Obligation JPMorgan Chase 0% ( US48128GSK75 ) en USD

JPMorgan Chase

100 % ▼

Etas-Unis

US48128GSK75 ( en USD )

30/04/2021 - Obligation échue

Prospectus brochure de l'obligation JP Morgan US48128GSK75 en USD 0%, échue

1 000 USD

460 000 USD

48128GSK7

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 émise par JPMorgan Chase ( Etas-Unis ) , en USD, avec le code ISIN US48128GSK75, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 30/04/2021

424B2 1 form424b2.htm PRICING SUPPLEMENT NO. 34
Dated April 26, 2016
Registration Statement No. 333-209682; Rule 424(b)(2)

JPMorgan Chase & Co.
Structured Investments
$460,000
Capped Dual Directional Contingent Buffered Return
Enhanced Notes Linked to the S&P 500® Index due April
30, 2021
Re gist ra t ion St a t e m e nt U pda t e
The prospectus and prospectus supplement, each dated February 19, 2016, and product supplement no. 4a-I and underlying supplement no.
1a-I, each dated November 7, 2014, which were referenced in the preliminary pricing supplement dated March 30, 2016 relating to the notes
(filed under the registration statement no. 333-199966), have been superseded by the accompanying prospectus, accompanying prospectus
supplement, accompanying product supplement and accompanying underlying supplement, each dated April 15, 2016 and filed under the
registration statement no. 333-209682.
Ge ne ra l
? The notes are designed for investors who seek a capped return of 1.2 times any appreciation (with a Maximum Upside Return of
45.00%), or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Contingent Buffer Amount of
32.50%), of the S&P 500® Index at maturity.
? If the Final Value of the Index is less than its Initial Value by more than 32.50%, you will lose more than 32.50% of your principal
amount at maturity and could lose all of your principal amount at maturity.
? Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity.
? 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.
? Minimum denominations of $1,000 and integral multiples thereof
? The notes priced on April 26, 2016 and are expected to settle on or about April 29, 2016.
? CUSIP: 48128GSK7
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 -1 0 of t he a c c om pa nying
produc t supple m e nt no. 4 -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 -I a nd "Se le c t e d Risk Conside ra t ions" be ginning on pa ge PS -4 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
$36.3043
$963.6957
Total
$460,000
$16,700
$443,300
(1). See "Supplemental Use of Proceeds" in this pricing supplement for information about the components of the price to public of the notes.
(2). J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it
receives from us to other affiliated or unaffiliated dealers. These selling commissions will vary and will be up to $38.75 per $1,000 principal amount
note. See "Plan of Distribution (Conflicts of Interest)" beginning on page PS-88 of the accompanying product supplement no. 4-I.
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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 5 .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. 34 to product supplement no. 4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016

K e y T e rm s
I nde x : S&P 500® Index (Bloomberg ticker: SPX)

Absolut e I nde x Re t urn: The absolute value of the Index Return.
For example, if the Index Return is -5%, its Absolute Index Return will
M a x im um U pside Re t urn: 45.00% (corresponding to a

equal 5%
maximum payment at maturity of $1,450.00 per $1,000 principal
amount note)
I nde x Re t urn:
(Final Value Initial Value)
U pside Le ve ra ge Fa c t or: 1.2
Initial Value
Cont inge nt Buffe r Am ount : 32.50%
I nit ia l V a lue : The closing level of the Index on the Pricing Date,
Pric ing Da t e : April 26, 2016
which was 2,091.70
Origina l I ssue Da t e (Se t t le m e nt Da t e ): On or about April 29,
Fina l V a lue : The closing level of the Index on the Observation
2016
Date
Obse rva t ion Da t e : April 27, 2021
Pa ym e nt a t M a t urit y:
M a t urit y Da t e * : April 30, 2021
If the Final Value is greater than the Initial Value, your payment at
maturity per $1,000 principal amount note will be calculated as
* Subject to postponement in the event of a market disruption event
follows:
and as described under "General Terms of Notes -- Postponement
of a Determination Date -- Notes Linked to a Single Underlying --
$1,000 + ($1,000 × Index Return × Upside Leverage Factor),
Notes Linked to a Single Underlying (Other Than a Commodity
subject to the Maximum Upside Return
Index)" and "General Terms of Notes -- Postponement of a Payment
Date" in the accompanying product supplement no. 4-I
If the Final Value is equal to the Initial Value or is less than the Initial
Value by up to the Contingent Buffer Amount, your payment at
maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Absolute Index Return of the Index)
If the Final Value is less than the Initial Value by more than the
Contingent Buffer Amount, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the Final Value is less than the Initial Value by more than the
Contingent Buffer Amount, you will lose more than 32.50% of your
principal amount at maturity and could lose all of your principal
amount at maturity.
PS-1| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the S&P 500® Index
H ypot he t ic a l Pa yout Profile
The following table and graph illustrate the hypothetical total return at maturity on the notes linked to a hypothetical Index. The "total return" as
used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
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principal amount note to $1,000. The hypothetical total returns set forth below assume the following:
?
an Initial Value of 100.00;
?
a Maximum Upside Return of 45.00%;
?
an Upside Leverage Factor of 1.2; and
?
a Contingent Buffer Amount of 32.50%
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value. The
actual Initial Value is the closing level of the 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 the Index, please see the historical information set forth under "The Index"
in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual total
return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been
rounded for ease of analysis.
Final Value
Index Return
Absolute Index Return
Total Return on the Notes
Payment at Maturity
165.00
65.00%
N/A
45.000%
$1,450.00
150.00
50.00%
N/A
45.000%
$1,450.00
137.50
37.50%
N/A
45.000%
$1,450.00
130.00
30.00%
N/A
36.000%
$1,360.00
120.00
20.00%
N/A
24.000%
$1,240.00
110.00
10.00%
N/A
12.000%
$1,120.00
105.00
5.00%
N/A
6.000%
$1,060.00
101.00
1.00%
N/A
1.200%
$1,012.00
100.00
0.00%
0.00%
0.000%
$1,000.00
95.00
-5.00%
5.00%
5.000%
$1,050.00
90.00
-10.00%
10.00%
10.000%
$1,100.00
85.00
-15.00%
15.00%
15.000%
$1,150.00
80.00
-20.00%
20.00%
20.000%
$1,200.00
75.00
-25.00%
25.00%
25.000%
$1,250.00
70.00
-30.00%
30.00%
30.000%
$1,300.00
67.50
-32.50%
32.50%
32.500%
$1,325.00
67.49
-32.51%
N/A
-32.510%
$674.90
60.00
-40.00%
N/A
-40.000%
$600.00
50.00
-50.00%
N/A
-50.000%
$500.00
40.00
-60.00%
N/A
-60.000%
$400.00
30.00
-70.00%
N/A
-70.000%
$300.00
20.00
-80.00%
N/A
-80.000%
$200.00
10.00
-90.00%
N/A
-90.000%
$100.00
0.00
-100.00%
N/A
-100.000%
$0.00

PS-2| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the S&P 500® Index
The following graph demonstrates the hypothetical total returns and hypothetical payments at maturity on the notes at maturity for a sub-set of
Index Returns detailed in the table above (-60% to 80%). Your investment may result in a loss of some or all of your principal amount at
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maturity.
H ow t he N ot e s Work
I nde x Appre c ia t ion U pside Sc e na rio:
If the Final Value is greater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Index
Return times the Upside Leverage Factor of 1.2, subject to the Maximum Upside Return.
?
If the closing level of the Index increases 10.00%, investors will receive at maturity a 12.00% return, or $1,120.00 per $1,000 principal
amount note.
?
If the closing level of the Index increases 60.00%, investors will receive at maturity a return equal to the 45.00% Maximum Upside Return,
or $1,450.00 per $1,000 principal amount note, which is the maximum upside payment at maturity.
I nde x Pa r or I nde x De pre c ia t ion U pside Sc e na rio:
If the Final Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount of 32.50%, investors will
receive at maturity the $1,000 principal amount plus a return equal to the Absolute Index Return.
?
For example, if the closing level of the Index declines 10.00%, investors will receive at maturity a 10.00% return, or $1,100.00 per $1,000
principal amount note.
Dow nside Sc e na rio:
If the Final Value is less than the Initial Value by more than the Contingent Buffer Amount of 32.50%, investors will lose 1% of the principal
amount of their notes for every 1% that the Final Value is less than the Initial Value.
?
For example, if the closing level of the Index declines 50.00%, investors will lose 50.00% of their principal amount and receive only $500.00
per $1,000 principal amount note at maturity.
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 .
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-3| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the S&P 500® Index
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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 Final Value is less than the Initial Value by more than 32.50%, you will lose 1% of
the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances,
you will lose more than 32.50% of your principal amount at maturity and could lose all of your principal amount at maturity.
?
Y OU R M AX I M U M GAI N ON T H E N OT ES I S LI M I T ED BY T H E M AX I M U M U PSI DE RET U RN I F T H E I N DEX RET U RN I S
POSI T I V E --
If the Final Value is greater than the Initial Value, for each $1,000 principal amount note, you will receive at maturity $1,000 plus an
additional return equal to the Index Return times the Upside Leverage Factor, up to the Maximum Upside Return of 45.00% (corresponding
to a maximum payment at maturity of $1,450.00 per $1,000 principal amount note), regardless of the appreciation of the Index, which may
be significant.
?
Y OU R M AX I M U M GAI N ON T H E N OT ES I S LI M I T ED BY T H E CON T I N GEN T BU FFER AM OU N T I F T H E I N DEX
RET U RN I S N EGAT I V E --
Because the payment at maturity will not reflect the Absolute Index Return if the Final Value is less than the Initial Value by more than the
Contingent Buffer Amount, the Contingent Buffer Amount is effectively a cap on your return at maturity if the Index Return is negative. The
maximum payment at maturity if the Index Return is negative is $1,325.00 per $1,000 principal amount note.
?
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.
?
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.
?
T H E BEN EFI T PROV I DED BY T H E CON T I N GEN T BU FFER AM OU N T M AY T ERM I N AT E ON T H E OBSERV AT I ON
DAT E --
If the Final Value is less than the Initial Value by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer
Amount will terminate, and you will be fully exposed to any depreciation in the Index.
?
T H E N OT ES DO N OT PAY I N T EREST .
?
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 T H E 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.
?
T H E RI SK OF T H E CLOSI N G LEV EL OF T H E I N DEX FALLI N G BELOW T H E I N I T I AL V ALU E BY M ORE T H AN T H E
CON T I N GEN T BU FFER AM OU N T I S GREAT ER I F T H E V ALU E OF T H E 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
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because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs
include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See "JPMS's Estimated Value of the Notes"
in this pricing supplement.

PS-4| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the S&P 500® Index
?
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
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.
?
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 level of
the Index. 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 and Secondary
Market Prices of the Notes -- Secondary market prices of the notes will be impacted by many economic and market factors" in the
accompanying product supplement.

PS-5| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the S&P 500® Index
T he I nde x
The 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 U.S.® Indices" in the accompanying underlying supplement.
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H ist oric a l I nform a t ion
The following graph sets forth the historical performance of the Index based on the weekly historical closing levels of the Index from January 7,
2011 through April 22, 2016. The closing level of the Index on April 26, 2016 was 2,091.70. We obtained the closing levels below from the
Bloomberg Professional® service ("Bloomberg"), without independent verification.
The historical closing levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the
closing level of the Index on the Observation Date. We cannot give you assurance that the performance of the Index will result in the return of
any of your principal amount.
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.
4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk &
Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as "open transactions" that are
not debt instruments for U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income Tax Consequences -- Tax
Consequences to U.S. Holders -- Notes Treated as Open Transactions That Are Not Debt Instruments" in the accompanying product
supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold
your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not
respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected. In
addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward
contracts" and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to
these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these
instruments are or should be subject to the "constructive ownership" regime, which very generally can operate to recharacterize certain long-
term capital gain as ordinary

PS-6| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the S&P 500® Index
income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any
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Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.
Withholding under legislation commonly referred to as "FATCA" may (if the notes are recharacterized as debt instruments) apply to amounts
treated as interest paid with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at
maturity, of a note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount
treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential
application of FATCA to the notes.
Non-U.S. holders should also note that, notwithstanding anything to the contrary in the accompanying product supplement, recently promulgated
Treasury regulations imposing a withholding tax on certain "dividend equivalents" under certain "equity linked instruments" will not apply to 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 pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using our internal funding rate for
structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS's estimated value does
not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The
internal funding rate used in the determination of JPMS's estimated value generally represents a discount from the credit spreads for our
conventional fixed-rate debt. For additional information, see "Selected Risk Considerations --JPMS's Estimated Value Is Not Determined by
Reference to Credit Spreads for Our Conventional Fixed-Rate Debt."
The value of the derivative or derivatives underlying the economic terms of the notes is derived from JPMS's internal pricing models. These
models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of
which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, JPMS's estimated value of the notes is determined when the terms of the notes are set
based on market conditions and other relevant factors and assumptions existing at that time.
JPMS's estimated value does not represent future values of the notes and may differ from others' estimates. Different pricing models and
assumptions could provide valuations for notes that are greater than or less than JPMS's estimated value. In addition, market conditions and
other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could
change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements and other
relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
JPMS's estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and
hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and
may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a
loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See "Selected Risk Considerations -- JPMS's Estimated Value
of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes" in this pricing supplement.
Se c onda ry M a rk e t Pric e s of t he N ot e s
For information about factors that will impact any secondary market prices of the notes, see "Risk Factors -- Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes -- Secondary market prices of the notes will be impacted by many economic and market
factors" in the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price of
the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over
an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs
and our secondary market credit spreads for structured debt issuances. This initial predetermined time period is intended to be the shorter of six
months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates
expect to earn a profit in connection with our

PS-7| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the S&P 500® Index
hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See "Selected Risk
Considerations -- The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be
Higher Than JPMS's Then-Current Estimated Value of the Notes for a Limited Time Period."
http://www.sec.gov/Archives/edgar/data/19617/000114036116062363/form424b2.htm[4/28/2016 2:36:09 PM]

Supple m e nt a l U se of Proc e e ds
The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes. See
"Hypothetical Payout Profile" and "How the Notes Work" in this pricing supplement for an illustration of the risk-return profile of the notes and
"The Index" in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to JPMS's estimated value of the notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
V a lidit y of t he N ot e s
In the opinion of Davis Polk & Wardwell LLP, as our special products counsel, when the notes offered by this pricing supplement have been
executed and issued by us and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein,
such notes will be our valid and binding obligations, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and
similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including, without
limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of
the date hereof and is limited to the laws of the State of New York and the General Corporation Law of the State of Delaware. In addition, this
opinion is subject to customary assumptions about the trustee's authorization, execution and delivery of the indenture and its authentication of
the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel
dated February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by us on February 24, 2016.
Addit iona l T e rm s Spe c ific t o t he N ot e s
You should read this pricing supplement together with the prospectus, as supplemented by the prospectus supplement, each dated April 15,
2016, relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product
supplement no. 4-I dated April 15, 2016 and underlying supplement no. 1-I dated April 15, 2016. This pricing supplement, together with the
documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other
written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in "Risk
Factors" in the accompanying product supplement no. 4-I and "Risk Factors" in the accompanying underlying supplement no. 1-I, as the notes
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers
before you invest in the notes.
Y ou m a y a c c e ss t he se doc um e nt s on t he SEC w e bsit e a t w w w .se c .gov a s follow s (or if suc h a ddre ss ha s c ha nge d,
by re vie w ing our filings for t he re le va nt da t e on t he SEC w e bsit e ):
?
Product supplement no. 4-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012644/crt_dp64831-424b2.pdf
?
Underlying supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
?
Prospectus supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this pricing supplement, "we," "us" and "our" refer to JPMorgan Chase
& Co.

PS-8| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the S&P 500® Index
http://www.sec.gov/Archives/edgar/data/19617/000114036116062363/form424b2.htm[4/28/2016 2:36:09 PM]

Document Outline

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