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April 2015
Pricing Sheet dated April 30, 2015 relating to
Preliminary Terms No. 359 dated April 23, 2015 Registration Statement No. 333-199966
Filed pursuant to Rule 433
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PRICING TERMS — April 30, 2015
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Issuer:
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JPMorgan Chase & Co.
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Underlying index:
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S&P GSCITM Crude Oil Index Excess Return
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Aggregate principal amount:
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$6,841,000
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Early redemption:
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If, on any determination date (other than the final determination date), the closing level of the underlying index is greater than or equal to the initial index value, 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 monthly payment with respect to the related determination date.
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Contingent monthly payment:
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· If, on any determination date, the closing level or the final index value, as applicable, is greater than or equal to the downside threshold level, we will pay a contingent monthly payment of $15.6667 (1.56667% of the stated principal amount) per security on the related contingent payment date.
· If, on any determination date, the closing level or the final index value, as applicable, is less than the downside threshold level, no contingent monthly payment will be made with respect to that determination date.
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Determination dates:
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June 1, 2015, June 30, 2015, July 30, 2015, August 31, 2015, September 30, 2015 and October 30, 2015, subject to postponement for non-trading days and certain market disruption events. We also refer to October 30, 2015 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 monthly 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 index value is greater than or equal to the downside threshold level:
· If the final index value is less than the downside threshold level:
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(i) the stated principal amount plus (ii) the contingent monthly payment with respect to the final determination date
(i) the stated principal amount times (ii) the index performance factor. This amount will be less than 80% of the stated principal amount and could be zero.
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Downside threshold level:
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237.87368, which is equal to 80% of the initial index value
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Initial index value:
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297.3421, which was the closing level of the underlying index on the pricing date
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Final index value:
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The closing level of the underlying index on the final determination date
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Index performance factor:
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final index value / initial index value
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Stated principal amount:
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$1,000 per security
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Issue price:
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$1,000 per security (see “Commissions and issue price” below)
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Pricing date:
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April 30, 2015
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Original issue date (settlement date):
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May 5, 2015
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Maturity date:
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November 4, 2015, 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. 2a-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 — Acceleration of the Notes” in the accompanying product supplement no. 2a-I and in “Risk Factors — We May Accelerate Your Notes If a Commodity Hedging Disruption Event Occurs” in the accompanying product supplement no. 2a-I
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CUSIP/ISIN:
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48125UDW9 / US48125UDW99
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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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$1,000.00
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$7.50(2)
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$987.50
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$5.00(3)
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Total
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$6,841,000.00
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$85,512.50
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$6,755,487.50
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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. |
(2) | JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $7.50 per $1,000 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-79 of the accompanying product supplement no. 2a-I. |
(3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000 stated principal amount security |