Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 13 2015 - 2:20PM
Edgar (US Regulatory)
October
2015
Pricing Sheet dated October 9, 2015
relating to
Preliminary Terms No. 492 dated
October 8, 2015
Registration Statement No. 333-199966
Filed pursuant to Rule 433
Structured Investments
Opportunities in U.S. Equities
Auto-Callable Dual Directional Securities due October
12, 2017
Based on the Performance of the Class A Common
Stock of Facebook, Inc.
Principal at Risk Securities
PRICING TERMS — October 9, 2015 |
Issuer: |
JPMorgan Chase & Co. |
Underlying stock: |
Class A Common Stock of Facebook, Inc. |
Aggregate principal amount: |
$3,000,000 |
Automatic early redemption: |
If, on any of the determination dates (other than the final determination date), the closing price of the underlying stock is greater than or equal to the initial stock price, the securities will be automatically redeemed for a cash payment equal to the early redemption payment payable on the applicable redemption date. |
Early redemption payment: |
The early redemption payment will be an amount equal to the stated principal amount plus an amount in cash per stated principal amount corresponding to a return of 5.00% per annum or 1.25% for each quarterly determination date, as follows: |
·
1st determination date: $10.125
·
2nd determination date: $10.250
·
3rd determination date: $10.375
·
4th determination date: $10.500
·
5th determination date: $10.625
·
6th determination date: $10.750
·
7th determination date: $10.875
No further payments will be made on the securities once they
have been redeemed. |
Determination dates: |
January 11, 2016, April 11, 2016, July 11, 2016, October 11, 2016, January 9, 2017, April 10, 2017, July 10, 2017 and October 9, 2017, subject to postponement for non-trading days and certain market disruption events |
Redemption dates: |
With respect to each determination date other than the final determination date, the third business day after the related determination date |
Payment at maturity: |
If the securities have not previously been redeemed, you will receive at maturity a cash payment, for each $10 stated principal amount security, as follows: |
· If
the final stock price is greater than or equal to the initial stock price: |
the maturity redemption payment, which is an amount in cash per stated principal amount corresponding to a return of 5.00% per annum, or $11.00 |
· If the final stock price is less than the initial stock price but is greater than or equal to the trigger level: |
$10 + ($10 × absolute stock return)
In this scenario, you will receive a 1% positive return
on the securities for each 1% negative return on the underlying stock. In no event will this amount exceed the stated principal
amount plus $5.00. |
· If
the final stock price is less than the trigger level: |
$10 × stock performance factor
This amount will be less than the stated principal amount
of $10 per securities and will represent a loss of more than 50%, and possibly all, of your investment. |
Stock percent change: |
(final stock price – initial stock price) / initial stock price |
Absolute stock return: |
The absolute value of the stock percent change. For example, a -5% stock percent change will result in a +5% absolute stock return |
Trigger level: |
$46.62, which is equal to 50% of the initial stock price |
Initial stock price: |
$93.24, which was the closing price of the underlying stock on the pricing date |
Final stock price: |
The closing price of the underlying stock on the final determination date |
Stock adjustment factor: |
The stock adjustment factor is referenced in determining the closing price of the underlying stock and is set initially at 1.0 on the pricing date. The stock adjustment factor is subject to adjustment in the event of certain corporate events affecting the underlying stock. |
Stock performance factor: |
final stock price / initial stock price |
Stated principal amount: |
$10 per security |
Issue price: |
$10 per security (see “Commissions and issue price” below) |
Pricing date: |
October 9, 2015 |
Original issue date (settlement date): |
October 15, 2015 |
Maturity date: |
October 12, 2017, 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: |
48127Y557 / US48127Y5574 |
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 |
$0.115(2) |
$9.835 |
|
|
|
$0.05(3) |
|
Total |
|
$3,000,000.00 |
$49,500.00 |
$2,950,500.00 |
|
|
|
|
|
|
| (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. |
| (2) | JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $0.115 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 $9.742 per $10 stated principal amount security. See “Additional Information about the Securities
— JPMS’s 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. 4a-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. 492 dated October 8, 2015:
http://www.sec.gov/Archives/edgar/data/19617/000095010315008090/dp60427_fwp-3p998.htm
Product supplement no. 4a-I dated November 7,
2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_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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