July 2014
Pricing Sheet dated July 25, 2014 relating to
Preliminary Terms No. 168 dated July 16, 2014
Registration Statement No. 333-177923
Filed pursuant to Rule 433
Structured Investments
Opportunities in Commodities
Trigger PLUS Based on the Performance of a Basket of Six Commodities* due January 28, 2016
*Two commodities and futures contracts on four commodities, as set forth under “Summary Terms — Basket”
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| PRICING TERMS — JULY 25, 2014 | |||||
| Issuer: | JPMorgan Chase & Co. | ||||
| Basket: | Basket components | Bloomberg ticker symbol | Weighting | ||
| WTI crude oil futures contract | CL1 or CL2 | 27.50% | |||
| RBOB gasoline futures contract | XB1 or XB2 | 27.50% | |||
| Copper | LOCADY | 12.50% | |||
| Palladium | PLDMLNPM | 10.00% | |||
| Soybean futures contract | S 1 or S 2 | 16.90% | |||
| Cotton futures contract | CT1 or CT2 | 5.60% | |||
| Because each of the WTI crude oil futures contract and the RBOB gasoline futures contract makes up 27.50% of the basket, we expect that generally the market value of your Trigger PLUS and your payment at maturity will depend significantly on the performance of these two basket components. | |||||
| Aggregate principal amount: | $1,011,000 | ||||
| Payment at maturity: | If the final basket value is greater than the initial basket value, for each $1,000 stated principal amount Trigger PLUS, | ||||
| $1,000 + leveraged upside payment | |||||
| 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 $1,000 stated principal amount Trigger PLUS, | |||||
| $1,000 | |||||
| If the final basket value is less than the trigger level, for each $1,000 stated principal amount Trigger PLUS, | |||||
| $1,000 × basket performance factor | |||||
| This amount will be less than the stated principal amount of $1,000 per Trigger PLUS and will represent a loss of more than 10% and possibly all of your investment. | |||||
| The payment at maturity is subject to the impact of a commodity hedging disruption event as described under “General Terms of Notes — Consequences of a Commodity Hedging Disruption Event — Early Acceleration of Payment on the Notes” in the accompanying product supplement no. 2-I and in “Risk Factors — We may accelerate your PLUS if a commodity hedging disruption event occurs” in these preliminary terms. | |||||
| Leveraged upside payment: | $1,000 × leverage factor × basket percent increase | ||||
| Basket percent increase: | (final basket value – initial basket value) / initial basket value | ||||
| Initial basket value: | Set equal to 100 on the pricing date | ||||
| Final basket value: | The basket closing value on the valuation date | ||||
| Trigger level: | 90% of the initial basket value | ||||
| Leverage factor: | 150% | ||||
| Basket performance factor: | final basket value / initial basket value | ||||
| Stated principal amount: | $1,000 per Trigger PLUS | ||||
| Issue price: | $1,000 per Trigger PLUS (see “Commissions and issue price” below) | ||||
| Pricing date: | July 25, 2014 | ||||
| Original issue date (settlement date): | July 30, 2014 | ||||
| Valuation date: | January 25, 2016, subject to adjustment for non-trading days or certain market disruption events and as described under “Description of Notes — Postponement of a Determination Date — Least Performing Component Notes or Basket Notes” in the accompanying product supplement no. 2-I | ||||
| Maturity date: | January 28, 2016, subject to postponement for certain market disruption events and as described under “Description of Notes — Payment at Maturity” in the accompanying product supplement no. 2-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 — Early Acceleration of Payment on the Notes” in the accompanying product supplement no. 2-I. | ||||
| CUSIP / ISIN: | 48127DTJ7 / US48127DTJ71 | ||||
| Listing: | The Trigger PLUS will not be listed on any securities exchange. | ||||
| Agent: | J.P. Morgan Securities LLC (“JPMS”) | ||||
| Terms continued on the following page | |||||
| Commissions and issue price: | Price to Public(1) | Fees and Commissions(2) | Proceeds to Issuer | ||
| Per Trigger PLUS | $1,000 | $20 | $980 | ||
| Total | $1,011,000 | $20,220 | $990,780 | ||
| (1) | See “Additional Information about the Trigger PLUS — “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 $20 per $1,000 stated principal amount Trigger PLUS it receives from us to Morgan Stanley Smith Barney LLC. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-89 of the accompanying product supplement no. 2-I. |
The estimated value of the Trigger PLUS on the pricing date as determined by JPMS was $957.50 per $1,000 stated principal amount Trigger PLUS. See “Additional Information about the Trigger PLUS — JPMS’s estimated value of the Trigger PLUS” in the accompanying preliminary terms for additional information.
The Trigger PLUS are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
You should read this document together with the preliminary terms describing the offering and the related product supplement no. 2-I, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information About the PLUS” in the accompanying preliminary terms.
Preliminary terms no. 168 dated July 16, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214005439/e59689fwp.htm
Product supplement no. 2-I dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007591/e46165_424b2.pdf
Prospectus supplement dated November 14, 2011:http://www.sec.gov/Archives/edgar/data/19617/000089109211007578/e46180_424b2.pdf
Prospectus dated November 14, 2011:http://www.sec.gov/Archives/edgar/data/19617/000089109211007568/e46179_424b2.pdf
The issuer has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the “SEC”) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you request it by calling toll-free (800) 869-3326.
Trigger PLUS Based on the Performance of a Basket of Six Commodities* due January 28, 2016
*Two commodities and futures contracts on four commodities, as set forth under “Summary Terms — Basket”
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| Terms continued from previous page: | |
| Basket closing value: |
The basket closing value on the valuation date will be calculated as follows: 100 × [1 + sum of (component return of each basket component × weighting of each such basket component)] |
| Component return: | (final component price – initial component price) / initial component price |
| Initial component price | With respect to each basket component, the component price of that basket component on the pricing date, which was $102.09 for the WTI crude oil futures contract, $2.8653 for the RBOB gasoline futures contract, $7,183.50 for copper, $876.00 for palladium, 1,212.25¢ for the soybean futures contract and 65.16¢ for the cotton futures contract |
| Final component price: | With respect to each basket component, the component price of that basket component on the valuation date |
| Component price: |
With respect to WTI crude oil futures contracts, on any relevant day, the official settlement price per barrel on the New York Mercantile Exchange (the “NYMEX”) of the first nearby month futures contract for WTI crude oil, stated in U.S. dollars, as made public by the NYMEX (Bloomberg symbol: “CL1” <Comdty>), provided that if that day falls on the last trading day of such futures contract (all pursuant to the rules of the NYMEX), then the second nearby month futures contract (Bloomberg symbol: “CL2” <Comdty>) on that day With respect to RBOB gasoline futures contracts, on any relevant day, the official settlement price per gallon of New York Harbor reformulated gasoline blendstock for oxygen blending (“RBOB gasoline”) on the NYMEX of the first nearby month futures contract for RBOB gasoline, stated in U.S. dollars, as made public by the NYMEX (Bloomberg symbol: “XB1” <Comdty>), provided that if that day falls on the last trading day of such futures contract (all pursuant to the rules of the NYMEX), then the second nearby month futures contract (Bloomberg symbol: “XB2” <Comdty>) on that day With respect to copper, on any relevant day, the official cash offer price per tonne of copper Grade A on the London Metal Exchange (the “LME”) for the spot market, stated in U.S. dollars, as determined by the LME (Bloomberg symbol: “LOCADY” <Comdty>) on that day With respect to palladium, on any relevant day, the official afternoon fixing price of palladium for delivery in Zurich through a member of the London Platinum and Palladium Market (the “LPPM”) authorized to effect such delivery, stated in U.S. dollars per troy ounce gross, as determined and quoted on the LPPM (Bloomberg symbol: “PLDMLNPM” <Comdty>) on that day With respect to soybean futures contracts, on any relevant day, the official settlement price per bushel of deliverable-grade soybeans on the Chicago Board of Trade (the “CBOT”) of the first nearby month futures contract, stated in U.S. cents, as made public by the CBOT (Bloomberg symbol: “S 1” <Comdty>), provided that if that day is after the date of the last trade of the options contract (if there is more than one options contract, then the options contract with the latest date) pertaining to the first nearby month futures contract, the second nearby month futures contract (Bloomberg symbol: “S 2” <Comdty>) on that day With respect to cotton futures contracts, on any relevant day, the official settlement price per pound of Cotton No. 2 on the ICE Futures U.S. (the “ICE”) of the first nearby month futures contract, stated in U.S. cents, as made public by the ICE (Bloomberg symbol: “CT1” <Comdty>), provided that if that day is after the date of the last trade of the options contract (if there is more than one options contract, then the options contract with the latest date) pertaining to the first nearby month futures contract, the second nearby month futures contract (Bloomberg symbol: “CT2” <Comdty>) on that day |
July 2014 |
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