Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof

Transcription

1 April 17, 2015 JPMrgan Chase Bank, Natinal Assciatin Structured Investments $3,800,000 Variable Annual Incme Certificates f Depsit Cntingent n the Perfrmance f the J.P. Mrgan ETF Efficiente DS 5 Index due April 30, 2021 The certificates f depsit ( CDs ) are designed fr investrs wh seek variable annual Cupn Payments that each depend n the annualized perfrmance f the J.P. Mrgan ETF Efficiente DS 5 Index frm the pricing date t the relevant Cupn Determinatin Date, subject t the Minimum Cupn Rate. Investrs shuld be willing t frg dividend payments and any return n this investment beynd the Cupn Payments, while seeking full repayment f principal at maturity. The CDs are issued by JPMrgan Chase Bank, Natinal Assciatin ( JPMrgan Chase Bank ). The CDs are insured nly within the limits and t the extent described in this disclsure supplement and in the accmpanying disclsure statement. See Selected Risk Cnsideratins Limitatins n FDIC Insurance in this disclsure supplement. Any payment n the CDs in excess f FDIC insurance limits is subject t the credit risk f JPMrgan Chase Bank. Investing in the CDs is nt equivalent t investing in a cnventinal CD r directly in the J.P. Mrgan ETF Efficiente DS 5 Index r any f its Basket Cnstituents. Minimum denminatins f $10,000 and integral multiples f $1,000 in excess theref The CDs priced n April 17, 2015 and are expected t settle n r abut April 24, CUSIP: 48125T6D2 Investing in the CDs invlves a number f risks. See Risk Factrs beginning n page 7 f the accmpanying disclsure statement, Risk Factrs beginning n page US-5 f the accmpanying underlying supplement n. CD-6-I and Selected Risk Cnsideratins beginning n page DS-6 f this disclsure supplement. Fees and Discunts: J.P. Mrgan Securities LLC, which we refer t as JPMS, and its affiliates will pay all f the selling cmmissins f $37.50 per $1,000 CD it receives frm us t ther affiliated r unaffiliated dealers. See Supplemental Use f Prceeds in this disclsure supplement. The estimated value f the CDs as determined by JPMS, when the terms f the CDs were set, was $ per $1,000 CD. See JPMS s Estimated Value f the CDs in this disclsure supplement fr additinal infrmatin. Our affiliate, JPMS, certain f its affiliates and ther brker-dealers may use this disclsure supplement and the accmpanying disclsure statement in cnnectin with ffers and sales f the CDs after the date heref. Disclsure supplement t the disclsure statement dated January 29, 2015 and underlying supplement n. CD-6-I dated December 7, 2012

2 Key Terms Index: The J.P. Mrgan ETF Efficiente DS 5 Index (Blmberg ticker: EEJPDS5E). The level f the Index reflects the deductin f a fee f 1.00% per annum that accrues daily. Minimum Cupn Rate: 0.00% per annum Pricing Date: April 17, 2015 Original Issue Date (Settlement Date): On r abut April 24, 2015 Cupn Determinatin Dates*: April 26, 2016, April 25, 2017, April 25, 2018, April 25, 2019, April 27, 2020 and April 27, 2021 Cupn Payment Dates*: April 29, 2016, April 28, 2017, April 30, 2018, April 30, 2019, April 30, 2020 and April 30, 2021 Maturity Date*: April 30, 2021 * Subject t pstpnement in the event f a market disruptin event and as described under Supplemental Terms f the CDs Pstpnement f a Determinatin Date CDs linked slely t the ETF Efficiente Index in the accmpanying underlying supplement and General Terms f the CDs Pstpnement f a Determinatin Date CDs Linked t a Single Underlying CDs Linked t a Single Underlying (Other Than a Cmmdity Index) and General Terms f the CDs Pstpnement f a Payment Date in the accmpanying disclsure statement Subject t the impact f a cmmdity hedging disruptin event as described under General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event Adjustment f Remaining Interest Payments in the accmpanying disclsure statement. In the event f a cmmdity hedging disruptin event, we have the right, but nt the bligatin, t cause the CD calculatin agent t adjust the Cupn Payments payable n each Cupn Payment Date that fllws the ccurrence f that cmmdity hedging disruptin event. See Selected Risk Cnsideratins We May Adjust Further Cupn Payments If a Cmmdity Hedging Disruptin Event Occurs. Initial Value: The clsing level f the Index n the Pricing Date, which was Final Value: Fr each Cupn Determinatin Date, the clsing level f the Index n that Cupn Determinatin Date Cupn Payment : Yu will receive n each Cupn Payment Date fr each $1,000 CD a Cupn Payment equal t: $1,000 Cupn Rate If the Cupn Rate applicable t a particular Cupn Payment Date is equal t the Minimum Cupn Rate, yu will nt receive a Cupn Payment n that Cupn Payment Date. Accrdingly, if the Cupn Rate fr each Cupn Payment Date is equal t the Minimum Cupn Rate, yu will nt receive any Cupn Payments ver the term f the CDs. Cupn Rate: The Cupn Rate fr each Cupn Payment Date will be a percentage equal t (a) the Cumulative Index Return n the applicable Cupn Determinatin Date times (b) the Index Factr fr that Cupn Determinatin Date, prvided that the Cupn Rate will nt be less than the Minimum Cupn Rate. Index Factr: The Index Factr fr each Cupn Determinatin Date will be a fractin equal t 1/n, where n is equal t the number f Cupn Determinatin Dates that have ccurred t date, including the Cupn Determinatin Date in questin. See Selected Risk Cnsideratins Because the Index Factr fr Each Cupn Determinatin Date Decreases Over Time, An Earlier Increase in the Index Will Result in a Higher Cupn Payment Than a Later Increase in the Index. Payment at Maturity: Yu will receive a cash payment at maturity, fr each $1,000 CD, equal t (a) $1,000 plus (b) the Cupn Payment applicable t the Maturity Date. Cumulative Index Return: With respect t each Cupn Determinatin Date: (Final Value Initial Value) Initial Value Early Withdrawals: At par upn death r adjudicatin f incmpetence f a beneficial hlder f the CDs. Fr infrmatin abut early withdrawals and the limitatins n such early withdrawals, see General Terms f the CDs Additins and Withdrawals in the accmpanying disclsure statement. DS-1 Structured Investments

3 The J.P. Mrgan ETF Efficiente DS 5 Index The J.P. Mrgan ETF Efficiente DS 5 Index (the Index ) was develped and is maintained and calculated by J.P. Mrgan Securities plc ( JPMS plc ), ne f ur affiliates. JPMS plc acts as the calculatin agent fr the Index (the index calculatin agent ). The Index is a ntinal dynamic basket that tracks the excess return f a prtfli f twelve exchange-traded funds ( ETFs ) (each an ETF Cnstituent, and cllectively the ETF Cnstituents ), with dividends ntinally reinvested, and the JPMrgan Cash Index USD 3 Mnth (including any successr r substitute cash index included in the Index, the Cash Cnstituent ) ver the return f the Cash Cnstituent, less a fee f 1.00% per annum that accrues daily, while targeting a specific vlatility n a daily basis. We refer t the ETF Cnstituents and the Cash Cnstituent tgether as the Basket Cnstituents. The ETF Cnstituents represent a diverse range f asset classes and gegraphic regins. The Index rebalances mnthly a synthetic prtfli cmpsed f the Basket Cnstituents. The Index is based n the mdern prtfli thery apprach t asset allcatin, which suggests hw a ratinal investr shuld allcate his capital acrss the available universe f assets t maximize return fr a given risk appetite. The Index uses the cncept f an efficient frntier t define the asset allcatin f the Index. An efficient frntier fr a prtfli f assets defines the ptimum return f the prtfli fr a given amunt f risk. The Index uses the vlatility f returns f hypthetical prtflis as the measure f risk. This strategy is based n the assumptin that the mst efficient allcatin f assets is ne that maximizes returns per unit f risk. The strategy assigns the weights t the Basket Cnstituents after determining the returns and vlatilities f multiple hypthetical prtflis cmprising the Basket Cnstituents measured ver the previus six mnths. The re-weighting methdlgy seeks t identify the weight fr each Basket Cnstituent that wuld have resulted in the hypthetical prtfli with the highest return ver the relevant measurement perid, subject t an annualized vlatility ver the same perid f 5% r less. Thus, the prtfli exhibiting the highest return with an annualized vlatility f 5% r less is then selected, with the weightings fr that prtfli applied t the Basket Cnstituents. In the event that nne f the prtflis has an annualized vlatility equal t r less than 5%, this vlatility threshld is increased by 1% until a prtfli is selected. In additin, the Index targets an annualized vlatility f 5% n a daily basis by dynamically adjusting its expsure t the synthetic prtfli f Basket Cnstituents. The expsure f the Index t the synthetic prtfli is equal t the target vlatility f 5% divided by the annualized vlatility f the same prtfli ver the prir mnth, subject t certain cnstraints described belw, including a minimum expsure f 0% and a maximum expsure f 150%. Accrdingly, as the vlatility f the prtfli increases, the expsure t the prtfli decreases, and as the vlatility f the prtfli decreases, the expsure t the prtfli increases. Accrdingly, if the vlatility f the synthetic prtfli is less than the target vlatility f 5%, the Index emplys leverage, subject t the maximum expsure f 150%. The aggregate weight f the Cash Cnstituent at any given time represents the prtin f the synthetic prtfli f Basket Cnstituents that is uninvested at that time. In additin, when the expsure f the Index t the synthetic prtfli f Basket Cnstituents is less than 100% n any day, a prtin f the synthetic prtfli will be uninvested. The Index will reflect n return fr any uninvested prtin. The fllwing are the Basket Cnstituents cmpsing the Index and the maximum weighting cnstraints assigned t the relevant sectr and asset type t which each belngs: Sectr Cap Basket Cnstituent Asset Cap 1 Develped Equities (50%) SPDR S&P 500 ETF Trust 20% 2 ishares Russell 2000 ETF 10% 3 ishares MSCI EAFE ETF 20% 4 Bnds (50%) ishares 20+ Year Treasury Bnd ETF 20% 5 ishares ibxx $ Investment Grade Crprate Bnd ETF 20% 6 ishares ibxx $ High Yield Crprate Bnd ETF 20% 7 Emerging Markets (25%) ishares MSCI Emerging Markets ETF 20% 8 ishares J.P. Mrgan USD Emerging Markets Bnd ETF 20% 9 Alternative Investments (25%) ishares U.S. Real Estate ETF 20% 10 ishares S&P GSCI Cmmdity-Indexed Trust 10% 11 SPDR Gld Trust 10% 12 Inflatin Prtected Bnds and ishares TIPS Bnd ETF 50% 13 Cash (50%) JPMrgan Cash Index USD 3 Mnth 50% The Index is reprted by the Blmberg Prfessinal service ( Blmberg ) under the ticker symbl EEJPDS5E. On July 1, 2013, the names f the ishares ETF Cnstituents (ther than the ishares S&P GSCI Cmmdity-Indexed Trust) were changed t the names listed in the table abve. DS-2 Structured Investments

4 Ntwithstanding anything t the cntrary in the accmpanying underlying supplement, the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE, which is the index underlying the ishares J.P. Mrgan USD Emerging Markets Bnd ETF, is a prprietary index that was develped and is maintained and calculated by the Glbal Index Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany. The prices f the bnds included in the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE are prvided by PricingDirect Inc. ( PricingDirect ), a whlly wned subsidiary f JPMrgan Chase & C. See Selected Risk Cnsideratins Risks Relating t the CDs Generally Ptential Cnflicts. GIRG and PricingDirect are separated by infrmatin barriers frm each ther, and frm the JPMrgan Chase & C. s sales and trading teams. GIRG and PricingDirect will make all determinatins and calculatins in gd faith and in a cmmercially reasnable manner. See The J.P. Mrgan ETF Efficiente DS 5 Index in the accmpanying underlying supplement fr mre infrmatin abut the Index and the Basket Cnstituents. Hypthetical Payut Prfile The fllwing table illustrates hypthetical Cupn Rates fr different Cupn Payment Dates and the fllwing examples illustrate hypthetical Cupn Payments ver the term f the CDs. The hypthetical Cupn Rates and Cupn Payments set frth belw assume the fllwing: an Initial Value f 100 and a Minimum Cupn Rate f 0.00% per annum. The hypthetical Initial Value f 100 has been chsen fr illustrative purpses nly and des nt represent the actual Initial Value. The actual Initial Value is based n the clsing level f the Index n the Pricing Date and is specified in Key Terms Initial Value in this disclsure supplement. Fr histrical data regarding the actual clsing level f the Index, please see the histrical infrmatin set frth under Hypthetical Back-Tested Data and Histrical Infrmatin in this disclsure supplement. Each hypthetical Cupn Rate and Cupn Payment set frth belw is fr illustrative purpses nly and may nt be the actual Cupn Rate r Cupn Payment applicable t a purchaser f the CDs. The numbers appearing in the fllwing table and examples have been runded fr ease f analysis. Final Value Cumulative Cupn Rate fr each Cupn Payment Date Index Return First Secnd Third Furth Fifth Sixth % 80.00% 40.00% 26.67% 20.00% 16.00% 13.33% % 70.00% 35.00% 23.33% 17.50% 14.00% 11.67% % 60.00% 30.00% 20.00% 15.00% 12.00% 10.00% % 50.00% 25.00% 16.67% 12.50% 10.00% 8.33% % 40.00% 20.00% 13.33% 10.00% 8.00% 6.67% % 30.00% 15.00% 10.00% 7.50% 6.00% 5.00% % 20.00% 10.00% 6.67% 5.00% 4.00% 3.33% % 15.00% 7.50% 5.00% 3.75% 3.00% 2.50% % 10.00% 5.00% 3.33% 2.50% 2.00% 1.67% % 5.00% 2.50% 1.67% 1.25% 1.00% 0.83% % 2.00% 1.00% 0.67% 0.50% 0.40% 0.33% % 1.00% 0.50% 0.33% 0.25% 0.20% 0.17% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% DS-3 Structured Investments

5 % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Example 1 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 2.00% $20.00 Secnd % 1/2 2.00% 2.00% $20.00 Third % 1/3 2.00% 2.00% $20.00 Furth % 1/4 2.00% 2.00% $20.00 Fifth % 1/5 2.00% 2.00% $20.00 Sixth % 1/6 2.00% 2.00% $20.00 Cupn Payment Ttal Cupn Payments: $ Annual Percentage Yield: 1.91% In example 1, the Index increases by apprximately 2% during each year ver the term f the CDs. Because, n each Cupn Determinatin Date, the prduct f the Cumulative Index Return and the Index Factr is equal t 2%, which is greater than the Minimum Cupn Rate, the Cupn Rate fr each Cupn Determinatin Date is equal t 2%. Accrdingly, the investr receives ttal Cupn Payments ver the term f the CDs equal t $ per $1,000 CD. Example 2 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 0.00% $0.00 Secnd % 1/2-2.00% 0.00% $0.00 Third % 1/3-2.00% 0.00% $0.00 Furth % 1/4-2.00% 0.00% $0.00 Fifth % 1/5-2.00% 0.00% $0.00 Sixth % 1/6-2.00% 0.00% $0.00 Cupn Payment Ttal Cupn Payments: $0.00 Annual Percentage Yield: 0.00% In example 2, the Index decreases by apprximately 2% during each year ver the term f the CDs. Because, n each Cupn Determinatin Date, the prduct f the Cumulative Index Return and the Index Factr is equal t 2%, which is less than the Minimum Cupn Rate, the Cupn Rate fr each Cupn Determinatin Date is equal t the Minimum Cupn Rate f 0%. Accrdingly, the investr des nt receive any Cupn Payments ver the term f the CDs. Example 3 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 1.00% $10.00 Secnd % 1/2 0.75% 0.75% $7.50 Cupn Payment DS-4 Structured Investments

6 Third % 1/3 2.00% 2.00% $20.00 Furth % 1/4 1.75% 1.75% $17.50 Fifth % 1/5 1.50% 1.50% $15.00 Sixth % 1/6 1.50% 1.50% $15.00 Ttal Cupn Payments: $85.00 Annual Percentage Yield: 1.37% In example 3, the Index increases by varying amunts during each year ver the term f the CDs. Even thugh the Index increases ver the term f the CDs, due t the applicatin f the Index Factr, the Cupn Payments d nt increase at the same rate and, in sme cases, the Cupn Payments decrease. The investr receives ttal Cupn Payments ver the term f the CDs equal t $85.00 per $1,000 CD. Example 4 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 4.00% $40.00 Secnd % 1/2 4.00% 4.00% $40.00 Third % 1/3 4.00% 4.00% $40.00 Furth % 1/4 1.75% 1.75% $17.50 Fifth % 1/5 0.40% 0.40% $4.00 Sixth % 1/6-0.50% 0.00% $0.00 Cupn Payment Ttal Cupn Payments: $ Annual Percentage Yield: 2.23% In example 4, the Index increases by apprximately 4% during each f the first three years f the term f the CDs, then decreases by apprximately 5% during each f the final three years f the term f the CDs. In this example, because the increase in the level f the Index ccurs early in the term f the CDs (and the decrease in the level f the Index ccurs late in the term f the CDs), the Cupn Rate is abve the Minimum Cupn Rate fr five f the six Cupn Determinatin Dates, and the investr receives ttal Cupn Payments ver the term f the CDs equal t $ per $1,000 CD. Example 5 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 0.00% $0.00 Secnd % 1/2-4.00% 0.00% $0.00 Third % 1/3-4.00% 0.00% $0.00 Furth % 1/4-1.75% 0.00% $0.00 Fifth % 1/5-0.40% 0.00% $0.00 Sixth % 1/6 0.50% 0.50% $5.00 Cupn Payment Ttal Cupn Payments: $5.00 Annual Percentage Yield: 0.08% DS-5 Structured Investments

7 In example 5, the Index decreases by apprximately 4% during each f the first three years f the term f the CDs, then increases by apprximately 5% during each f the final three years f the term f the CDs. In this example, because the decrease in the level f the Index ccurs early in the term f the CDs (and the increase in the level f the Index ccurs late in the term f the CDs), the Cupn Rate is equal t the Minimum Cupn Rate fr five f the six Cupn Determinatin Dates, and the investr receives ttal Cupn Payments ver the term f the CDs equal t $5.00 per $1,000 CD. Example 6 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 10.00% $ Secnd % 1/ % 10.00% $ Third % 1/ % 10.00% $ Furth % 1/ % 10.00% $ Fifth % 1/ % 10.00% $ Sixth % 1/ % 10.00% $ Cupn Payment Ttal Cupn Payments: $ Annual Percentage Yield: 8.15% In example 6, the Index increases by apprximately 10% during each year ver the term f the CDs. Because, n each Cupn Determinatin Date, the prduct f the Cumulative Index Return and the Index Factr is equal t 10%, which is greater than the Minimum Cupn Rate, the Cupn Rate fr each Cupn Determinatin Date is equal t 10%. Accrdingly, the investr receives ttal Cupn Payments ver the term f the CDs equal t $ per $1,000 CD. The hypthetical returns and hypthetical payments n the CDs shwn abve apply nly if yu hld the CDs fr their entire term. These hyptheticals d nt reflect the fees r expenses that wuld be assciated with any sale in the secndary market. If these fees and expenses were included, the hypthetical returns and hypthetical payments shwn abve wuld likely be lwer. Selected Risk Cnsideratins An investment in the CDs invlves significant risks. These risks are explained in mre detail in the Risk Factrs sectins f the accmpanying disclsure statement and underlying supplement. Risks Relating t the CDs Generally YOU MAY NOT RECEIVE ANY COUPON PAYMENTS ON YOUR CDs Yur nly return n the CDs will be the annual Cupn Payments paid ver the term f the CDs. If the Index has declined frm the Pricing Date t the applicable Cupn Determinatin Date, resulting in a negative Cumulative Index Return, yu will nt receive a Cupn Payment n that Cupn Payment Date. If the Minimum Cupn Rate applies fr each Cupn Payment Date, yu will nt receive any cupn payments ver the term f the CDs. Therefre, the return n yur investment in the CDs may be less than the amunt that wuld be paid n a cnventinal certificate f depsit having a similar maturity issued by us. The Cupn Payments, if any, paid ver the term f the CDs may nt cmpensate yu fr any lss in value due t inflatin and ther factrs relating t the value f mney ver time. THE APPLICATION OF THE INDEX FACTOR TO THE CUMULATIVE INDEX RETURN WILL GENERALLY LOWER THE APPLICABLE COUPON RATES AND MAY CAUSE THE RETURN ON THE CDs TO BE LESS THAN THE INDEX PERFORMANCE Althugh the Cumulative Index Return n each Cupn Determinatin Date measures the perfrmance f the Index frm the Pricing Date t that Cupn Determinatin Date, the Index Factr fr the applicable Cupn Determinatin Date is applied t the Cumulative Index Return fr that Cupn Determinatin Date t annualize the Cumulative Index Return. Accrdingly, even if the Cumulative Index Return increases frm ne Cupn Determinatin Date t the next, the Cupn Rate fr each crrespnding DS-6 Structured Investments

8 Cupn Payment Date may nt increase in the same prprtin and may even decrease. In additin, the return frm the Cupn Payments, if any, that yu may receive ver the term f the CDs may be less than the Index perfrmance ver the term f the CDs. See Hypthetical Payut Prfile in this disclsure supplement fr mre infrmatin. BECAUSE THE INDEX FACTOR FOR EACH COUPON DETERMINATION DATE DECREASES OVER TIME, AN EARLIER INCREASE IN THE INDEX WILL RESULT IN A HIGHER COUPON PAYMENT THAN A LATER INCREASE IN THE INDEX The Index Factr fr each Cupn Determinatin Date is less than the Index Factr fr the immediately preceding Cupn Determinatin Date. Accrdingly, its impact n the Cupn Rate is t reduce the Cumulative Index Return ver time. As a result, an earlier increase in the Index will result in a higher Cupn Payment than a single increase in the Index later in the term, unless the later increase is sufficient t ffset the negative effect f the Index Factr. If the Index initially depreciates fllwed by appreciatin in the latter term f the CDs r if the Index appreciates mre later in the term f the CDs than earlier, yur aggregate Cupn Payments, if any, may be less than thse yu culd have earned had the Index initially appreciated fllwed by depreciatin in the latter term f the CDs r if the Index had appreciated mre earlier in the term f the CDs than later. The negative impact f the Index Factr will als be greater the lnger the term f the CDs. THE COUPON RATE DOES NOT REFLECT THE ACTUAL PERFORMANCE OF THE INDEX FROM COUPON DETERMINATION DATE TO COUPON DETERMINATION DATE The Cupn Rate fr each annual Cupn Payment Date is determined by multiplying the Cumulative Index Return n the applicable Cupn Determinatin Date by the applicable Index Factr and is intended t reflect the annualized Index return n the applicable Cupn Determinatin Date, subject t the Minimum Cupn Rate. This is different frm, and may be less than, a Cupn Rate determined based n the percentage difference f the clsing levels f the Index between tw Cupn Determinatin Dates. Accrdingly, the Cupn Payments, if any, n the CDs may be less than the return yu culd earn n anther instrument linked t the Index that pays annual cupns based n the perfrmance f the Index frm Cupn Determinatin Date t Cupn Determinatin Date. See Hypthetical Payut Prfile in this disclsure supplement fr mre infrmatin. THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A FEE OF 1.00% PER ANNUM This fee will be deducted daily. As a result f the deductin f this fee, the level f the Index will trail the value f a hypthetical identically cnstituted synthetic prtfli frm which n such fee is deducted. CREDIT RISK OF JPMORGAN CHASE BANK A depsitr purchasing a principal amunt f CDs in excess f FDIC insurance limits, when aggregated with all ther depsits held by the depsitr in the same right and capacity at JPMrgan Chase Bank, will be subject t the credit risk f JPMrgan Chase Bank. Investrs are dependent n JPMrgan Chase Bank s ability t pay any amunts due n the CDs in excess f FDIC insurance limits. Any actual r ptential change in the creditwrthiness, credit ratings r credit spreads related t us r ur affiliates, as determined by the market fr taking that credit risk, is likely t adversely affect the value f the CDs. WE MAY ADJUST FURTHER COUPON PAYMENTS IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS In making such adjustment, the CD calculatin agent will determine in gd faith and in a cmmercially respnsible manner the price f the embedded ptin representing all f the Cupn Payments frm but excluding the cmmdity hedging disruptin date thrugh and including the maturity date (the Optin Value ) as f the date n which we declare a cmmdity hedging disruptin event (such date, a cmmdity hedging disruptin date ). Thereafter, the Cupn Payment payable n each Cupn Payment Date ccurring after the cmmdity hedging disruptin date (each, an Affected Cupn Payment Date ) will be, instead f the amunt calculated as described under Key Terms Cupn Payment abve, an amunt equal t, fr each $1,000 CD, the Optin Value divided by the number f Affected Cupn Payment Dates, prvided that the Cupn Payment will nt be less than $1,000 the Minimum Cupn Rate. Under these circumstances, the Cupn Payment n each Affected Interest Payment Date will be fixed, regardless f any appreciatin f the Index, which may be significant. Please see General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event in the accmpanying disclsure statement fr mre infrmatin. POTENTIAL CONFLICTS We and ur affiliates play a variety f rles in cnnectin with the CDs. In perfrming these duties, ur ecnmic interests are ptentially adverse t yur interests as an investr in the CDs. It is pssible that hedging r trading activities f urs r ur affiliates in cnnectin with the CDs culd result in substantial returns fr us r ur affiliates while the value f the CDs declines. Please refer t Risk Factrs Risks Relating t Cnflicts f Interest in the accmpanying disclsure statement. In additin, ne f ur affiliates, JPMS, is the spnsr f ne f the Basket Cnstituents (the Cash Cnstituent). The Glbal Index DS-7 Structured Investments

9 Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany, develped and maintains and calculates the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE, which is the index underlying the ishares J.P. Mrgan USD Emerging Markets Bnd ETF, ne f the Basket Cnstituents. The J.P. Mrgan Emerging Markets Bnd Index Glbal CORE makes use f certain weights, prices, values, levels r dates that are determined by PricingDirect Inc. ( PricingDirect ). GIRG is part f JPMrgan Chase & C. s Glbal Research divisin and resides within JPMS. PricingDirect is JPMrgan Chase & C. s whlly wned subsidiary and prvides valuatin and ther metrics data fr fixed-incme securities and derivatives. PricingDirect determines these prices thrugh a prprietary evaluatin prcess that takes int accunt market-based evaluatins (such as market intelligence fr traded, quted securities). In additin, under sme circumstances, the pricing infrmatin prvided by PricingDirect n the bnds underlying the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE may be derived slely frm price qutatins r internal valuatins made by ne r mre f ur affiliates. Accrdingly, cnflicts f interest exist between GIRG and PricingDirect, n the ne hand, and yu, n the ther hand. Nne f JPMS, GIRG r PricingDirect will have any bligatin t cnsider yur interests as a hlder f the CDs in taking any actins that might affect the value f yur CDs. YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE BASKET CONSTITUENTS OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE CDs, AND MAY DO SO IN THE FUTURE Any research, pinins r recmmendatins culd affect the market value f the CDs. Investrs shuld undertake their wn independent investigatin f the merits f investing in the CDs, the Basket Cnstituents and the securities, cmmdities, cmmdity futures cntracts and ther assets underlying the Basket Cnstituents included in the Index. LACK OF LIQUIDITY The CDs will nt be listed n an rganized securities exchange. JPMS and its affiliates may ffer t purchase the CDs upn terms and cnditins acceptable t them, but are nt required t d s. Yu may nt be able t sell yur CDs. The CDs are nt designed t be shrt-term trading instruments. Accrdingly, yu shuld be able and willing t hld yur CDs t maturity. Fr mre infrmatin, see General Terms f the CDs Additins and Withdrawals and Discunts and Secndary Market in the accmpanying disclsure statement. LIMITATIONS ON FDIC INSURANCE As a general matter, hlders wh purchase CDs in a principal amunt greater than the applicable limits set by federal law and regulatin will nt be insured by the FDIC fr the principal amunt exceeding such limit. In additin, under FDIC interpretatins, any prspective Cupn Payment, is nt insured by the FDIC prir t the relevant Cupn Determinatin Date. Any amunts due n the CDs in excess f the applicable FDIC insurance limits will be subject t the credit risk f JPMrgan Chase Bank. Fr mre infrmatin, see Depsit Insurance in the accmpanying disclsure statement. JPMS S ESTIMATED VALUE OF THE CDs IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE CDs JPMS s estimated value is nly an estimate using several factrs. The riginal issue price f the CDs exceeds JPMS s estimated value because csts assciated with selling, structuring and hedging the CDs are included in the riginal issue price f the CDs. These csts include the selling cmmissins, the prjected prfits, if any, that ur affiliates expect t realize fr assuming risks inherent in hedging ur bligatins under the CDs and the estimated cst f hedging ur bligatins under the CDs. See JPMS s Estimated Value f the CDs in this disclsure supplement. JPMS S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE CDs AND MAY DIFFER FROM OTHERS ESTIMATES See JPMS s Estimated Value f the CDs in this disclsure supplement. JPMS S ESTIMATED VALUE IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE The internal funding rate used in the determinatin f JPMS s estimated value is based n, amng ther things, ur view f the funding value f the CDs as well as the issuance, peratinal and nging liability management csts f the CDs. Our use f an internal funding rate and any ptential changes t these rates may have an adverse effect n the terms f the CDs and any secndary market prices f the CDs. See JPMS s Estimated Value f the CDs in this disclsure supplement. DS-8 Structured Investments

10 THE VALUE OF THE CDs 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 CDs FOR A LIMITED TIME PERIOD We generally expect that sme f the csts included in the riginal issue price f the CDs will be partially paid back t yu in cnnectin with any repurchases f yur CDs by JPMS in an amunt that will decline t zer ver an initial predetermined perid. See Secndary Market Prices f the CDs in this disclsure supplement fr additinal infrmatin relating t this initial perid. Accrdingly, the estimated value f yur CDs during this initial perid may be lwer than the value f the CDs as published by JPMS (and which may be shwn n yur custmer accunt statements). SECONDARY MARKET PRICES OF THE CDs WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE CDs Any secndary market prices f the CDs will likely be lwer than the riginal issue price f the CDs because, amng ther things, secndary market prices take int accunt ur internal secndary market funding rates fr structured issuances and, als, because secndary market prices (a) exclude selling cmmissins and (b) may exclude prjected hedging prfits, if any, and estimated hedging csts that are included in the riginal issue price f the CDs. As a result, the price, if any, at which JPMS will be willing t buy the CDs frm yu in secndary market transactins, if at all, is likely t be lwer than the riginal issue price. Any sale by yu prir t the Maturity Date culd result in a substantial lss t yu. In additin, if JPMS purchases yur CDs in the secndary market within six days after their initial issuance, yu will be subject t early withdrawal penalties we are required t impse pursuant t Regulatin D f the Federal Reserve Bard. Under these circumstances, the repurchase price will be less than the riginal issue price f the CDs. SECONDARY MARKET PRICES OF THE CDs WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS The secndary market price f the CDs during their term will be impacted by a number f ecnmic and market factrs, which may either ffset r magnify each ther, aside frm the selling cmmissins, prjected hedging prfits, if any, estimated hedging csts and the level f the Index. Additinally, independent pricing vendrs and/r third party brker-dealers may publish a price fr the CDs, which may als be reflected n custmer accunt statements. This price may be different (higher r lwer) than the price f the CDs, if any, at which JPMS may be willing t purchase yur CDs in the secndary market. See Risk Factrs Risks Relating t the Estimated Value f Secndary Market Prices f the CDs Secndary market prices f the CDs will be impacted by many ecnmic and market factrs in the accmpanying disclsure statement. Risks Relating t the Index OUR AFFILIATE, JPMS PLC, IS THE INDEX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL JPMS plc, ne f ur affiliates, acts as the index calculatin agent and is respnsible fr calculating and maintaining the Index and develping the guidelines and plicies gverning its cmpsitin and calculatin. The rules gverning the Index may be amended at any time by JPMS plc, in its sle discretin, and the rules als permit the use f discretin by JPMS plc in specific instances, such as the right t substitute a Basket Cnstituent. Unlike ther indices, the maintenance f the Index is nt gverned by an independent cmmittee. Althugh judgments, plicies and determinatins cncerning the Index are made by JPMS plc, JPMrgan Chase Bank, as the parent cmpany f JPMS plc, ultimately cntrls JPMS plc. In additin, the plicies and judgments fr which JPMS plc is respnsible culd have an impact, psitive r negative, n the level f the Index and the value f yur CDs. JPMS plc is under n bligatin t cnsider yur interests as an investr in the CDs. Furthermre, the inclusin f the Basket Cnstituents in the Index is nt an investment recmmendatin by us r JPMS plc f the Basket Cnstituents r any f the securities, cmmdities, cmmdity futures cntracts r ther assets underlying the Basket Cnstituents. OWNING THE CDs INVOLVES THE RISKS ASSOCIATED WITH THE INDEX S MOMENTUM INVESTMENT STRATEGY The Index emplys a mathematical mdel intended t implement what is generally knwn as a mmentum investment strategy, which seeks t capitalize n psitive market price trends based n the suppsitin that psitive market price trends may cntinue. This strategy is different frm a strategy that seeks lng-term expsure t a prtfli cnsisting f cnstant cmpnents with fixed weights. The Index may fail t realize gains that culd ccur as a result f hlding assets that have experienced price declines, but after which experience a sudden price spike. THE CDs MAY BE SUBJECT TO INCREASED VOLATILITY DUE TO THE USE OF LEVERAGE DS-9 Structured Investments

11 As part f the daily dynamic adjustment f its expsure t the synthetic prtfli f Basket Cnstituents, the Index may have an expsure t the synthetic prtfli f up t 150%. When the vlatility f the synthetic prtfli ver the relevant measurement perid is less than the target vlatility f 5%, the Index will emply leverage t increase the expsure f the prtfli, up t 150%. When the synthetic prtfli is leveraged, any mvements in the values f the Basket Cnstituents may result in greater changes in the value f the Basket Cnstituents than if leverage was nt used. In particular, the use f leverage will magnify any negative perfrmance f the Basket Cnstituents, which, in turn, culd affect adversely any payments n the CDs. THE INDEX MAY NOT ACHIEVE ITS TARGET VOLATILITY The expsure f the Index t the synthetic prtfli f Basket Cnstituents is determined by a tw-step prcess, cmpsed f a mnthly selectin prcess t determine the weighting assigned t each Basket Cnstituent in the synthetic prtfli tracked by the Index and a daily dynamic adjustment f the expsure t the synthetic prtfli intended t achieve a target annualized vlatility f 5% n a daily basis. The mnthly weights and daily adjustments are based n the histrical vlatility f the synthetic prtfli ver specified measurement perids and are subject t maximum aggregate and individual weighting cnstraints and minimum and maximum expsure limits. Hwever, there is n guarantee that trends existing in the relevant measurement perid will cntinue in the future. The vlatility f the synthetic prtfli n any day may change quickly and unexpectedly. Accrdingly, the actual realized annualized vlatility f the Index n a daily basis may be greater than r less than 5%, which may adversely affect the level f the Index and the value f the CDs. THE DAILY ADJUSTMENT OF THE EXPOSURE OF THE INDEX TO THE SYNTHETIC PORTFOLIO OF BASKET CONSTITUENTS MAY CAUSE THE INDEX NOT TO REFLECT FULLY ANY PRICE APPRECIATION OR TO MAGNIFY ANY PRICE DEPRECIATION OF THE SYNTHETIC PORTFOLIO As discussed abve, in an effrt t achieve the target vlatility f 5% n a daily basis, the Index adjusts its expsure t the synthetic prtfli f Basket Cnstituents daily based n the histrical vlatility f the synthetic prtfli ver a specified measurement perid, subject t maximum and minimum expsure limits. When the histrical vlatility is greater than the target vlatility, the Index will reduce the expsure t the synthetic prtfli. When the histrical vlatility is less than the target vlatility, the Index will increase the expsure t the synthetic prtfli. The expsure may vary between 0% and 150%. Due t the daily expsure adjustments, the Index may fail t realize gains due t price appreciatin f the synthetic prtfli at a time when the expsure is less than 100% r may suffer increased lsses due t price depreciatin f the synthetic prtfli when the expsure is abve 100%. As a result, the Index may underperfrm a similar index that des nt include a daily expsure adjustment feature. THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES MONTHLY REBALANCING AND WEIGHTING CAPS THAT ARE APPLIED TO THE BASKET CONSTITUENTS AND DAILY ADJUSTMENTS TO THE EXPOSURE TO THE SYNTHETIC PORTFOLIO CONSISTING OF THE BASKET CONSTITUENTS The Basket Cnstituents are subject t mnthly rebalancing and maximum weighting caps by asset type and n subsets f assets based n histrical vlatility and daily adjustments t the expsure t the synthetic prtfli cnsisting f the Basket Cnstituents. By cntrast, a synthetic prtfli that des nt rebalance mnthly and is nt subject t any weighting caps r daily expsure adjustments in this manner culd see greater cmpunded gains ver time thrugh expsure t a cnsistently and rapidly appreciating prtfli cnsisting f the Basket Cnstituents. Therefre, yur return n the CDs may be less than the return yu culd realize n an alternative investment in the Basket Cnstituents that is nt subject t mnthly rebalancing, weighting caps r daily expsure adjustments. CHANGES IN THE VALUES OF THE BASKET CONSTITUENTS MAY OFFSET EACH OTHER Because the CDs are linked t the Index, which is linked t the perfrmance f the Basket Cnstituents, which cllectively represent a diverse range f asset classes and gegraphic regins, price mvements between the Basket Cnstituents representing different asset classes r gegraphic regins may nt crrelate with each ther. At a time when the value f a Basket Cnstituent representing a particular asset class r gegraphic regin increases, the value f ther Basket Cnstituents representing a different asset class r gegraphic regin may nt increase as much r may decline. Therefre, in calculating the level f the Index, increases in the values f sme f the Basket Cnstituents may be mderated, r mre than ffset, by lesser increases r declines in the values f ther Basket Cnstituents. THE INDEX MAY BE PARTIALLY UNINVESTED The aggregate weight f the Cash Cnstituent at any given time represents the prtin f the synthetic prtfli that is uninvested at that time. The Index will reflect n return fr any uninvested prtin (including any prtin represented by the Cash Cnstituent). While the weight f the Cash Cnstituent is nrmally limited by a weighting cnstraint f 50%, if, as a result f an extrardinary DS-10 Structured Investments

12 event, any Basket Cnstituent is replaced with the Cash Cnstituent, the aggregate weight f the Cash Cnstituent wuld be allwed t exceed 50% because a prtin f that aggregate weight wuld be subject t the weighting cnstraints specific t the replaced Basket Cnstituent and nt the weighting cnstraints specific t the Cash Cnstituent. See The Basket Cnstituents Cmpsing the Index May Be Replaced by a Substitute ETF r Index belw. In additin, when the expsure f the Index t the synthetic prtfli f Basket Cnstituents is less than 100% n any day, a prtin f the synthetic prtfli will be uninvested. Fr example, if the daily expsure is set at 70%, and assuming the weight f the Cash Cnstituent is 0%, 30% f the synthetic prtfli will be uninvested. The Index will reflect n return fr any uninvested prtin. HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS The hypthetical back-tested perfrmance f the Index set frth under Hypthetical Back-tested Data and Histrical Infrmatin in this disclsure supplement is purely theretical and des nt represent the actual histrical perfrmance f the Index and has nt been verified by an independent third party. Fr time perids prir t the launch f an ETF Cnstituent and that ETF Cnstituent s initial satisfactin f a minimum liquidity standard, the hypthetical back-tested perfrmance set frth under Hypthetical Backtested Data and Histrical Infrmatin in this disclsure supplement was calculated using alternative perfrmance infrmatin derived frm a related index, after deducting hypthetical fund fees, rather than the perfrmance infrmatin fr that ETF Cnstituent. Alternative mdeling techniques r assumptins may prduce different hypthetical histrical infrmatin that might prve t be mre apprpriate and that might differ significantly frm the hypthetical histrical infrmatin set frth under Hypthetical Backtested Data and Histrical Infrmatin in this disclsure supplement. In additin, back-tested, hypthetical histrical results have inherent limitatins. These back-tested results are achieved by means f a retractive applicatin f a back-tested mdel designed with the benefit f hindsight. As with actual histrical data, hypthetical back-tested data shuld nt be taken as an indicatin f future perfrmance. THE BASKET CONSTITUENTS COMPOSING THE INDEX MAY BE REPLACED BY A SUBSTITUTE ETF OR INDEX If the index calculatin agent determines in its discretin that n suitable substitute ETF r index is available fr an affected Basket Cnstituent (ther than the Cash Cnstituent), then the index calculatin agent will replace such Basket Cnstituent with the Cash Cnstituent as its substitute. Under these circumstances, the aggregate weight f the Cash Cnstituent in the Index may be greater than the maximum 50% weight limit allcated t the Cash Cnstituent because a prtin f such aggregate weight wuld be subject t the separate maximum weight limit specific t the affected Basket Cnstituent. THE COMMODITY FUTURES CONTRACTS UNDERLYING ONE OF THE BASKET CONSTITUENTS ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES Legal r regulatry develpments affecting the cmmdity futures cntracts underlying ne f the Basket Cnstituents, the ishares S&P GSCI Cmmdity-Indexed Trust, may result in the index calculatin agent exercising its discretinary right t exclude r substitute Basket Cnstituents r the ccurrence f a cmmdity hedging disruptin event r may therwise adversely affect the value f the CDs. See We May Determine the Additinal Amunt fr Yur CDs Early If a Cmmdity Hedging Disruptin Event Occurs abve and Risk Factrs Risks Relating t the Cmmdity ETF Cnstituents in the accmpanying underlying supplement. OTHER KEY RISKS: THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE BASKET CONSTITUENTS. THE INDEX WAS ESTABLISHED ON SEPTEMBER 25, 2012, AND THEREFORE HAS A LIMITED OPERATING HISTORY AND MAY PERFORM IN UNANTICIPATED WAYS. THE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST. THE CDs ARE SUBJECT TO CURRENCY EXCHANGE RISK BECAUSE THE PRICES OF SOME OR ALL OF THE SECURITIES COMPOSING THE ishares MSCI EAFE ETF AND THE ishares MSCI EMERGING MARKETS ETF ARE CONVERTED INTO U.S. DOLLARS FOR PURPOSES OF CALCULATING THE VALUE OF THE RELEVANT BASKET CONSTITUENT. DS-11 Structured Investments

13 AN INVESTMENT IN THE CDs IS SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS, INCLUDING EMERGING MARKETS BECAUSE SOME OR ALL OF THE EQUITY SECURITIES THAT ARE HELD BY THE ishares MSCI EAFE ETF AND THE ishares MSCI EMERGING MARKETS ETF HAVE BEEN ISSUED BY NON-U.S. COMPANIES. THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING INTEREST RATE-RELATED RISKS BECAUSE FIVE OF THE BASKET CONSTITUENTS ARE BOND ETFs THAT ATTEMPT TO TRACK THE PERFORMANCE OF INDICES COMPOSED OF FIXED-INCOME SECURITIES. THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH HIGH-YIELD FIXED INCOME SECURITIES, INCLUDING CREDIT RISK. INVESTMENTS RELATED TO THE VALUES OF THE COMMODITIES TEND TO BE MORE VOLATILE THAN TRADITIONAL CD INVESTMENTS. HIGHER FUTURE PRICES OF THE COMMODITY FUTURES CONTRACTS CONSTITUTING THE ishares S&P GSCI COMMODITY-INDEXED TRUST RELATIVE TO THEIR CURRENT PRICES MAY DECREASE THE AMOUNT PAYABLE AT MATURITY. RISKS ASSOCIATED WITH THE REAL ESTATE INDUSTRY WILL AFFECT THE VALUE OF YOUR CDs BECAUSE THE ishares U.S. REAL ESTATE ETF HOLDS A VARIETY OF REAL ESTATE-RELATED SECURITIES. THERE ARE RISKS ASSOCIATED WITH THE ETF CONSTITUENTS AND THERE ARE DIFFERENCES BETWEEN THE ETF CONSTITUENTS AND THEIR UNDERLYING INDICES. AN INVESTMENT IN THE CDs IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS BECAUSE THE EQUITY SECURITIES HELD BY THE ishares RUSSELL 2000 ETF AND INCLUDED IN THE RUSSELL 2000 INDEX HAVE BEEN ISSUED BY COMPANIES WITH RELATIVELY SMALL MARKET CAPITALIZATION. THE MARKET PRICE OF GOLD WILL AFFECT THE VALUE OF THE CDs. Please refer t the Risk Factrs sectin f the accmpanying underlying supplement n. CD-6-I fr mre details regarding the abvelisted risks. Hypthetical Back-Tested Data and Histrical Infrmatin The fllwing graph sets frth the hypthetical back-tested perfrmance f the Index based n the hypthetical back-tested weekly clsing levels f the Index frm January 8, 2010 thrugh September 21, 2012 and the histrical perfrmance f the Index based n the weekly clsing levels f the Index frm September 28, 2012 thrugh April 17, The Index was established n September 25, The clsing level f the Index n April 17, 2015 was We btained the clsing levels belw frm Blmberg, withut independent verificatin. The data fr the hypthetical back-tested perfrmance f the Index set frth in the fllwing graph are purely theretical and d nt represent the actual histrical perfrmance f the Index. Fr time perids prir t the launch f an ETF Cnstituent and that ETF Cnstituent s initial satisfactin f a minimum liquidity standard, the hypthetical back-tested perfrmance set frth in the fllwing graph was calculated using alternative perfrmance infrmatin derived frm a related index, after deducting hypthetical fund fees, rather than the perfrmance infrmatin fr that ETF Cnstituent. See Selected Risk Cnsideratins Hypthetical Back-Tested Data Relating t the Index D Nt Represent Actual Histrical Data and Are Subject t Inherent Limitatins. The hypthetical back-tested and histrical clsing levels f the Index shuld nt be taken as an indicatin f future perfrmance, and n assurance can be given as t the clsing level f the Index n the Pricing Date r any Cupn Determinatin Date. We cannt give yu assurance that the perfrmance f the Index will result in any Cupn Payment abve the Minimum Cupn Rate. DS-12 Structured Investments

14 Hypthetical Back-Tested and Histrical Perfrmance f the J.P. Mrgan ETF Efficiente DS 5 Index Surce: Blmberg & JPMrgan The hypthetical back-tested clsing levels f the Index have inherent limitatins and have nt been verified by an independent third party. These hypthetical back-tested clsing levels are determined by means f a retractive applicatin f a back-tested mdel designed with the benefit f hindsight. Hypthetical back-tested results are neither an indicatr nr a guarantee f future returns. N representatin is made that an investment in the CDs will r is likely t achieve returns similar t thse shwn. Alternative mdeling techniques r assumptins wuld prduce different hypthetical back-tested clsing levels f the Index that might prve t be mre apprpriate and that might differ significantly frm the hypthetical back-tested clsing levels f the Index set frth abve. Tax Treatment Yu shuld review carefully the sectin entitled Material U.S. Federal Incme Tax Cnsequences in the accmpanying disclsure statement. Yu and we will agree t treat the CDs as variable rate debt instruments fr U.S. federal incme tax purpses. Assuming this characterizatin is respected, interest paid n the CDs will generally be taxable t yu as rdinary incme at the time it accrues r is received, in accrdance with yur methd f accunting fr U.S. federal incme tax purpses, and gain r lss realized n the sale, exchange r redemptin f the CDs generally will be capital gain r lss. Hwever, due t the absence f authrities that directly address the prper characterizatin f the CDs, the Internal Revenue Service (the IRS ) r a curt may nt respect the characterizatin and tax treatment described abve. In particular, the IRS culd seek t treat the CDs fr U.S. federal incme tax purpses as cntingent payment debt instruments. If the IRS were successful in asserting this treatment, the timing and character f incme with respect t the CDs wuld be significantly affected. Amng ther things, a U.S. Hlder wuld be required t accrue interest incme in each year, subject t adjustments, at a rate equal t ur cmparable yield n the CDs, and any gain n the sale, exchange r redemptin f the CDs wuld be treated as additinal interest incme. Bth U.S. and Nn-U.S. Hlders shuld cnsult their tax advisers regarding the U.S. federal incme tax cnsequences f an investment in the CDs, including pssible alternative treatments. See the sectin entitled Material U.S. Federal Incme Tax Cnsequences in the accmpanying disclsure statement fr mre detailed infrmatin. As discussed in the sectin entitled Material U.S. Federal Incme Tax Cnsequences N Reliance in the accmpanying disclsure statement, yu cannt use the tax summaries herein fr the purpse f aviding penalties that may be asserted against yu under the Internal Revenue Cde f 1986, as amended. Legislatin cmmnly referred t as FATCA, and regulatins prmulgated thereunder, generally impse a 30% withhlding tax n payments t certain nn-u.s. entities (including financial intermediaries) with respect t debt instruments such as the CDs, unless varius U.S. infrmatin reprting and due diligence requirements have been satisfied. An intergvernmental agreement between the United States and the nn-u.s. entity s jurisdictin may mdify these requirements. This regime applies t the payment n yur CDs at maturity (and may als apply t sme r all f the prceeds f any sale r ther dispsitin f a CD prir t maturity). Yu shuld cnsult yur tax adviser regarding the ptential applicatin f FATCA t the CDs. DS-13 Structured Investments