November 2015
Pricing Sheet dated November 23, 2015 relating to
Amendment No. 1 dated November 20, 2015 to Preliminary Terms No. 510
Registration Statement No. 333-199966
Filed pursuant to Rule 433
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PRICING TERMS — November 23, 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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$12,221,500
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Payment at maturity:
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§ If the final index value is greater than or equal to the initial index value, you will receive at maturity a cash payment per $10 stated principal amount security equal to:
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$10 + upside payment
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§ If the final index value is less than the initial index value by up to the buffer amount of 10.00%, for each $10 stated principal amount security,
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$10
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§ If the final index value is less than the initial index value by more than the buffer amount of 10.00%, for each $10 stated principal amount security,
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($10 × index performance factor) + $1.00
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This amount will be less than the stated principal amount of $10 per security. However, subject to the credit risk of JPMorgan Chase & Co., under no circumstances will the securities pay less than $1.00 per security at maturity.
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Upside payment:
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$1.765 per security (17.65% of the stated principal amount)
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Buffer amount:
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10.00%
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Index performance factor:
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final 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 2,086.59
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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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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 23, 2015
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Original issue date (settlement
date):
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November 27, 2015
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Valuation date:
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May 23, 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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement no. 4a-I
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Maturity date:
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May 29, 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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48127Y193 / US48127Y1938
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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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$12,221,500.00
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$305,537.50
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$11,915,962.50
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(1) | See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in the accompanying amendment no. 1 to the 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 $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 |