Pricing Sheet dated July 31, 2015 relating to
Preliminary Terms No. 410 dated June 30, 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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Basket:
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Underlying indices
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Bloomberg ticker symbol
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Basket weighting
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S&P 500® Index (the “SPX Index”)
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SPX
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1/3
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EURO STOXX 50® Index (the “SX5E Index”)
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SX5E
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1/3
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TOPIX® Index (the “TPX Index”)
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TPX
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1/3
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We refer to the SPX Index, the SX5E Index and the TPX Index as the underlying indices.
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Aggregate principal amount:
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$9,072,900
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Payment at maturity:
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If the final basket value is greater than the initial basket value, for each $10 stated principal amount Trigger 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 basket value is less than or equal to the initial basket value but is greater than or equal to the trigger level, for each $10 stated principal amount Trigger PLUS,
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$10
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If the final basket value is less than the trigger level, for each $10 stated principal amount Trigger PLUS
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$10 × basket performance factor
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This amount will be less than the stated principal amount of $10 per Trigger PLUS and will represent a loss of more than 15% and possibly all of your investment.
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Leveraged upside payment:
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$10 × leverage factor × basket percent increase
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Basket percent increase:
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(final basket value – initial basket value) / initial basket value
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Initial basket value:
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Set equal to 100 on the pricing date
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Final basket value:
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The closing value of the basket on the valuation date
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Trigger level:
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85% of the initial basket value
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Leverage factor:
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200%
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Basket performance factor:
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final basket value / initial basket value
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Maximum payment at maturity:
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$13.65 (136.50% of the stated principal amount) per Trigger PLUS
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Stated principal amount:
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$10 per Trigger PLUS
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Issue price:
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$10 per Trigger 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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July 31, 2018, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” in the accompanying product supplement no. 4a-I
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Maturity date:
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August 3, 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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48127X211 / US48127X2119
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Listing:
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The Trigger 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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Terms continued on the following page
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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 Trigger PLUS
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$10.00
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$0.25(2)
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$9.70
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$0.05(3)
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Total
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$9,072,900.00
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$272,187.00
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$8,800,713.00
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(1) | See “Additional Information about the Trigger PLUS — Supplemental use of proceeds and hedging” in the accompanying preliminary terms for information about the components of the price to public of the Trigger PLUS. |
(2) | JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $0.30 per $10 stated principal amount Trigger 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. |
(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 Trigger PLUS |
Trigger PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due August 3, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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Terms continued from previous page:
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Closing value of the basket:
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The closing value of the basket on the valuation date will be calculated as follows:
100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
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Index return:
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With respect to each underlying index:
(final index value – initial index value)
initial index value
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Initial index value:
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With respect to each underlying index, the closing level of that underlying index on the pricing date, which was 2,103.84 for the S&P 500® Index, 3,600.69 for the EURO STOXX 50® Index and 1,659.52 for the TOPIX® Index
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Final index value:
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With respect to each underlying index, the closing level of that underlying index on the valuation date
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July 2015
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Page 2
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