January
2016
Pricing Sheet dated January 29, 2016 relating to
Preliminary Pricing Supplement dated January 7, 2016
Registration Statement No. 333-199966
Filed pursuant to Rule 433
Structured Investments
Opportunities in U.S. Equities
Contingent Income Callable Securities due February 3, 2026
Based on the Value of the S&P 500®
Index
Principal at Risk Securities
| PRICING TERMS — January 29, 2016 | |||||
| Issuer: | JPMorgan Chase & Co. | ||||
| Underlying index: | S&P 500® Index | ||||
| Aggregate principal amount: | $4,301,900 | ||||
| Optional early redemption: | We, at our discretion, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the first, second, third and final contingent payment dates) for the early redemption payment. If we intend to redeem your securities early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before the applicable contingent payment date. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the underlying index. No further payments will be made on the securities after they have been redeemed. No further payments will be made on the securities once they have been redeemed. | ||||
| Early redemption payment: | The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) any contingent quarterly payment with respect to the related determination date. | ||||
| Contingent quarterly payment: |
· If, on any determination date, the closing level is greater than or equal to the coupon barrier level, we will pay a contingent quarterly payment of $0.1763 (1.7625% of the stated principal amount) per security on the related contingent payment date. · If, on any determination date, the closing level is less than the coupon barrier level, no contingent quarterly payment will be made with respect to that determination date. | ||||
| Determination dates: | April 29, 2016, July 29, 2016, October 31, 2016, January 30, 2017, April 28, 2017, July 31, 2017, October 30, 2017, January 29, 2018, April 30, 2018, July 30, 2018, October 29, 2018, January 29, 2019, April 29, 2019, July 29, 2019, October 29, 2019, January 29, 2020, April 29, 2020, July 29, 2020, October 29, 2020, January 29, 2021, April 29, 2021, July 29, 2021, October 29, 2021, January 31, 2022, April 29, 2022, July 29, 2022, October 31, 2022, January 30, 2023, April 28, 2023, July 31, 2023, October 30, 2023, January 29, 2024, April 29, 2024, July 29, 2024, October 29, 2024, January 29, 2025, April 29, 2025, July 29, 2025, October 29, 2025 and January 29, 2026, subject to postponement for non-trading days and certain market disruption events. | ||||
| Contingent payment dates: | With respect to each determination date other than the final determination date, the fifth business day after the related determination date. The payment of the contingent quarterly payment, if any, with respect to the final determination date will be made on the maturity date. | ||||
| Payment at maturity: | · If the final index value is greater than or equal to the downside threshold level: | (i) the stated principal amount plus, (ii) if the final index value is also greater than or equal to the coupon barrier level, the contingent quarterly payment with respect to the final determination date | |||
| · If the final index value is less than the downside threshold level: | (i) the stated principal amount times (ii) the index performance factor. This amount will be less than 60% of the stated principal amount of the securities and could be zero. | ||||
| Coupon barrier level: | 1,455.18, which is equal to 75% of the initial index value | ||||
| Downside threshold level: | 1,164.144, which is equal to 60% of the initial index value | ||||
| Initial index value: | 1,940.24, which was the closing level of the underlying index on the pricing date | ||||
| Final index value: | The closing level of the underlying index on the final determination date | ||||
| Index performance factor: | final index value / initial index value | ||||
| Stated principal amount: | $10 per security | ||||
| Issue price: | $10 per security (see “Commissions and issue price” below) | ||||
| Pricing date: | January 29, 2016 | ||||
| Original issue date (settlement date): | February 3, 2016 | ||||
| Maturity date: | February 3, 2026, 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: | 48128A533 / US48128A5332 | ||||
| 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 | $0.30(2) | $9.65 | ||
| $0.05(3) | |||||
| Total | $4,301,900.00 | $150,566.50 | $4,151,333.50 | ||
| (1) | See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in the accompanying preliminary pricing supplement 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 $0.30 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 $9.45 per $10 stated principal amount security. See “Additional Information about the Securities — JPMS’s estimated value of the securities” in the accompanying preliminary pricing supplement 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 pricing supplement 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 preliminary pricing supplement.
Preliminary pricing supplement dated January 7, 2016: http://www.sec.gov/Archives/edgar/data/19617/000089109216011259/e67717_424b2.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 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.