November 2015
Pricing Sheet dated November 13, 2015 relating to
Preliminary Terms No. 503 dated November 6, 2015
Registration Statement No. 333-199966
Filed pursuant to Rule 433
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PRICING TERMS - November 13, 2015
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Issuer:
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JPMorgan Chase & Co.
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Underlying stock:
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Common stock of Walgreens Boots Alliance
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Aggregate principal amount:
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$7,861,060
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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 is greater than or equal to the downside threshold level, we will pay a contingent quarterly payment of $0.225 (2.25% of the stated principal amount) per security on the related contingent payment date.
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● If, on any determination date, the closing price 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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February 16, 2016, May 13, 2016, August 15, 2016, November 16, 2016, February 13, 2017, May 15, 2017, August 14, 2017, November 13, 2017, February 13, 2018, May 14, 2018, August 13, 2018 and November 13, 2018, subject to postponement for non-trading days and certain market disruption events.
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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 stated principal amount times (ii) the stock performance factor. This cash payment will be less than 80% of the stated principal amount of the securities and could be zero.
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Downside threshold level:
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$63.336, which is equal to 80% of the initial stock price
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Initial stock price:
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$79.17, 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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Stock performance factor:
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final stock price / initial stock price
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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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November 13, 2015
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Original issue date (settlement date):
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November 18, 2015
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Maturity date:
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November 16, 2018, 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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48127Y359 / US48127Y3595
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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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$10.00
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$0.20(2)
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$9.75
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$0.05(3)
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Total
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$7,861,060.00
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$196,526.50
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$7,664,533.50
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(1) | See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document 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 $0.20 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. |