lc ula t e d a s follow s:
1 0 .0 0 % × (9 0 / 9 0 ) = 1 0 .0 0 % pe r a nnum

Ex a m ple 3 : On t he a pplic a ble I CE Sw a p de t e rm ina t ion da t e , t he 3 0 I CE is 1 .0 0 % a nd t he 2 I CE is 2 .0 0 % . I n
a ddit ion, t he a ggre ga t e num be r of c a le nda r da ys in t he a pplic a ble int e re st pa ym e nt pe riod on w hic h t he
inde x c losing va lue on t he c orre sponding a c c rua l de t e rm ina t ion da t e is gre a t e r t ha n or e qua l t o t he inde x
re fe re nc e le ve l is 9 0 . Be c a use t he 3 0 I CE (1 .0 0 % ) is le ss t ha n t he 2 I CE (2 .0 0 % ), t he spre a d is ne ga t ive a nd
is e qua l t o -1 .0 0 % . Be c a use t he spre a d t im e s t he le ve ra ge fa c t or is le ss t ha n t he m inim um int e re st ra t e of
0 .0 0 % pe r a nnum , t he int e re st fa c t or is e qua l t o t he m inim um int e re st ra t e .

T he re fore , t he int e re st ra t e pe r a nnum for t he int e re st pa ym e nt pe riod is e qua l t o t he m inim um int e re st ra t e
of 0 .0 0 % pe r a nnum c a lc ula t e d a s follow s:
0 .0 0 % × (9 0 / 9 0 ) = 0 .0 0 % pe r a nnum
U nde r t he se c irc um st a nc e s, inve st ors w ould not re c e ive a ny int e re st for t he give n int e re st pa ym e nt pe riod.
Ex a m ple 4 : For a n int e re st pa ym e nt pe riod, t he a ggre ga t e num be r of c a le nda r da ys in t he a pplic a ble
int e re st pa ym e nt pe riod on w hic h t he inde x c losing va lue on t he c orre sponding a c c rua l de t e rm ina t ion da t e
is gre a t e r t ha n or e qua l t o t he inde x re fe re nc e le ve l is 0 . Re ga rdle ss of t he int e re st fa c t or, be c a use t he
inde x c losing va lue is le ss t ha n t he inde x re fe re nc e le ve l on e a c h a c c rua l de t e rm ina t ion da t e during

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suc h int e re st pa ym e nt pe riod, t he int e re st ra t e pe r a nnum for t he int e re st pa ym e nt pe riod w ill be e qua l t o
0 .0 0 % pe r a nnum .
U nde r t he se c irc um st a nc e s, inve st ors w ould not re c e ive a ny int e re st for t he give n int e re st pa ym e nt pe riod.
H ypot he t ic a l Ex a m ple s of Am ount s Pa ya ble a t M a t urit y

The following examples illustrate how to calculate the payment at maturity. For purposes of the following examples, we have
assumed a hypothetical initial index value of 2,000 and a hypothetical trigger level of 1,000, and that the securities are not called
prior to their scheduled maturity date. Each hypothetical payment at maturity set forth below is for illustrative purposes only and
may not be the actual payment at maturity applicable to a purchaser of the securities. In addition, the effect of any accrued and
unpaid interest has been excluded.
Ex a m ple 1 : T he le ve l of t he inde x inc re a se s from t he init ia l inde x va lue of 2 ,0 0 0 t o a fina l inde x va lue of
2 ,5 0 0 . Because the final index value of 2,500 is greater than the initial index value of 2,000, the investor receives a payment at
maturity of $1,000 per $1,000 principal amount security. Investors do not participate in any appreciation of the index.
Ex a m ple 2 : T he le ve l of t he inde x de c re a se s from t he init ia l inde x va lue of 2 ,0 0 0 t o a fina l inde x va lue of
1 ,4 0 0 . Although the index return is negative, because the final index value of 1,400 is not less than the trigger level of 1,000, the
investor receives a payment at maturity of $1,000 per $1,000 principal amount security.
Ex a m ple 3 : T he le ve l of t he inde x de c re a se s from t he init ia l inde x va lue of 2 ,0 0 0 t o a fina l inde x va lue of
9 0 0 . Because the index return is negative and the final index value of 900 is less than the trigger level of 1,000, the investor
receives a payment at maturity of $450.00 per $1,000 principal amount security, calculated as follows:
$1,000 + ($1,000 × -55.00%) = $450.00
Ex a m ple 4 : T he le ve l of t he inde x de c re a se s from t he init ia l inde x va lue of 2 ,0 0 0 t o a fina l inde x va lue of 0 .
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Because the index return is negative and the final index value of 0 is less than the trigger level of 1,000, the investor receives a
payment at maturity of $0.00 per $1,000 principal amount security, calculated as follows:
$1,000 + ($1,000 × -100%) = $0.00
I f t he se c urit ie s a re not re de e m e d prior t o m a t urit y a nd t he fina l inde x va lue is le ss t ha n t he t rigge r le ve l,
inve st ors w ill lose a signific a nt port ion or a ll of t he ir inve st m e nt .
The hypothetical payments on the securities shown above apply only if t he se c urit ie s a re not c a lle d prior t o m a t urit y
a nd you hold t he se c urit ie s for t he ir e nt ire t e rm . These hypotheticals do not reflect fees or expenses that would be
associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical payments shown
above would likely be lower.
Historical Information
I CE Sw a p Ra t e s
The following graphs set forth the weekly historical performance of the ICE Swap rates and the spread from January 7, 2011
through February 19, 2016. 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 30ICE, as it appeared on Reuters page "ICESWAP1" on February 23, 2016 was 2.114%. The 2ICE, as it appeared on
Reuters page "ICESWAP1" on February 23, 2016 was 0.813%. The spread on February 23, 2016 was 1.301%.

T he I CE Sw a p 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 I CE Sw a p ra t e s publishe d on Re ut e rs pa ge
"I CESWAP1 " 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 ICE Swap rates and the spread should
not be taken as an indication of future performance, and no assurance can be given as to the ICE Swap rates or the spread on any
ICE Swap determination date. We cannot give you
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Leveraged Callable Range Accrual Securities due February 26, 2031

assurance that the performance of the ICE Swap rates and the spread will result in any positive interest payments in any interest
payment period subsequent to the final initial interest payment period.

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S& P 5 0 0 ® I nde x
The following table sets forth the published high and low index closing values, as well as end-of-quarter index closing values, for
each quarter in the period from January 3, 2011 through February 23, 2016. The graph following the table sets forth the daily
closing values of the Index for the period from January 3, 2011 through February 23, 2016. The index closing value on February
23, 2016 was 1,921.27.

We obtained the index closing values 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
historical levels of the index should not be taken as an indication of future performance, and no assurance can be given as to the
index closing value on any of the accrual determination dates. We cannot give you assurance that the performance of the index will
result in any interest payments or any return of principal at maturity.

SPX I nde x
H igh
Low
Pe riod End
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2 0 1 1

First Quarter
1,343.01
1,256.88
1,325.83
Second Quarter
1,363.61
1,265.42
1,320.64
Third Quarter
1,353.22
1,119.46
1,131.42
Fourth Quarter
1,285.09
1,099.23
1,257.60
2 0 1 2

First Quarter
1,416.51
1,277.06
1,408.47
Second Quarter
1,419.04
1,278.04
1,362.16
Third Quarter
1,465.77
1,334.76
1,440.67
Fourth Quarter
1,461.40
1,353.33
1,426.19
2 0 1 3

First Quarter
1,569.19
1,457.15
1,569.19
Second Quarter
1,669.16
1,541.61
1,606.28
Third Quarter
1,725.52
1,614.08
1,681.55
Fourth Quarter
1,848.36
1,655.45
1,848.36
2 0 1 4

First Quarter
1,878.04
1,741.89
1,872.34
Second Quarter
1,962.87
1,815.69
1,960.23
Third Quarter
2,011.36
1,909.57
1,972.29
Fourth Quarter
2,090.57
1,862.49
2,058.90
2 0 1 5

First Quarter
2,117.39
1,992.67
2,067.89
Second Quarter
2,130.82
2,057.64
2,063.11
Third Quarter
2,128.28
1,867.61
1,920.03
Fourth Quarter
2,109.79
1,923.82
2,043.94
2 0 1 6

First Quarter (through February 23, 2016)
1,945.50
1,829.08
1,921.27

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* * T he bla c k line in t he gra ph indic a t e s a hypot he t ic a l inde x re fe re nc e le ve l of 1 ,2 4 8 .8 2 5 5 (6 5 % of t he
S& P 5 0 0 ® I nde x Closing Le ve l on Fe brua ry 2 3 , 2 0 1 6 of 1 ,9 2 1 .2 7 ).

Total number of days in the historical period, beginning on January 3, 2011
1,294
Number of days on or after January 3, 2011 that the index was greater than or equal to the hypothetical index reference
level above
1,211
Number of days on or after January 3, 2011 that the index was less than the hypothetical index reference level above
83
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Risk Factors
The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and
other risks, you should read the section entitled "Risk Factors" beginning on page 18 of the accompanying product supplement.
Your investment may result in a loss. The securities do not guarantee any return of principal. The return on the
securities at maturity is linked to the performance of the index and will depend on whether, and the extent to which, the index
return is positive or negative. Your investment will be exposed to significant loss if the final index value is less than the trigger
level. For every 1% that the final index value is less than the trigger level, you will lose an amount equal to 1% of the principal
amount of your securities. Ac c ordingly, if t he fina l inde x va lue is le ss t ha n t he t rigge r le ve l, you w ill lose a t
le a st 5 0 .0 0 % of your princ ipa l a nd m a y lose your e nt ire princ ipa l a t m a t urit y.
The securities are not ordinary debt securities and are subject to an interest accrual provision; after the
init ia l int e re st pa ym e nt pe riods, t he int e re st ra t e on t he se c urit ie s is va ria ble a nd m a y e qua l t he
m inim um ra t e of 0 .0 0 % . The terms of the securities differ from those of ordinary debt securities in that the rate of interest
you will receive after the initial interest payment periods is not fixed, but will vary based on both the level of the S&P 500®
Index over the course of each interest payment period and the spread on the applicable ICE Swap determination date. The
variable interest rate on the securities, while determined by reference to the spread on the applicable ICE Swap determination
date and the official closing level of the S&P 500® Index as described herein, does not actually pay an amount based directly
on such levels. Moreover, each calendar day during an interest payment period (other than an initial interest payment period)
for which the index closing value of the S&P 500® Index is less than the index reference level (as determined based on the
level of the S&P 500® Index on the applicable accrual determination date) will result in a reduction of the interest rate per
annum payable for the corresponding interest payment period, potentially down to 0.00%. For interest payment periods other
than the initial interest payment period, if the official closing level of S&P 500® Index is less than the index reference level for
an entire interest payment period, the interest rate for such interest payment period will be equal to 0.00% and you will not
receive any interest payment for such interest payment period. In that event, 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.
The securities reference an equity index and the ICE Sw ap rates. After the initial interest payment periods, if the
index closing value of the S&P 500® Index is less than the index reference level on any accrual determination date, the
securities will not accrue interest on that day. If the index closing value of the S&P 500® Index is less than the index reference
level on each accrual determination date in an interest payment period, the interest rate payable on the securities will be equal
to 0.00% per annum for such interest payment period. Similarly, after the initial interest payment periods, if the 30ICE is less
than or equal to the 2ICE on the ICE Swap determination date, interest on the securities will accrue at 0.00% per annum for
such interest payment period. Therefore, you are exposed to risks relating to both equity markets and swap rates. You should
carefully consider the movement, current level and overall trend in equity markets and swap rates, prior to purchasing these
securities. Although the securities do not directly reference the level of the S&P 500® Index or the ICE Swap Rates, the
amount of interest, if any, payable on your securities is contingent upon, and related to, each of these levels.
You are exposed to the performance risks of each of the ICE Sw ap rates and the S& P 500 ® Index. Your
interest rate applicable to each interest payment period after the initial interest payment periods is not linked to the aggregate
performance of the ICE Swap rates and the S&P 500® Index. For instance, whether or not interest accrues on a calendar day
within an interest payment period (other than an initial interest payment period) will be contingent upon the performance of the
S&P 500® Index, as determined on the applicable accrual determination date. Further, the interest factor that is to be used to
determine the interest rate will be determined by the ICE Swap rates on the applicable ICE Swap determination date. Unlike an
investment in an instrument with a return linked to a basket of underlying assets, in which risk is mitigated through
diversification among all of the components of the basket, an investment in the securities will expose you to the risks related to
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