June 2015
Pricing Sheet dated June 26, 2015 relating to
Preliminary Terms No. 402 dated June 17, 2015
Registration Statement No. 333-199966
Filed pursuant to Rule 433
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PRICING TERMS - June 26, 2015 | |||||
Issuer:
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JPMorgan Chase & Co.
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Underlying stock:
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Common stock of Halliburton Company
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Aggregate principal amount:
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$8,886,770
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Early redemption:
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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.
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Early redemption payment:
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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.
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Contingent quarterly payment:
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● 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 $0.25 (2.50% 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.
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Determination dates:
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September 28, 2015, December 28, 2015, March 28, 2016 and June 29, 2016, subject to postponement for non-trading days and certain market disruption events. We also refer to June 29, 2016 as the final determination date.
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Contingent payment dates:
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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.
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Payment at maturity:
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● If the final stock price is greater than or equal to the downside threshold level:
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(i) the stated principal amount plus (ii) the contingent quarterly payment with respect to the final determination date
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● If the final stock price is less than the downside threshold level:
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(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
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Cash value:
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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
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Exchange ratio:
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0.23191, which is the stated principal amount times the stock adjustment factor, divided by the initial stock price (subject to adjustment)
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Downside threshold level:
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$34.496, which is equal to 80% of the initial stock price
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Initial stock price:
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$43.12, which was the closing price of the underlying stock on the pricing date
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Final stock price:
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The closing price of the underlying stock on the final determination date
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Stock adjustment factor:
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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.
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Stated principal amount:
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$10 per security
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Issue price:
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$10 per security (see “Commissions and issue price” below)
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Pricing date:
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June 26, 2015
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Original issue date (settlement date):
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July 1, 2015
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Maturity date:
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July 5, 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
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CUSIP/ISIN:
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48127X294 / US48127X2945
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Listing:
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The securities will not be listed on any securities exchange.
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Agent:
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J.P. Morgan Securities LLC (“JPMS”)
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Commissions and issue price:
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Price to public(1)
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Fees and commissions
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Proceeds to issuer
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Per security
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$10
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$0.125(2)
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$9.825
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$0.05(3)
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Total
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$8,886,770
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$155,518.475
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$8,731,251.525
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(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.
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(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.
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(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.
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