Structured Investments

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1 J.P. Morgan Structured Products B.V. Pricing Supplement dated 22 April 2016 Guaranteed by JPMorgan Chase Bank, N.A. ISIN: XS Structured Products Programme for the Common Code: issuance of Notes, Warrants and Certificates CINS: N47481HC8 Structured Investments Issue of USD 1,000,000 Capped Return Enhanced Certificates Linked to the IBEX 35 Index due April 2018 (the "Securities") Purchase of these Securities involves substantial risks: The Securities are complex instruments (and may be "derivative securities" under the Prospectus Directive) and investors should ensure that they understand the nature of the risks posed by, and the extent of their exposure under, the Securities. Investors should make all pertinent inquiries they deem necessary without relying on the Issuer, the Guarantor or the Dealer. Investors should consider the suitability of the Securities as an investment in light of their own circumstances, investment objectives, tax position and financial condition. Investors should consider carefully all the information set forth herein along with all the information set forth in the offering circular dated 28 April 2015 and the supplements to the offering circular listed in "Supplements to the Offering Circular" below (as so supplemented, the "Offering Circular"). Investors should pay particular attention to the sections entitled "Risk Factors" herein and in the Offering Circular (pages 25 to 72 inclusive). Investors that purchase the Securities after the date hereof, should review the most recent restatement (if any) of the Offering Circular and each supplement thereafter up to (and including) the date of purchase to ensure that they have the most up to date information on the Issuer and the Guarantor on which to base their investment decision (note that the terms and conditions of the Securities will remain as described herein and the version of the Offering Circular described in the paragraph immediately above, subject to any amendments notified to holders). Each supplement and restatement to this Offering Circular can be found on ( and ( This document constitutes the Pricing Supplement (the "Pricing Supplement") of the Securities described herein and must be read in conjunction with the Offering Circular. This Pricing Supplement describes the specific terms of the offering of the Securities and also adds to information contained in the accompanying Offering Circular and any other information supplied in connection with the issue of the Securities. Capitalized terms not defined herein shall have the meanings assigned to them in the Offering Circular. Terms used herein shall be deemed to be defined as such for the purposes of the General Conditions and Specific Product Provisions set forth in the Offering Circular (as may be amended and/or supplemented up to, and including, the Issue Date, the "Conditions"). For the purposes of the Conditions, this Pricing Supplement shall be deemed to and shall have the effect of a Pricing Supplement referred to in the Conditions, and any provision in the Conditions applicable to a Pricing Supplement shall be applicable to such Pricing Supplement. The Offering Circular (as completed by the Pricing Supplement) has been prepared on the basis that any offer of Securities in any Member State of the European Economic Area that has implemented the Prospectus Directive (each, a "Relevant Member State") will be made pursuant to an exemption under the Prospectus Directive, as implemented in such Relevant Member State, from the requirement to publish a prospectus for offers of the Securities. The expression "Prospectus Directive" means Directive 2003/71/EC (and amendments thereto, including by Directive 2010/73/EU), and includes any relevant implementing measure in a Relevant Member State. Accordingly, any person making or intending to make an offer of the Securities in a Relevant Member State may only do so in circumstances in which no obligation arises for the Issuer or the Dealer to publish a prospectus pursuant to Article 3 of the Prospectus Directive or supplement a prospectus pursuant to Article 16 of the Prospectus Directive, in each case, in relation to such offer. Neither the Issuer nor the Dealer has authorized, nor do they authorize, the making of any offer of Securities in any other circumstances. The Securities and the Guarantee discussed herein have not been and will not be registered under the U.S. Securities Act of 1933, as amended (the "Act"), and may not be at any time offered, sold, pledged, assigned, delivered, transferred, exchanged, exercised or redeemed within the United States (except in "offshore transactions" (as defined in Regulation S under the Act ("Regulation S"))) or to or for the account or benefit of any "U.S. person" (as defined in Regulation S). The Securities may not be offered, sold or held by any person that is not a "non-u.s. holder" within the meaning of the U.S. Internal Revenue Code of 1986, as amended, and the regulations thereunder. The Securities and the Guarantee are being offered and sold only in "offshore transactions" to non-u.s. persons in reliance on Regulation S under the Act (or, in the case of the Guarantee, in reliance upon the exemption from the registration requirements of the Act provided by section 3(a)(2) thereof and in compliance with Regulation S as such regulation is incorporated into the regulations of the U.S. Comptroller of the Currency) and may not be legally or beneficially owned at any time by any U.S. person. Neither the Securities nor the Guarantee are deposits insured by the U.S. Federal Deposit Insurance Corporation, the U.S. Deposit Insurance Fund or any other governmental agency or instrumentality. Full information with respect to the Issuer, the Guarantor and the offer of the Securities described herein is only available on the basis of the combination of the Offering Circular, and the Preliminary Pricing Supplement or Pricing Supplement, as applicable. The Offering Circular is available for viewing at the websites listed above and copies may be obtained from the offices of the Paying Agents, The Bank of New York Mellon (Luxembourg) S.A., Vertigo Building Polaris, 2-4 rue Eugène Ruppert, L-2453 Luxembourg, and are available from the Distributor. 04-# L

2 KEY TERMS OF THE SECURITIES Issuer: Guarantor: Status: PART A CONTRACTUAL TERMS J.P. Morgan Structured Products B.V. JPMorgan Chase Bank, N.A. Senior, unsecured Specified Currency: U.S. dollars ("USD" or "$") Notes, Warrants or Certificates: Reference Asset: Certificates IBEX 35 Index (Bloomberg Ticker: IBEX) (the "Index") See "Information about the Reference Asset" Aggregate Notional Amount: USD 1,000,000 Notional Amount per Security: Issue Price: USD 1,000 (the "Notional Amount") 100% of the Aggregate Notional Amount as of the Trade Date. The Securities may thereafter be offered from time to time for sale at market prices prevailing at the time of sale, at prices related to then-prevailing prices or at negotiated prices. See "Hedging and Projected Profit" and "Risk Factors Inclusion of selling commissions and hedging related amounts in the Issue Price" Minimum Trading Size: USD 10,000, and thereafter, in multiples of USD 1,000 Cash or Physical Settlement: Initial Index Level: Final Index Level: Closing Index Level: Cash Settlement 8,850.90, the Closing Index Level with respect to the Initial Valuation Date The Initial Index Level is subject to adjustment in accordance with the Index Linked Provisions. The Closing Index Level with respect to the Valuation Date With respect to any date of determination, the official closing level of such Index at the Valuation Time with respect to such date of determination as calculated and published by the Index Sponsor, all as determined by the Calculation Agent, subject to the Index Linked Provisions. See "Risk Factors Risks with respect to Certain Events Affecting the Index" Trade Date / Initial Valuation Date: 15 April 2016 Issue Date: 22 April 2016 Valuation Date : 16 April 2018 If such date as originally scheduled is not a Scheduled Trading Day or is a Disrupted Day, the applicable date will be deemed to be the next following Scheduled Trading Day, subject to the Index Linked Provisions. Settlement Date and Redemption Date : 23 April 2018 (the "Final Redemption Date") If such date as originally scheduled is not a Payment Day or upon the occurrence of a Payment Disruption Event, the applicable date will be deemed to be postponed in accordance with the Conditions. ii

3 Redemption Amount: With respect to each Security of the Notional Amount, the payment on the Final Redemption Date (the "Redemption Amount") will be as follows: (i) If the Final Index Level is equal to or greater than the Initial Index Level: An amount in USD calculated as follows: (ii) Notional Amount + (Notional Amount * Index Return * Leverage Factor), subject to the Maximum Return; If the Final Index Level is less than the Initial Index Level: An amount in USD calculated as follows: Notional Amount + (Notional Amount * Index Return) If the Final Index Level is less than the Initial Index Level, investors will receive an amount at maturity that reflects the full decline in the Final Index Level below the Initial Index Level and this would result in the loss of some, a substantial portion or all of their initial investment. Leverage Factor: 2.0 Maximum Return: Index Return: Settlement Type: 61.00%. For example, if the Index Return is equal to or greater than 30.50%, investors will receive the Maximum Return of 61.00%, which entitles such investors to a maximum payment on the Final Redemption Date of USD 1, per Security of the Notional Amount. A percentage reflecting the performance of the Index, calculated as follows: Final Index Level - Initial Index Level Initial Index Level Notional SPECIFIC PRODUCT PROVISIONS APPLICABLE TO THE SECURITIES Index Linked Provisions: Single Index or Basket of Indices: Index: Type of Index: Exchange: Related Exchanges: Index Sponsor: Valuation Time: Maximum Days of Disruption: Fallback Valuation Date: Change in Law-Increased Cost / Hedging Disruption: Applicable For the avoidance of doubt, the Share Linked Provisions, Commodity Linked Provisions, FX Linked Provisions, Market Access Provisions and Low Exercise Price Warrant Provisions will not be applicable. Single Index The Reference Asset specified above Unitary Index Spanish Stock Market All Exchanges Sociedad de Bolsas, S.A. With respect to any date of determination, the time at which the official closing level of the Index is calculated and published by the Index Sponsor, subject to Index Linked Provision 7. Three Scheduled Trading Days The second Business Day prior to the Final Redemption Date iii

4 GENERAL PROVISIONS APPLICABLE TO THE SECURITIES Form of Securities: Additional Financial Centers (General Condition 12.2): Payment Disruption Events (General Condition 13): Relevant Currency: Gross Up (General Condition 18): Exclude Section 871(m) Taxes from Gross Up (General Condition 18): Calculation Agent: Extraordinary Hedge Disruption Event (General Condition 17): Extraordinary Hedge Sanctions Event / Extraordinary Hedge Bail-in Event / Extraordinary Hedge Currency Disruption Event: Early Redemption for Tax on Underlying Hedge Transactions (General Condition 18.4): Physical Settlement: Registered Securities Temporary Registered Global Security which is exchangeable for a Permanent Registered Global Security, each of which is exchangeable for Registered Definitive Securities (i) automatically in the limited circumstances specified in the relevant Registered Global Security or (ii) in the case of a Permanent Registered Global Security only, at any time at the option of the Issuer by giving notice to the Holders and the Registrar of its intention to effect such exchange on the terms as set forth in the relevant Permanent Registered Global Security. New York and London Applicable USD Applicable; provided that Section 871 Taxes will be excluded from any Gross Up See General Condition 18 in the Offering Circular Applicable J.P. Morgan Securities LLC ("JPMS") Applicable Applicable DISTRIBUTION Method of Distribution: Name and Address of Dealer: U.S. Selling Restrictions: Additional Selling Restrictions: Non-syndicated J.P. Morgan Securities plc ("JPMS plc") of 25 Bank Street, Canary Wharf, London E14 5JP with JPMS of 383 Madison Avenue, 5th Floor, New York, NY as agent for JPMS plc. Regulation S ERISA Restrictions for all Securities (including Rule 144A Securities and Securities subject to Regulation S) JPMSP Standard Restrictions apply: The Securities may not be acquired by, on behalf of, or with the assets of any plans subject to ERISA or Section 4975 of the U.S. Internal Revenue Code of 1986, as amended, other than certain insurance company general accounts. See "Subscription and Sale United States" and "Purchaser representations and requirements and transfer restrictions ERISA Legends and ERISA Restrictions (b) JPMSP Standard Restrictions" in the Offering Circular. GOVERNING LAW AND JURISDICTION Securities: Guarantee: English Law/Courts of England English Law/Courts of England iv

5 RESPONSIBILITY Each of the Issuer and the Guarantor accepts responsibility for the information contained herein. Information with respect to the Reference Asset has been extracted from publicly available sources. Each of the Issuer and the Guarantor confirms that such information has been accurately reproduced and that, so far as it is aware, and is able to ascertain from such sources, no facts have been omitted which would render the reproduced information inaccurate or misleading. An investor intending to acquire or acquiring any Securities from a distributor will do so, and offers and sales of the Securities to an investor by such distributor will be made, in accordance with any terms and other arrangements in place between such distributor and such investor including as to price, allocations and settlement arrangements. The Issuer will not be a party to any such arrangements with investors (other than the Dealer), in connection with the offer or sale of the Securities and, accordingly, such information may not be contained herein. If such information is not contained herein, an investor must look to the distributor at the time of such offer for the provision of such information. If such information is contained herein, it has been provided by the distributor without independent verification by the Issuer. In no event will the Issuer be responsible to an investor with respect to any such information. v

6 LISTING AND ADMISSION TO TRADING RATINGS PART B OTHER INFORMATION INTERESTS OF NATURAL AND LEGAL PERSONS INVOLVED IN THE ISSUE Save as discussed in the section of the Offering Circular entitled "Subscription and Sale", so far as the Issuer is aware, no person involved in the issue of the Securities has an interest material to the issue. REASONS FOR THE ISSUE, ESTIMATED NET PROCEEDS AND TOTAL EXPENSES Reasons for the issue: Estimated net proceeds: Estimated total expenses: POST-ISSUANCE INFORMATION The Issuer will not provide any post-issuance information with respect to the Reference Asset, unless required to do so by applicable law or regulation. OPERATIONAL INFORMATION Intended to be held in a manner which would allow Eurosystem eligibility: ISIN: CINS: Common Code: Relevant Clearing System(s) and the relevant identification number(s): Delivery: The Agents appointed with respect to the Securities are: Registrar: No As specified on the front cover of this document As specified on the front cover of this document As specified on the front cover of this document Euroclear/Clearstream, Luxembourg Delivery against payment As set out in the Agency Agreement The Bank of New York Mellon (Luxembourg) S.A. vi

7 PART C SUPPLEMENTAL DISCLOSURES TABLE OF CONTENTS INFORMATION ABOUT THE REFERENCE ASSET... 2 HISTORICAL INFORMATION... 3 HEDGING AND PROJECTED PROFIT... 4 RISK FACTORS... 4 NOTICE TO INVESTORS... 9 SUPPLEMENTS TO THE OFFERING CIRCULAR... 10

8 INFORMATION ABOUT THE REFERENCE ASSET The information included herein with respect to the Reference Asset consists only of extracts from, or summaries of, publicly available information. The Issuer confirms that such information has been accurately reproduced and that as far as the Issuer is aware and is able to ascertain from publicly available information, no facts have been omitted which would render the reproduced information inaccurate or misleading. No further or other responsibility with respect to such information is accepted by the Issuer and the Guarantor and no responsibility whatsoever is accepted by JPMS plc or JPMS. In particular, none of the Issuer, the Guarantor, JPMS plc or JPMS accepts responsibility with respect to the accuracy or completeness of the information set forth herein concerning the Reference Asset or that no event has occurred that would affect the accuracy or completeness of such information. According to publicly available information, the IBEX 35 Index (the "Index") is a benchmark index for the Spanish equity markets. The Index measures the performance of 35 most liquid securities traded on the Spanish Stock Market. The Index is price return index and market cap-weighted after adjusting constituents for float. For further information on the Index, see Information contained on such website is not incorporated by reference in, and should not be considered a part of, this document. INDEX DISCLAIMER The Securities are not sponsored, endorsed, sold or promoted by Sociedad de Bolsas. Sociedad de Bolsas has not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to the Securities. Sociedad de Bolsas makes no representation or warranty, express or implied to the owners of the Securities or any member of the public regarding the advisability of investing in securities generally or in the Securities particularly, or the ability of the IBEX 35 Index to track general stock market performance. Sociedad de Bolsas has no relationship to JPMorgan other than the licensing of the IBEX 35 Index and the related trademarks for use in connection with the Securities, the IBEX 35 Index is determined, composed and calculated by Sociedad de Bolsas without regard to JPMorgan or the Securities. Sociedad de Bolsas has no obligation to take the needs of JPMorgan or the holders of the Securities into consideration in determining, composing or calculating the IBEX 35 Index. Sociedad de Bolsas is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Securities to be issued or in the determination or calculation of the equation by which the Securities are to be converted into cash. Sociedad de Bolsas has no liability in connection with the administration, marketing or trading of the Securities. Sociedad de Bolsas, owner of the IBEX 35 Index and registered holder of the corresponding trademarks associated with it, does not sponsor, promote, or in any way evaluate the advisability of investing in the Securities and the authorisation granted to the Issuer for the use of IBEX 35 trademark does not imply any approval in relation with the information offered by the Issuer or with the usefulness or interest in the investment in the Securities. Sociedad de Bolsas does not warrant in any case nor for any reason whatsoever: The continuity of the composition of the IBEX 35 Index exactly as it is today or at any other time in the past. The continuity of the method for calculating the IBEX 35 Index exactly as it is calculated today or at any other time in the past. The continuity of the calculation, formula and publication of the IBEX 35 Index. The precision, integrity or freedom from errors or mistakes in the composition and calculation of the IBEX 35 Index. The suitability of the IBEX 35 Index for the anticipated purposes for the Securities. The parties to the Securities acknowledge the rules for establishing the prices of the securities included in the IBEX 35 Index and of said index in accordance with the free movement of sales and purchase orders within a neutral and transparent market and undertake to respect the same and to refrain from any action not in accordance therewith. This document relates only to the Securities and does not relate to the Reference Asset. All disclosure contained herein regarding the Reference Asset has been derived from the publicly available documents referenced above. In connection with this offering of the Securities, none of the Issuer, the Guarantor or the Dealer has participated in the preparation of such documents or made any due diligence inquiry with respect to the Reference Asset. None of the Issuer, the Guarantor or the Dealer makes any representation that such publicly available documents are, or any other publicly available information regarding the Reference Asset is, accurate or complete. Furthermore, none of the Issuer, the Guarantor or the Dealer can give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the value or level of the Reference Asset have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Reference Asset could affect the market value of, or any amounts payable under, the Securities. Investors in the Securities should conduct their own investigation into the Reference Asset. 2

9 HISTORICAL INFORMATION The following graph sets forth the historical performance of the Index based on the daily Closing Index Levels for the period indicated. The Closing Index Level on 15 April 2016 was 8, The Issuer obtained the Closing Index Levels and other information below from Bloomberg Financial Markets. None of the Issuer, the Guarantor or the Dealer makes any representation or warranty as to the accuracy or completeness of this historical information obtained from Bloomberg Financial Markets. The historical performance of the Index should not be taken as an indication of future performance, and no assurance can be given as to the Closing Index Level with respect to any future date. None of the Issuer, the Guarantor or the Dealer can give investors assurance that the performance of the Index will result in the return of any of their initial investment. Past performance is not indicative of future performance. 14,000 Historical Performance of the Index 12,000 10,000 Index Level 8,000 6,000 4,000 2,000 0 Jan-11 Aug-11 Mar-12 Oct-12 May-13 Dec-13 Jul-14 Feb-15 Sep-15 Apr-16 Source: Bloomberg 3

10 HEDGING AND PROJECTED PROFIT The Issue Price includes the compensation paid to JPMS, JPMS plc or one or more of their affiliates with respect to the Securities and the cost of hedging the Issuer's obligations under the Securities through one or more of its affiliates. The cost of hedging includes the projected profit that the Issuer's affiliates expect to realize in consideration for assuming the risks inherent in hedging the Issuer's obligations under the Securities. Because the actual cost of hedging the Issuer's obligations entails risk and may be influenced by market forces beyond the Issuer's or its affiliates' control, such hedging may result in a profit that is more or less than expected, or it may result in a loss. RISK FACTORS The return of the Securities is linked to the performance of the Reference Asset. Investing in the Securities is not equivalent to a direct investment in the Reference Asset. This section describes the most significant risks relating to the Securities. Potential investors are urged to read the following information about these risks, together with the other information herein and the Offering Circular, before investing in the Securities. ADDITIONAL TAX CONSIDERATION Non-U.S. Holders should note that for Securities issued prior to 1 January 2017, recently issued U.S. Treasury regulations that could impose a 30% (or lower treaty rate) withholding tax on amounts that are treated as attributable to U.S. source dividends on equities underlying financial instruments such as the Securities, will not apply. Although not entirely certain, withholding should also not apply to any payment on a security issued prior to 1 January 2017 if it is physically settled. In no event will the Issuer pay any additional amounts to a holder of the Securities on account of such withholding tax. RISKS RELATED TO GENERAL CHARACTERISTICS OF THE SECURITIES Credit risk of the Issuer and the Guarantor The Securities are subject to the credit risk of the Issuer and the Guarantor, and changes in their respective credit ratings and credit spreads may adversely affect the market value of the Securities. An investor will be dependent on the Issuer's and the Guarantor's ability to pay all amounts due with respect to the Securities, and therefore investors are subject to their credit risk and to changes in the market's view of their creditworthiness. Any decline in the credit ratings or increase in the credit spreads charged by the market for taking credit risk with respect to the Issuer and the Guarantor is likely to adversely affect the market value of the Securities. If the Issuer and the Guarantor were to default on their payment obligations, an investor may not receive any amounts owed to it under the Securities and could lose its entire initial investment. Risk of loss of initial investment The Securities differ from ordinary debt securities in that the Issuer will not necessarily repay invested principal in full at maturity and the Securities do not provide for the payment of any interest. If the Final Index Level is less than the Initial Index Level, investors will receive an amount at maturity that reflects the full decline in the Final Index Level below the Initial Index Level, resulting in the loss of some, a substantial portion or all of their initial investment. Investors in the Securities should be willing to hold the Securities to maturity. If investors are able to sell their Securities prior to such date in the secondary market, they may have to sell them at a loss relative to their initial investment even if the level of the Index has never declined below the Initial Index Level. Risks with respect to the return of the Securities The Issuer will not make periodic coupon payments with respect to the Securities, and the Securities will not necessarily provide a positive return. If the Final Index Level is less than the Initial Index Level, investors will not receive a positive return with respect to the Securities and will lose some, a substantial portion or all of their initial investment. The maximum possible return with respect to the Securities is limited The return potential of the Securities is limited to the Maximum Return, regardless of any greater appreciation of the Index. An investor will not participate in the levered return of the Index above the Maximum Return even though an investor will be subject to the Index's risk of decline. As a result, the return with respect to an investment in the Securities could be less than the return with respect to a direct investment in the Index. In addition, if an investor does not earn sufficient return at maturity, the overall return with respect to the Securities may be less than the amount that would be paid with respect to a conventional debt security of the Issuer of comparable maturity. Risks with respect to the investment views of the Securities It is impossible to predict whether and the extent to which the level of the Index will rise or fall. There can be no assurance that the Final Index Level will be at or above the Initial Index Level. The level of the Index will be influenced by complex and interrelated political, economic, financial and other factors that affect the Index and the securities that comprise the Index. Investors should be willing to accept the downside risks of owning equities in general and the Index in particular, and the risk of losing some, a substantial portion or all of their initial investment. RISKS RELATED TO LIQUIDITY AND SECONDARY MARKET ISSUES Inclusion of selling commissions and hedging related amounts in the Issue Price The market value and the price at which investors will be able to sell their Securities to the Issuer or its affiliates prior to maturity, if at all, may each be at a substantial discount from the Issue Price. The inclusion of amounts with respect to commissions and expected issuer profits relating to the issue and sale of the Securities as well as amounts relating to the hedging of the Issuer's obligations under the Securities in the Issue Price is likely to adversely affect the market value and the price at which the Issuer or its affiliates are willing, if at all, to repurchase the Securities. Arrangements relating to the hedging of the Securities will have been premised on the Securities being held to maturity and the early termination of such arrangements in the event of an early repurchase of the Securities may result in substantial costs reflected in a reduction of the repurchase price. The potential returns described herein assume that the 4

11 Securities, which are not designed to be short-term trading instruments, are held to maturity. In addition, while the proprietary pricing models of the Issuer or its affiliates are generally based on well-recognized financial principles, other market participants' pricing models may differ and produce different results. Liquidity risk with respect to the Securities Investors should be willing to hold the Securities to maturity. There may be little or no secondary market for the Securities. The Securities will not be listed or displayed on any securities exchange or any electronic communications network. JPMS, or another affiliate of the Issuer, may make a market for the Securities, although it is not required to do so. Such affiliate of the Issuer may stop any such market making activities at any time. If investors sell their Securities before maturity, they may have to do so at a substantial discount from the Issue Price, and as a result, they may suffer substantial losses. Market risks with respect to the Securities The market value of the Securities may fluctuate between the date an investor purchases the Securities and each applicable date of valuation. Several factors, many of which are beyond the control of the Issuer, will influence the market value of the Securities. The Issuer expects that, generally, the level of the Index on any day will affect the market value of the Securities more than any other single factor. Other factors that may influence the market value of the Securities include: the volatility of the Index (i.e., the frequency and magnitude of changes in the level of the Index); the dividend rate paid with respect to the securities that comprise the Index (while not paid to the holders of the Securities, dividend payments may affect the level of the Index and, therefore, the market value of the Securities); interest rates in the market; the time remaining to maturity; supply and demand for the Securities; and economic, financial, political, regulatory or judicial events that affect the level of the Index, the securities that comprise the Index or that affect markets generally. These factors interrelate in complex and unpredictable ways, and the effect of one factor on the market value of the Securities may offset or enhance the effect of other factors. RISKS RELATED TO THE GENERAL CHARACTERISTICS OF THE REFERENCE ASSET Risks with respect to certain events affecting the Index The occurrence of certain events, including an Index Adjustment Event or Additional Disruption Event (e.g., the replacement of its Index Sponsor, modification, cancellation or disruptions to the Index, subsequent correction of the Closing Index Level or certain changes in law), may affect payments under the Securities. If the Calculation Agent was to determine that any of these events had occurred, this could result in the Calculation Agent (i) making adjustments to the terms of the Securities, (ii) substituting another reference asset for the Index or (iii) redeeming the Securities early for the Early Payment Amount, at a potential substantial loss of an investor's initial investment. Additionally, if the Calculation Agent determines that a Market Disruption Event (i.e., an event that may affect the valuation of the Index or, possibly its content or formula including, for example, failure to publish the level of the Index or various other events and circumstances) has occurred or exists with respect to any date of valuation, such date may be postponed and/or alternative provisions with respect to the valuation of the Index or the payment terms of the Securities may apply, which could be exercised by the Calculation Agent in a manner that has an adverse effect on the market value of, or any amounts payable under, the Securities. The Offering Circular contains additional information relating to the terms of the Securities, and investors are urged to read the Offering Circular and the contractual provisions of the Pricing Supplement as they relate to such terms. The Issuer and its affiliates have no affiliation with the Index Sponsor and are not responsible for its public disclosure of information, whether contained in SEC filings or otherwise The Issuer and its affiliates are not affiliated with the sponsor of the Index (the "Index Sponsor") and have no ability to control or predict their actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the Index. The Index Sponsor is not involved in the offering of the Securities in any way. The Index Sponsor does not have any obligation to consider an investor's interests as an investor in the Securities in taking any actions that might affect the market value of, or any amounts payable under, the Securities. The Issuer has derived the information about the Index Sponsor and the Index from publicly available information, without independent verification. Neither the Issuer nor its affiliates have conducted any independent review or due diligence of any publicly available information relating to the Index Sponsor or the Index with respect to the issuance of the Securities. Potential investors in the Securities should conduct their own independent investigation into the Index Sponsor and the Index. Changes that affect the Index may affect the market value of, or any amounts payable under, the Securities The policies of the Index Sponsor concerning the calculation of the Index, additions, deletions or substitutions of the securities that comprise the Index and the manner in which changes affecting such securities or their respective companies (such as stock dividends, reorganizations or mergers) are reflected in the Index, and could affect the level of the Index and, therefore, the market value of, or any amounts payable under, the Securities. The market value of, or any amounts payable under, the Securities could also be affected if the Index Sponsor changes these policies, for example by changing the manner in which it calculates the Index. If the Index Sponsor discontinues or suspends the calculation of the Index, it may become difficult to determine the market value of, or any amounts payable under, the Securities. In such event, the Calculation Agent may designate a successor index. If the Calculation Agent determines that no successor index comparable to the Index exists, the payment an investor receives under the Securities will be determined by the Calculation Agent. If events such as these occur, or if the Closing Index Level on any date of valuation is not 5

12 available because of a Market Disruption Event or for any other reason, and no successor index is selected, the Calculation Agent, which is an affiliate of the Issuer, may determine such Closing Index Level in a manner it considers appropriate. Market risks with respect to the Index The companies whose securities comprise the Index are subject to various market risks. Consequently, the level of the Index may fluctuate depending on the markets in which the companies whose securities comprise the Index operate. The level of the Index can rise or fall sharply due to factors specific to the Index and companies whose securities comprise the Index, such as equity or commodity price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions, and due to general market factors, such as general stock or commodity market volatility and levels, interest rates, and economic and political conditions. Changes in the level of the Index during the periods between each date of valuation may not be reflected in the determinations of amounts payable under the Securities. The Calculation Agent will determine amounts payable under the Securities by observing only the Closing Index Level with respect to the applicable dates of valuation. Owning the Securities is not the same as owning the Index The return with respect to the Securities may not reflect the return investors would realize if they actually owned the securities that comprise the Index. The following factors, among others, may cause the financial return with respect to the Securities to differ from the financial return investors would receive by investing directly in the securities that comprise the Index: the return with respect to such a direct investment in the securities that comprise the Index would be uncapped; in the case of a direct investment in the securities that comprise the Index, the return could include substantial dividend payments or other rights, which investors in the Securities will not receive; a direct investment in the securities that comprise the Index is likely to have tax consequences that are different from an investment in the Securities; and a direct investment in the securities that comprise the Index may have greater liquidity than the Securities and to the extent there are commissions or other fees in relation to a direct investment in such securities, such commissions or other fees may be lower than the commissions and fees applicable to the Securities. Historical performance is not indicative of future performance The historical performance of the Index should not be taken as an indication of future performance. No assurance can be given as to the Closing Index Level with respect to any future date and, accordingly, the amount payable under the Securities. The trading price of the securities that comprise the Index, and consequently the level of the Index, will be influenced by complex and interrelated political, economic, financial, judicial, force majeure and other factors that can affect the trading prices of such securities. Fluctuations relating to exchange rates may affect the market value of the Securities Fluctuations in exchange rates may affect the market value of the Securities since the securities that comprise the Index are quoted and traded in a non-usd currency. In recent years, the exchange rates between USD and some other currencies have been highly volatile, and this volatility may continue in the future. Risks relating to exchange rate fluctuations generally depend on economic and political events over which neither the Issuer nor its affiliates have control. Fluctuations in any particular exchange rate that have occurred in the past are not necessarily indicative, however, of fluctuations that may occur during the term of the Securities. Changes in the exchange rate between USD and a non-usd currency may affect USD equivalent of the price of any relevant security, futures contract or commodity on non-u.s. markets and, as a result, may affect the market value of the Securities. As a consequence, such fluctuations could adversely affect an investment in the Securities since the securities that comprise the Index are quoted and traded in a non-usd currency. In addition, foreign exchange rates can either be floating or fixed by sovereign governments. Exchange rates of the currencies used by most economically developed nations are permitted to fluctuate in value relative to USD and to each other. However, from time to time governments and, in the case of countries using the euro, the European Central Bank, may use a variety of techniques, such as intervention by a central bank in foreign exchange, money markets, sovereign debt or other financial markets, the imposition of regulatory controls or taxes or changes in interest rates to influence the exchange rates of their currencies. Governments may also issue a new currency to replace an existing currency or alter the exchange rate or relative exchange characteristics by a devaluation or revaluation of a currency. These governmental actions could change or interfere with currency valuations and currency fluctuations that would otherwise occur in response to economic forces, as well as in response to the movement of currencies across borders. As a consequence, these government actions could adversely affect an investment in the Securities since the securities that comprise the Index are quoted and traded in a non-usd currency. The Issuer will not make any adjustment or change in the terms of the Securities in the event that applicable exchange rates should become fixed, or in the event of any devaluation or revaluation or imposition of exchange or other regulatory controls or taxes, or in the event of other developments affecting USD or any relevant non-usd currency. An investor in the Securities will bear any such risks, which are substantial and material. An investment in the Securities may be subject to risks associated with non-u.s. securities or futures markets The securities that comprise the Index are traded on non-u.s. markets. An investment in securities linked directly or indirectly to the value of non-u.s. equity securities or non-u.s. exchange-traded futures contracts involves particular risks. Generally, non-u.s. securities and futures markets may be more volatile than U.S. securities and futures markets, and market developments may affect non- U.S. markets differently from U.S. securities and futures markets. Direct or indirect government intervention to stabilize these non- U.S. markets, as well as cross shareholdings in non-u.s. companies, may affect trading prices and volumes in those markets. There is generally less publicly available information about non-u.s. companies than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-u.s. companies are subject to accounting, auditing and financial reporting standards and 6

13 requirements that differ from those applicable to U.S. reporting companies. Similarly, regulations of the Commodity Futures Trading Commission generally do not apply to trading on non-u.s. exchanges, and trading on non-u.s. exchanges may involve different and greater risks than trading on United States exchanges. Securities and futures prices in non-u.s. countries are subject to political, economic, financial and social factors that may be unique to the particular country. These factors, which could negatively affect the non-u.s. securities and futures markets, include the possibility of recent or future changes in the non-u.s. government's economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other non-u.s. laws or restrictions applicable to non-u.s. companies or investments in non-u.s. equity securities or futures contracts and the possibility of fluctuations in the rate of exchange between currencies. Moreover, certain aspects of a particular non-u.s. economy may differ favorably or unfavorably from the U.S. economy in important respects, such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. Finally, it will likely be more costly and difficult to enforce the laws or regulations of a non-u.s. country or exchange. Conflict of interests with respect to the Calculation Agent POTENTIAL CONFLICTS OF INTEREST An affiliate of the Issuer, J.P. Morgan Securities LLC, will serve as the Calculation Agent. The Calculation Agent will, among other things, determine the Closing Index Level with respect to any applicable date of valuation and, accordingly, the amount payable under the Securities. For example, the Calculation Agent may have to determine whether a Market Disruption Event affecting the Index has occurred or is continuing on a day when the Calculation Agent will determine the Closing Index Level. This determination may, in turn, depend on the Calculation Agent's judgment of whether the event has materially interfered with the Issuer's ability or the ability of any of its affiliates to maintain or unwind its or their hedge positions. Because these determinations by the Calculation Agent may affect the market value of the Securities, the Calculation Agent may have a conflict of interest if it needs to make any such decision. For a fuller description of the Calculation Agent's role, see "Calculation Agent, Determination, Disclaimer of Liability and other terms" in the Offering Circular. Conflict of interests with respect to trading activities of the Issuer or its affiliates The Issuer or its affiliates may hedge their obligations under the Securities by purchasing the securities that comprise the Index or over-the-counter derivative instruments with returns linked or related to changes in the performance of the Index or the securities that comprise the Index, and they may adjust these hedges by, among other things, purchasing or selling the securities that comprise the Index or such related derivative instruments at any time. Although they are not expected to, any of these hedging activities may adversely affect the level of the Index and, therefore, the market value of, or any amounts payable under, the Securities. It is possible that the Issuer or its affiliates could receive substantial returns from these hedging activities while the market value of the Securities declines. The Issuer or its affiliates may also engage in trading in the securities that comprise the Index and other investments relating to the Index or the securities that comprise the Index on a regular basis as part of their general broker-dealer and other businesses for proprietary accounts or accounts under management, or to facilitate transactions for customers, including block transactions. Any of these activities could adversely affect the level of the Index and, therefore, the market value of, or any amounts payable under, the Securities. The Issuer or its affiliates may also issue or underwrite other financial or derivative instruments with returns linked or related to changes in the performance of the Index or the securities that comprise the Index. By introducing competing products into the marketplace in this manner, the Issuer or its affiliates could adversely affect the market value of, or any amounts payable under, the Securities. Conflict of interests with respect to business activities of the Issuer or its affiliates The Issuer and its affiliates may, at present or in the future, engage in business with companies whose securities comprise the Index, including making loans to or providing advisory services to such companies. These services could include investment banking and merger and acquisition advisory services. These activities may present a conflict between the obligations of the Issuer or another affiliate of the Issuer and the interests of holders of the Securities as beneficial owners of the Securities. Any of these activities by the Issuer or any of its affiliates may affect the Closing Index Level and, therefore, the market value of, or any amounts payable under, the Securities. Conflict of interests with respect to research, opinions or recommendations of the Issuer or its affiliates The Issuer and its affiliates may publish research from time to time on financial markets and other matters that influence the market value of the Securities or may express opinions or provide recommendations that are inconsistent with purchasing or holding the Securities. The Issuer and its affiliates may have published research, expressed opinions or made recommendations that call into question the investment view implicit in the Securities. Any research, opinions or recommendations expressed by the Issuer or its affiliates may not be consistent with each other and may be modified from time to time without notice. Investors should make their own independent investigation of the merits of investing in the Securities and the Index to which the Securities are linked. The Issue Price at which different investors may buy the Securities may differ The Issue Price as of the Trade Date is listed in Part A and, thereafter, the Securities may be offered from time to time for sale at market prices prevailing at the time of sale, at prices related to then-prevailing prices or at negotiated prices. Accordingly, there is a risk that the price investors pay for the Securities will be higher than the prices paid by other investors based on the date and time investors make their purchase, from whom they purchase the Securities, any related transaction cost, whether they hold the Securities in a brokerage account, a fiduciary or fee-based account or another type of account and other market factors beyond the Issuer's control. THE "RISK FACTORS" IN THE OFFERING CIRCULAR (PAGES 25 to 72 INCLUSIVE) AND THE LIST OF RISKS ABOVE IS NOT EXHAUSTIVE. 7