FWP 1 dp47882_fwp-3p442.htm PRICING SHEET
 
 
   July 2014
Pricing Sheet dated July 11, 2014 relating to
Preliminary Terms No. 164 dated July 9, 2014
Registration Statement No. 333-177923
Filed pursuant to Rule 433
STRUCTURED INVESTMENTS
Opportunities in Commodities
Trigger PLUS Based on the Performance of an Equally Weighted Basket of Two Commodities and Futures Contracts on Three Commodities due January 17, 2017
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
 
PRICINGTERMS — JULY 11, 2014
Issuer:
JPMorgan Chase & Co.
Basket:
Basket components
Bloomberg ticker symbol
Weighting
 
WTI crude oil futures contract
CL1 or CL2
20%
 
RBOB gasoline futures contract
XB1 or XB2
20%
 
Copper
LOCADY
20%
 
Palladium
PLDMLNPM
20%
 
Soybean futures contract
S 1 or S 2
20%
Aggregate principal amount:
$3,000,000
Payment at maturity:
If the final basket value is greater than the initial basket value, for each $1,000 stated principal amount Trigger PLUS,
 
$1,000 + leveraged upside payment
 
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 $1,000 stated principal amount Trigger PLUS,
 
$1,000
 
If the final basket value is less than the trigger level, for each $1,000 stated principal amount Trigger PLUS,
 
$1,000 × basket performance factor
 
This amount will be less than the stated principal amount of $1,000 per Trigger PLUS and will represent a loss of more than 20% and possibly all of your investment.
 
The payment at maturity is subject to the impact of a commodity hedging disruption event as described under “General Terms of Notes — Consequences of a Commodity Hedging Disruption Event — Early Acceleration of Payment on the Notes” in the accompanying product supplement no. 2-I and in “Risk Factors — We may accelerate your PLUS if a commodity hedging disruption event occurs” in these preliminary terms.
Leveraged upside payment:
$1,000 × 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 basket closing value on the valuation date
Trigger level:
80% of the initial basket value
Leverage factor:
207%
Basket performance factor:
final basket value / initial basket value
Stated principal amount:
$1,000 per Trigger PLUS
Issue price:
$1,000 per Trigger PLUS (see “Commissions and issue price” below)
Pricing date:
July 11, 2014
Original issue date (settlement date):
July 16, 2014
Valuation date:
January 11, 2017, subject to adjustment for non-trading days or certain market disruption events and as described under “Description of Notes — Postponement of a Determination Date — Least Performing Component Notes or Basket Notes” in the accompanying product supplement no. 2-I
Maturity date:
January 17, 2017, subject to postponement for certain market disruption events and as described under “Description of Notes — Payment at Maturity” in the accompanying product supplement no. 2-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 — Early Acceleration of Payment on the Notes” in the accompanying product supplement no. 2-I.
CUSIP / ISIN:
48127DSN9 / US48127DSN92
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(2)
Proceeds to Issuer
Per Trigger PLUS
$1,000
$8
$992
Total
$3,000,000
$24,000
$2,976,000
 
(1)
See “Additional Information about the Trigger PLUS — “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 $8.00 per $1,000 stated principal amount Trigger PLUS it receives from us to Morgan Stanley Smith Barney LLC  See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-89 of the accompanying product supplement no. 2-I.
The estimated value of the Trigger PLUS on the pricing date as determined by JPMS was $991.40 per $1,000 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 and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they 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. 2-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.
 
 
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 Commodities and Futures Contracts on Three Commodities due January 17, 2017
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
 
Terms continued from previous page:
Basket closing value:
The basket closing value on the valuation date will be calculated as follows:
100 × [1 + sum of (component return of each basket component × weighting of each such basket component)]
Component return:
(final component price – initial component price) / initial component price
Initial component price
With respect to each basket component, the component price of that basket component on the pricing date, which was $100.83 for the WTI crude oil futures contract, $2.9085 for the RBOB gasoline futures contract, $7,151.00 for copper, $867.00 for palladium and 1,195.75¢ for the soybean futures contract
Final component price:
With respect to each basket component, the component price of that basket component on the valuation date
Component price:
With respect to WTI crude oil futures contracts, on any relevant day, the official settlement price per barrel on the New York Mercantile Exchange (the “NYMEX”) of the first nearby month futures contract for WTI crude oil, stated in U.S. dollars, as made public by the NYMEX (Bloomberg symbol: “CL1” <Comdty>), provided that if that day falls on the last trading day of such futures contract (all pursuant to the rules of the NYMEX), then the second nearby month futures contract (Bloomberg symbol: “CL2” <Comdty>) on that day.
 
With respect to RBOB gasoline futures contracts, on any relevant day, the official settlement price per gallon of New York Harbor reformulated gasoline blendstock for oxygen blending (“RBOB gasoline”) on the NYMEX of the first nearby month futures contract for RBOB gasoline, stated in U.S. dollars, as made public by the NYMEX (Bloomberg symbol: “XB1” <Comdty>), provided that if that day falls on the last trading day of such futures contract (all pursuant to the rules of the NYMEX), then the second nearby month futures contract (Bloomberg symbol: “XB2” <Comdty>) on that day.
 
With respect to copper, on any relevant day, the official cash offer price per tonne of copper Grade A on the London Metal Exchange (the “LME”) for the spot market, stated in U.S. dollars, as determined by the LME (Bloomberg symbol: “LOCADY” <Comdty>) on that day.
 
With respect to palladium, on any relevant day, the official afternoon fixing price of palladium for delivery in Zurich through a member of the London Platinum and Palladium Market (the “LPPM”) authorized to effect such delivery, stated in U.S. dollars per troy ounce gross, as determined and quoted on the LPPM (Bloomberg symbol: “PLDMLNPM” <Comdty>) on that day.
 
With respect to soybean futures contracts, on any relevant day, the official settlement price per bushel of deliverable-grade soybeans on the Chicago Board of Trade (the “CBOT”) of the first nearby month futures contract, stated in U.S. cents, as made public by the CBOT (Bloomberg symbol: “S 1” <Comdty>), provided that if that day is after the date of the last trade of the options contract (if there is more than one options contract, then the options contract with the latest date) pertaining to the first nearby month futures contract, the second nearby month futures contract (Bloomberg symbol: “S 2” <Comdty>) on that day.
 
 
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