Opportunities in U.S. Equities
Issuer:
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JPMorgan Chase & Co.
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Underlying stock:
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Common stock of Microsoft Corporation
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Aggregate principal amount:
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$2,154,570
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Early redemption:
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If, on any determination date (other than the final determination date), the closing price of the underlying stock is greater than or equal to the initial stock price, 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.
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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 price or the final stock price, as applicable, is greater than or equal to the downside threshold level, we will pay a contingent quarterly payment of $0.25 (2.50% of the stated principal amount) per security on the related contingent payment date.
● If, on any determination date, the closing price or the final stock price, as applicable, is less than the downside threshold level, no contingent quarterly payment will be made with respect to that determination date.
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Determination dates:
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November 30, 2015, February 29, 2016, May 31, 2016, August 31, 2016, November 28, 2016, February 28, 2017, May 30, 2017, August 28, 2017, November 28, 2017, February 28, 2018, May 29, 2018 and August 28, 2018, subject to postponement for non-trading days and certain market disruption events. We also refer to August 28, 2018 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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Payment at maturity:
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● If the final stock price is greater than or equal to the 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 stock price is less than the downside threshold level:
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(i) the cash value or (ii) at our option, a number of shares of the underlying stock equal to the exchange ratio as of the final determination date
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Cash value:
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The amount in cash equal to the stated principal amount times the closing price of one share of the underlying stock on the final determination date, divided by the initial stock price
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Exchange ratio:
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0.22763, which is the stated principal amount times the stock adjustment factor, divided by the initial stock price (subject to adjustment)
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Downside threshold level:
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$35.144, which is equal to 80% of the initial stock price
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Initial stock price:
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$43.93, which was the closing price of the underlying stock on the pricing date
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Final stock price:
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The closing price of the underlying stock on the final determination date
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Stock adjustment factor:
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The stock adjustment factor is referenced in determining the closing price of the underlying stock and is set initially at 1.0 on the pricing date. The stock adjustment factor is subject to adjustment in the event of certain corporate events affecting the underlying stock.
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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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August 28, 2015
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Original issue date (settlement date):
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September 2, 2015
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Maturity date:
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August 31, 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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48127V421 / US48127V4216
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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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The securities are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not 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. 4a-I, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information about the Securities” in the accompanying preliminary terms.
The issuer has filed a registration statement (including a prospectus) with 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.