Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
March 31 2015 - 2:36PM
Edgar (US Regulatory)
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March 2015
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Pricing Sheet dated March 27, 2015 relating to |
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Preliminary Terms No. 337 dated March 19, 2015 |
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Registration Statement No. 333-199966 |
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Filed pursuant to Rule 433 |
STRUCTURED INVESTMENTS
Opportunities in Commodities
Contingent Income Auto-Callable Securities due October 1, 2015
Based on the Value of the S&P GSCITM Crude Oil Index Excess Return
Principal at Risk Securities
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PRICING TERMS March 27, 2015 |
Issuer: |
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JPMorgan Chase & Co. |
Underlying index: |
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S&P GSCITM Crude Oil Index Excess Return |
Aggregate principal amount: |
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$8,021,000 |
Early redemption: |
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If, on any determination date (other than the final determination date), the closing level of the underlying index is greater than or equal to the redemption threshold level, the securities will be automatically
redeemed for an early redemption payment on the first contingent payment date immediately following the related determination date. No further payments will be made on the securities once they have been redeemed. |
Redemption threshold level: |
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239.06313, which is equal to 95% of the initial index value |
Early redemption payment: |
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The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the contingent monthly payment with respect to the related determination date. |
Contingent monthly payment: |
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If, on any
determination date, the closing level or the final index value, as applicable, is greater than or equal to the downside threshold level, we will pay a contingent monthly payment of $22.50 (2.25% of the stated principal amount) per security on the
related contingent payment date.
If, on any
determination date, the closing level or the final index value, as applicable, is less than the downside threshold level, no contingent monthly payment will be made with respect to that determination date. |
Determination dates: |
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April 27, 2015, May 27, 2015, June 29, 2015, July 27, 2015, August 27, 2015 and September 28, 2015, subject to postponement for non-trading days and certain market disruption events. We also refer to September 28, 2015
as the final determination date. |
Contingent payment dates: |
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With respect to each determination date other than the final determination date, the third business day after the related determination date. The payment of the contingent monthly payment, if any, with respect to the
final determination date will be made on the maturity date. |
Payment at maturity: |
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If the final index
value is greater than or equal to the downside threshold level: |
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(i) the stated principal amount plus (ii) the contingent monthly payment with respect to the final determination date |
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If the final index
value is less than the downside threshold level: |
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(i) the stated principal amount times (ii) the index performance factor. This amount will be less than 75% of the stated principal amount and could be zero. |
Downside threshold level: |
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188.73405, which is equal to 75% of the initial index value |
Initial index value: |
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251.6454, which was the closing level of the underlying index on the pricing date |
Final index value: |
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The closing level of the underlying index on the final determination date |
Index performance factor: |
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final index value / initial index value |
Stated principal amount: |
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$1,000 per security |
Issue price: |
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$1,000 per security (see Commissions and issue price below) |
Pricing date: |
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March 27, 2015 |
Original issue date (settlement date): |
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April 1, 2015 |
Maturity date: |
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October 1, 2015, 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. 2a-I or early acceleration in the event of a commodity hedging disruption event as described under General Terms of Notes Consequences of a Commodity Hedging Disruption Event Acceleration of the Notes in the
accompanying product supplement no. 2a-I and in Risk Factors We May Accelerate Your Notes If a Commodity Hedging Disruption Event Occurs in the accompanying product supplement no. 2a-I |
CUSIP/ISIN: |
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48125UDH2 / US48125UDH23 |
Listing: |
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The securities will not be listed on any securities exchange. |
Agent: |
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J.P. Morgan Securities LLC (JPMS) |
Commissions and issue price: |
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Price to public(1) |
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Fees and commissions |
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Proceeds to issuer |
Per security |
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$1,000.00 |
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$7.50(2) |
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$987.50 |
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$5.00(3) |
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Total |
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$8,021,000.00 |
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$100,262.50 |
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$7,920,737.50 |
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(1) |
See Additional Information about the Securities Supplemental use of proceeds and hedging in the accompanying preliminary terms for information about the components of the price to public of the
securities. |
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(2) |
JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $7.50 per $1,000 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-79 of the accompanying product supplement no. 2a-I. |
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(3) |
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000 stated principal amount security |
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The estimated value of the securities on the pricing date as determined by JPMS was $983.80 per $1,000 stated principal
amount security. See Additional Information about the Securities JPMSs estimated value of the securities in the accompanying 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 preliminary terms describing the offering and the related product
supplement no. 2a-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
preliminary terms.
Preliminary terms no. 337 dated March
19, 2015: http://www.sec.gov/Archives/edgar/data/19617/000095010315002199/dp54520_fwp-337.htm
Product supplement no. 2a-I dated November
7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008404/e61363_424b2.pdf
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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