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July 2015
Pricing Sheet dated July 31, 2015 relating to
Preliminary Terms No. 407 dated June 26, 2015
Registration Statement No. 333-199966
Filed pursuant to Rule 433
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PRICING TERMS -- July 31, 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 500® Index
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Aggregate principal amount:
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$6,607,910
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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,
$10 + leveraged upside payment
In no event will the payment at maturity exceed the maximum payment at maturity.
If the final index value is less than or equal to the initial index value, for each $10 stated principal amount PLUS,
$10 × index performance factor
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 closing level of the underlying index on the pricing date, which was 2,103.84
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Final index value:
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The closing level 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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$11.20 (112.00% 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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July 31, 2015
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Original issue date (settlement date):
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August 5, 2015
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Valuation date:
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October 31, 2016, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date” in the accompanying product supplement no. 4a-I
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Maturity date:
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November 3, 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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48127X229 / US48127X2291
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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)
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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
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$0.175(2)
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$9.775
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$0.05(3)
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Total
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$6,607,910.00
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$148,677.975
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$6,459,232.025
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(1)
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See “Additional Information about the PLUS — Supplemental 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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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 “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
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(3)
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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 PLUS
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