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October 2014
Pricing Sheet dated October 31, 2014 relating to
Preliminary Terms No. 226 dated October 20, 2014
Registration Statement No. 333-177923
Filed pursuant to Rule 433
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STRUCTURED INVESTMENTS
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Opportunities in U.S. Equities
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PLUS Based on the Value of the S&P 500® Index due February 4, 2016
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Performance Leveraged Upside SecuritiesSM
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Principal at Risk Securities
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PRICING TERMS — October 31, 2014
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Issuer:
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JPMorgan Chase & Co.
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Underlying index:
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S&P 500® Index
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Aggregate principal amount:
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$8,626,440
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Payment at maturity:
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If the final index value is greater than the initial index value, for each $10 stated principal amount PLUS,
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$10 + leveraged upside payment
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In no event will the payment at maturity exceed the maximum payment at maturity.
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If the final index value is less than or equal to the initial index value, for each $10 stated principal amount PLUS,
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$10 × index performance factor
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This amount will be less than or equal to the stated principal amount of $10 per PLUS.
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Leveraged upside payment:
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$10 × leverage factor × index percent increase
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Index percent increase:
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(final index value – initial index value) / initial index value
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Initial index value:
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The index closing value of the underlying index on the pricing date, which was 2,018.05
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Final index value:
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The index closing value of the underlying index on the valuation date
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Leverage factor:
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300%
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Index performance factor:
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final index value / initial index value
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Maximum payment at maturity:
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$11.25 (112.50% of the stated principal amount) per PLUS
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Stated principal amount:
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$10 per PLUS
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Issue price:
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$10 per PLUS (see “Commissions and issue price” below)
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Pricing date:
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October 31, 2014
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Original issue date (settlement date):
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November 5, 2014
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Valuation date:
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February 1, 2016, subject to postponement in the event of certain market disruption events and as described under “Description of PLUS — Postponement of a Determination Date” in the accompanying product supplement no. MS-1-III
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Maturity date:
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February 4, 2016, subject to postponement in the event of certain market disruption events and as described under “Description of PLUS — Payment at Maturity” in the accompanying product supplement no. MS-1-III
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CUSIP / ISIN:
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48127H224 / US48127H2242
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Listing:
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The PLUS 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)(2)
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Fees and commissions
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Proceeds to issuer
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Per PLUS
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$10.00
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$0.175(2)(3)
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$9.775
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$0.05(2)(4)
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Total
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$8,626,440.00
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$194,094.90
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$8,432,345.10
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(1)
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See “Additional Information about the PLUS — Use of proceeds and hedging” in the accompanying preliminary terms for information about the components of the price to public of the PLUS.
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(2)
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The actual price to public and commissions for a particular investor may be reduced for volume purchase discounts depending on the aggregate amount of PLUS purchased by that investor. The lowest price payable by an investor is $9.925 per PLUS. Please see “Syndicate Information” in the accompanying preliminary terms for further details.
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(3)
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JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $0.175 per $10 stated principal amount PLUS it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). See “Underwriting (Conflicts of Interest)” beginning on page PS-69 of the accompanying product supplement no. MS-1-III.
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(4)
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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 PLUS
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The estimated value of the PLUS on the pricing date as determined by JPMS was $9.771 per $10 stated principal amount PLUS. See “Additional Information about the PLUS — JPMS’s estimated value of the PLUS” in the accompanying preliminary terms for additional information.
The 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. MS-1-III, underlying supplement no. 1-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.
Preliminary terms no. 226 dated October 20, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214007828/e61070fwp.htm
Product supplement no. MS-1-III dated March 18, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214002102/e57956_424b2.pdf
Underlying supplement no. 1-I dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007615/e46154_424b2.pdf
Prospectus supplement dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007578/e46180_424b2.pdf
Prospectus dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007568/e46179_424b2.pdf
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.