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October 2015

 

Pricing Sheet dated October 5, 2015 relating to

Preliminary Terms No. 481 dated September 24, 2015

Registration Statement No. 333-199966

Filed pursuant to Rule 433

STRUCTURED INVESTMENTS

Opportunities in U.S. Equities

PLUS Based on the Value of the S&P 500® Index due October 13, 2016

Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

   PRICING TERMS — October 2, 2015  
   Issuer:   JPMorgan Chase & Co.
   Underlying index:   S&P 500® Index
   Aggregate principal amount:   $4,220,600
   Payment at maturity:  

If the final index value is greater than the initial index value, for each $10 stated principal amount PLUS,

      $10 + leveraged upside payment

      In no event will the payment at maturity exceed the maximum payment at maturity.

If the final index value is less than or equal to the initial index value, for each $10 stated principal amount PLUS,

      $10 × index performance factor

      This amount will be less than or equal to the stated principal amount of $10 per PLUS.

   Leveraged upside payment:   $10 × leverage factor × index percent increase
   Index percent increase:   (final index value – initial index value) / initial index value
   Initial index value:   The closing level of the underlying index on the pricing date, which was 1,951.36
   Final index value:   The closing level of the underlying index on the valuation date
   Leverage factor:   300%
   Index performance factor:   final index value / initial index value
   Maximum payment at maturity:   $11.30 (113.00% of the stated principal amount) per PLUS.
   Stated principal amount:   $10 per PLUS
   Issue price:   $10 per PLUS (see “Commissions and issue price” below)
   Pricing date:   October 2, 2015
   Original issue date (settlement
   date):		   October 7, 2015
   Valuation date:   October 10, 2016, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date” in the accompanying product supplement no. 4a-I
   Maturity date:   October 13, 2016, 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:   48127Y722 / US48127Y7224
   Listing:   The PLUS 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 PLUS

    $10    $0.175(2)    $9.775
      $0.05(3)   

     Total

    $4,220,600.00    $94,963.50    $4,125,636.50
  (1) See “Additional Information about the PLUS — Supplemental use of proceeds and hedging” in the accompanying preliminary terms for information about the components of the price to public of the PLUS.  
  (2) JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $0.175 per $10 stated principal amount 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 PLUS  

The estimated value of the PLUS on the pricing date as determined by JPMS was $9.733 per $10 stated principal amount PLUS. See “Additional Information about the PLUS — JPMS’s estimated value of the PLUS” in the accompanying preliminary terms for additional information.

The 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 PLUS” in the accompanying preliminary terms.

Preliminary terms no. 481 dated September  24, 2015: http://www.sec.gov/Archives/edgar/data/19617/000114036115035908/formfwp.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

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