November 2015
Pricing Sheet dated November 23, 2015 relating to
Amendment No. 1 dated November 20, 2015 to Preliminary Terms No. 510
Registration Statement No. 333-199966
Filed pursuant to Rule 433
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
 
Buffered Jump Securities Based on the Value of the S&P 500® Index due May 29, 2018
Principal at Risk Securities
PRICING TERMS — November 23, 2015
Issuer:
JPMorgan Chase & Co.
Underlying index:
S&P 500® Index
Aggregate principal amount:
$12,221,500
Payment at maturity:
§        If the final index value is greater than or equal to the initial index value, you will receive at maturity a cash payment per $10 stated principal amount security equal to:
 
$10 + upside payment
 
§        If the final index value is less than the initial index value by up to the buffer amount of 10.00%, for each $10 stated principal amount security,
 
$10
 
§        If the final index value is less than the initial index value by more than the buffer amount of 10.00%, for each $10 stated principal amount security,
 
($10 × index performance factor) + $1.00
 
This amount will be less than the stated principal amount of $10 per security.  However, subject to the credit risk of JPMorgan Chase & Co., under no circumstances will the securities pay less than $1.00 per security at maturity.
Upside payment:
$1.765 per security (17.65% of the stated principal amount)
Buffer amount:
10.00%
Index performance factor:
final index value / initial index value
Initial index value:
The closing level of the underlying index on the pricing date, which was 2,086.59
Final index value:
The closing level of the underlying index on the valuation date
Stated principal amount:
$10 per security
Issue price:
$10 per security (see “Commissions and issue price” below)
Pricing date:
November 23, 2015
Original issue date (settlement
date):
November  27, 2015
Valuation date:
May 23, 2018, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement no. 4a-I
Maturity date:
May 29, 2018, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I
CUSIP / ISIN:
48127Y193 / US48127Y1938
Listing:
The securities will not be listed on any securities exchange.
Agent:
J.P. Morgan Securities LLC (“JPMS”)
Commissions and issue price:
Price to public(1)
Fees and commissions
Proceeds to issuer
Per security
$10.00
$0.20(2)
$9.75
   
$0.05(3)
  
Total
$12,221,500.00
$305,537.50
$11,915,962.50
(1) See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in the accompanying amendment no. 1 to the preliminary terms for information about the components of the price to public of the securities.
(2) JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $0.20 per $10 stated principal amount security it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”).  See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each $10 stated principal amount security
The estimated value of the securities on the pricing date as determined by JPMS was $9.779 per $10 stated principal amount security.  See “Additional Information about the Securities — JPMS’s estimated value of the securities” in the accompanying amendment no. 1 to the preliminary terms for additional information.
The securities are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should read this document together with the amendment no. 1 to the preliminary terms describing the offering and the related product supplement no. 4a-I, underlying supplement no. 1a-I, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below.  Please also see “Additional Information about the Securities” in the accompanying amendment no. 1 to the preliminary terms.
Amendment no. 1 dated November 20, 2015 to preliminary terms no. 510: http://www.sec.gov/Archives/edgar/data/19617/000089109215010074/e67083fwp.htm
Underlying supplement no. 1a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf
Prospectus supplement and prospectus, each dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates.  Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering.  You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you request it by calling toll-free (800) 869-3326.
 
 
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