Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
September 02 2015 - 5:30PM
Edgar (US Regulatory)
|
August 2015
Pricing Sheet dated August 31,
2015 relating to
Preliminary Terms No. 433 dated July
30, 2015
Registration Statement No. 333-199966
Filed pursuant to Rule 433
|
Structured
Investments
Opportunities in U.S.
and International Equities
Trigger PLUS Based on the Performance of an Equally
Weighted Basket of Three Indices
due September 6, 2018
Performance Leveraged
Upside SecuritiesSM
Principal at Risk
Securities
PRICING TERMS — August 31, 2015 |
Issuer: |
JPMorgan Chase & Co. |
Basket: |
Underlying indices |
Bloomberg ticker symbol |
Basket weighting |
|
S&P 500® Index (the “SPX Index”) |
SPX |
1/3 |
|
EURO STOXX 50® Index (the “SX5E Index”) |
SX5E |
1/3 |
|
TOPIX® Index (the “TPX Index”) |
TPX |
1/3 |
We refer to the SPX Index, the SX5E Index and the TPX Index as the underlying indices. |
Aggregate principal amount: |
$7,051,870 |
Payment at maturity:
|
If the final basket value is greater than the initial basket value, for each $10 stated principal amount Trigger PLUS, |
|
$10 + leveraged upside payment |
|
In no event will the payment at maturity exceed the maximum payment at maturity. |
|
If the final basket value is less than or equal to the initial basket value but is greater than or equal to the trigger level, for each $10 stated principal amount Trigger PLUS, |
|
$10 |
|
If the final basket value is less than the trigger level, for each $10 stated principal amount Trigger PLUS |
|
$10 × basket performance factor |
|
This amount will be less than the stated principal amount of $10 per Trigger PLUS and will represent a loss of more than 15% and possibly all of your investment. |
Leveraged upside payment: |
$10 × leverage factor × basket percent increase |
Basket percent increase: |
(final basket value – initial basket value) / initial basket value |
Initial basket value:
|
Set equal to 100 on the pricing date |
Final basket value: |
The closing value of the basket on the valuation date |
Trigger level: |
85% of the initial basket value |
Leverage factor: |
200% |
Basket performance factor: |
final basket value / initial basket value |
Maximum payment at maturity: |
$13.60 (136.00% of the stated principal amount) per Trigger PLUS |
Stated principal amount: |
$10 per Trigger PLUS |
Issue price: |
$10 per Trigger PLUS (see “Commissions and issue price” below) |
Pricing date: |
August 31, 2015 |
Original issue date (settlement
date): |
September 3 , 2015 |
Valuation date: |
August 31, 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 Multiple Underlyings” in the accompanying product supplement no. 4a-I |
Maturity date: |
September 6, 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: |
48127V710 / US48127V7102 |
Listing: |
The Trigger PLUS will not be listed on any securities exchange. |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
|
Terms continued on the following page |
Commissions
and issue price: |
Price
to public(1) |
Fees
and commissions |
Proceeds
to issuer |
Per
Trigger PLUS |
$10.00 |
$0.25(2) |
$9.70 |
|
|
$0.05(3) |
|
Total |
$7,051,870.00 |
$211,556.10 |
$6,840,313.90 |
|
|
|
|
|
|
| (1) | See “Additional Information about the Trigger PLUS
— Supplemental use of proceeds and hedging” in the accompanying preliminary terms for information about the components
of the price to public of the Trigger PLUS. |
| (2) | JPMS, acting as agent for JPMorgan Chase & Co., will
pay all of the selling commissions of $0.30 per $10 stated principal amount Trigger PLUS 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 Trigger PLUS |
The estimated value of the Trigger PLUS on the pricing
date as determined by JPMS was $9.647 per $10 stated principal amount Trigger PLUS. See “Additional Information about the
Trigger PLUS — JPMS’s estimated value of the Trigger PLUS” in the accompanying preliminary terms for additional
information.
The Trigger PLUS 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. 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 Trigger PLUS” in the accompanying
preliminary terms
Preliminary
terms no. 433 dated July 30, 2015: http://www.sec.gov/Archives/edgar/data/19617/000119312515271046/d67567dfwp.htm
Product
supplement no. 4a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_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 Securities and Exchange Commission (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.
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices
and an Exchange-Traded Fund due September 6, 2018
Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
Terms continued from previous page: |
Closing value of the basket: |
The closing value of the basket on the valuation date will
be calculated as follows:
100 × [1 + sum of (index return of each underlying index
× basket weighting of that underlying index)] |
Index return: |
With respect to each underlying index:
(final index
value – initial index value)
initial index value |
Initial index value: |
With respect to each underlying index, the closing level of that underlying index on the pricing date, which was 1,972.18 for the S&P 500® Index, 3,269.63 for the EURO STOXX 50® Index and 1,537.05 for the TOPIX® Index |
Final index value: |
With respect to each underlying index, the closing level of that underlying index on the valuation date |
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