Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
22 April 2015 - 5:12AM
Edgar (US Regulatory)
|
April 2015
Pricing Sheet dated April 17, 2015
relating to
Preliminary Terms No. 354 dated
April 8, 2015
Registration Statement No. 333-199966
Filed pursuant to Rule 433 |
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due April
21, 2016
Based on the Performance of the Common Stock of
Celgene Corporation
Principal at Risk Securities
PRICING
TERMS - April 17, 2015 |
Issuer: |
JPMorgan
Chase & Co. |
Underlying
stock: |
Common stock
of Celgene Corporation |
Aggregate
principal amount: |
$6,889,100 |
Early
redemption: |
If, on any
determination date (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 an early redemption payment on
the first contingent payment date immediately following the related determination date. 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) the contingent quarterly payment
with respect to the related determination date. |
Contingent
quarterly payment: |
●
If, on any determination date, the closing price or the final stock price, as applicable,
is greater than or equal to the downside threshold level, we will pay a contingent quarterly payment of $0.35 (3.50% of
the stated principal amount) per security on the related contingent payment date.
●
If, on any determination date, the closing price or the final stock price, as applicable,
is less than the downside threshold level, no contingent quarterly payment will be made with respect to that determination
date. |
Determination
dates: |
July 17,
2015, October 19, 2015, January 19, 2016 and April 18, 2016, subject to postponement for non-trading days and certain market
disruption events. We also refer to April 18, 2016 as the final determination date. |
Contingent
payment dates: |
With respect
to each determination date other than the final determination date, the third 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 stock price is greater than or equal to the downside threshold level: |
(i) the
stated principal amount plus (ii) the contingent quarterly payment with respect to the final determination date |
|
●
If the final stock price is less than the downside threshold
level: |
(i) the cash value or
(ii) at our option, a number of shares of the underlying stock equal to the exchange ratio as of the final determination date |
Cash
value: |
The amount
in cash equal to the stated principal amount times the closing price of one share of the underlying stock on the final
determination date, divided by the initial stock price |
Exchange
ratio: |
0.08813,
which is the stated principal amount times the stock adjustment factor, divided by the initial stock price (subject
to adjustment) |
Downside
threshold level: |
$90.776,
which is equal to 80% of the initial stock price |
Initial
stock price: |
$113.47,
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. |
Stated
principal amount: |
$10 per security |
Issue
price: |
$10 per security
(see “Commissions and issue price” below) |
Pricing
date: |
April
17, 2015 |
Original
issue date (settlement date): |
April 22,
2015 |
Maturity
date: |
April 21,
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: |
48127T483
/ US48127T4830 |
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 |
$0.125(2) |
$9.825 |
|
|
|
|
$0.05(3) |
|
|
Total |
|
$6,889,100 |
$120,559.25 |
$6,768,540.75 |
| (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 $0.125 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 $9.815 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. 354 dated April 8, 2015:
http://www.sec.gov/Archives/edgar/data/19617/000119312515124200/d907409dfwp.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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