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October 2014
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| Pricing Sheet dated October 17, 2014 relating to | ||
| Preliminary Terms No. 217 dated September 29, 2014 | ||
| Registration Statement No. 333-177923 | ||
| Filed pursuant to Rule 433 |
STRUCTURED INVESTMENTS
Opportunities in International Equities
Trigger PLUS Based on the iShares® MSCI EAFE ETF due October 21, 2021
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| PRICING TERMS — October 17, 2014 | ||||||
| Issuer: |
JPMorgan Chase & Co. | |||||
| ETF Shares: |
Shares of the iShares® MSCI EAFE ETF | |||||
| Reference index: |
MSCI EAFE Index | |||||
| Aggregate principal amount: |
$2,950,460 | |||||
| Payment at maturity: |
— If the final share price is greater than the initial share price, for each $10 stated principal amount Trigger PLUS, $10 + leveraged upside payment In no event will the payment at maturity exceed the maximum payment at maturity.
— If the final share price is less than or equal to the initial share price, but is greater than the trigger level, for each $10 stated principal amount Trigger PLUS, $10
— If the final share price is less than or equal to the trigger level, for each $10 stated principal amount Trigger Plus $10 × share performance factor This amount will be less than the stated principal amount of $10 per Trigger PLUS and will represent a loss of at least 50%, and possibly all, of your investment. | |||||
| Leveraged upside payment: |
$10 × leverage factor × share percent increase | |||||
| Share percent increase: |
(final share price – initial share price) / initial share price | |||||
| Initial share price: |
The closing price of one ETF Share on the pricing date, which was $60.64, divided by the share adjustment factor | |||||
| Final share price: |
The closing price of one ETF Share on the valuation date | |||||
| Adjustment factor: |
Set equal to 1.0 on the pricing date, subject to adjustment under certain circumstances. See “General Terms of PLUS — Anti-Dilution Adjustments” in the accompanying product supplement no. MS-1-III. | |||||
| Trigger level: |
30.32, which is 50% of the initial share price | |||||
| Leverage factor: |
185%. | |||||
| Share performance factor: |
final share price / initial share price | |||||
| Maximum payment at maturity: |
$20.00 (200% of the stated principal amount) per Trigger PLUS | |||||
| Stated principal amount: |
$10 per Trigger PLUS | |||||
| Issue price: |
$10 per Trigger PLUS (see “Commissions and issue price” below) | |||||
| Pricing date: |
October 17, 2014 | |||||
| Original issue date (settlement date): |
October 22, 2014 | |||||
| Valuation date: |
October 18, 2021, subject to postponement in the event of certain market disruption events and as described under “Description of Trigger PLUS — Postponement of a Determination Date” in the accompanying product supplement no. MS-1-III | |||||
| Maturity date: |
October 21, 2021, subject to postponement in the event of certain market disruption events and as described under “Description of PLUS — Payment at Maturity” in the accompanying product supplement no. MS-1-III | |||||
| CUSIP / ISIN: |
48127H554 / US48127H5542 | |||||
| Listing: |
The Trigger PLUS will not be listed on any securities exchange. | |||||
| Agent: |
J.P. Morgan Securities LLC (“JPMS”) | |||||
| Commissions and issue price: |
Price to Public(1) | Fees and Commissions | Proceeds to Issuer | |||
| Per Trigger PLUS |
$10.00 | $0.30(2) | $9.65 | |||
| $0.05(3) | ||||||
| Total |
$2,950,460.00 | $103,266.10 | $2,847,193.90 |
| (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 $0.30 per $10 stated principal amount Trigger PLUS it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). See “Underwriting (Conflicts of Interest)” beginning on page PS-69 of the accompanying product supplement no. MS-1-III. |
| (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 |
The estimated value of the Trigger PLUS on the pricing date as determined by JPMS was $9.411 per $10 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. MS-1-III, underlying supplement no. 1-I, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information about the Trigger PLUS” in the accompanying preliminary terms.
Preliminary terms no. 217 dated September 29, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214007275/e60745fwp.htm
Product supplement no. MS-1-III dated March 18, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214002102/e57956_424b2.pdf
Underlying supplement no. 1-I dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007615/e46154_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.
| October 2014 | Page 1 |