November 2014
Pricing Sheet dated November 14, 2014 relating to
Preliminary Terms No. 242 dated November 7, 2014
Registration Statement No. 333-199966
Filed pursuant to Rule 433
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PRICING TERMS — November 14, 2014
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Issuer:
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JPMorgan Chase & Co.
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Underlying indices:
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Russell 2000® Index (the “RTY Index”) and EURO STOXX 50® Index (the “SX5E Index”) (each an “underlying index”)
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Aggregate principal amount:
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$9,740,170
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Early redemption:
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If, on any of the determination dates (other than the final determination date), the closing level of each underlying index is greater than or equal to its 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.
The securities will not be redeemed early on any contingent payment date if the closing level of either underlying index is below its initial index value on the related determination date.
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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 quarterly payment with respect to the related determination date.
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Contingent quarterly payment:
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· If, on any determination date, the closing level of each underlying index is greater than or equal to its downside threshold level, we will pay a contingent quarterly payment of $0.175 (1.75% of the stated principal amount) per security on the related contingent payment date.
· If, on any determination date, the closing level of either underlying index is less than its downside threshold level, no contingent quarterly payment will be payable with respect to that determination date. It is possible that one or both of the underlying indices will remain below their respective downside threshold levels for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent quarterly payments.
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Payment at maturity:
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· If the final index value of each underlying index is greater than or equal to its downside threshold level:
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(i) the stated principal amount, plus (ii) the contingent quarterly payment with respect to the final determination date
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· If the final index value of either underlying index is less than its downside threshold level:
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(i) the stated principal amount times (ii) the index performance factor of the worst performing underlying index. This amount will be less than 69% of the stated principal amount of the securities and could be zero.
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Downside threshold level:
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With respect to the RTY Index: 809.92545, which is equal to 69% of its initial index value
With respect to the SX5E Index: 2,111.3931, which is equal to 69% of its initial index value
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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 14, 2014
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Original issue date (settlement date):
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November 19, 2014
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Maturity date:
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November 19, 2019, 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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Terms continued on the following page
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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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$0.25(2)
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$9.70
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$0.05(3)
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Total
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$9,740,170.00
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$292,205.10
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$9,447,964.90
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(1)
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See “Additional Information about the Securities — Use of proceeds and hedging” in the accompanying preliminary terms for information about the components of the price to public of the securities.
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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 $0.25 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.
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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 $10 stated principal amount security
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Terms continued from previous page:
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Initial index value:
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With respect to the RTY Index: 1,173.805, which is its closing level on the pricing date
With respect to the SX5E Index: 3,059.99, which is its closing level on the pricing date
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Final index value:
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With respect to each underlying index, the closing level on the final determination date
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Worst performing underlying index:
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The underlying index with the worst index performance factor
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Index performance factor:
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With respect to each underlying index, final index value divided by the initial index value
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Determination dates:
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February 17, 2015, May 14, 2015, August 14, 2015, November 16, 2015, February 16, 2016, May 16, 2016, August 15, 2016, November 14, 2016, February 14, 2017, May 15, 2017, August 14, 2017, November 14, 2017, February 14, 2018, May 14, 2018, August 14, 2018, November 14, 2018, February 14, 2019, May 14, 2019, August 14, 2019 and November 14, 2019, subject to postponement for non-trading days and certain market disruption events. We also refer to November 14, 2019 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 quarterly payment, if any, with respect to the final determination date will be made on the maturity date.
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CUSIP/ISIN:
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48127P812 / US48127P8124
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Listing:
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The securities will not be listed on any securities exchange.
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November 2014
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Page 2
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