Term Sheet
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011 and
product supplement no. 20-I dated January 5, 2012 |
Term Sheet to
Product Supplement No. 20-I
Registration Statement No. 333-177923
Dated October 2, 2014; Rule 433 |
|
Structured
Investments |
|
$
Contingent Coupon Auto Callable Yield Notes Linked
to the American Depositary Shares of Vipshop Holdings Limited due October 7, 2015
|
General
| · | The
Notes are designed for investors who seek a Contingent Interest Payment with respect to each Observation Date for which the closing
price of one share of the Reference Stock is greater than or equal to 57.50% of the Initial Price, which we refer to as the Coupon
Barrier Level. Investors should be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments. |
| · | Investors
in the Notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest
Payment may be made with respect to some or all Observation Dates. Any payment on the Notes is subject to the credit risk of
JPMorgan Chase & Co. |
| · | The
Notes will be automatically called if the closing price of one share of the Reference Stock on any Observation Date (other than
the first and final Observation Dates) is greater than or equal to the Initial Price. The earliest date on which an automatic
call may be initiated is December 2, 2014. |
| · | Unsecured
and unsubordinated obligations of JPMorgan Chase & Co. maturing October 7, 2015† |
| · | Minimum
denominations of $1,000 and integral multiples thereof |
| · | The
Notes are expected to price on or about October 2, 2014 and are expected to settle on or about October 7, 2014. The Pricing Date,
for purposes of the Notes, is the day that the terms of the Notes become final. The Initial Price has been determined by reference
to the closing price of one share of the Reference Stock on October 1, 2014, subject to adjustments, and not by reference to the
closing price of one share of the Reference Stock on the Pricing Date. |
Key Terms
Reference
Stock: |
The
American depositary shares (“ADSs”), each representing two ordinary shares, par value $0.0001 per share, of Vipshop
Holdings Limited (Bloomberg ticker: “VIPS”). We refer to Vipshop Holdings Limited as “Vipshop Holdings.”
|
Contingent
Interest Payments: |
If
the Notes have not been automatically called and the closing price of one share of the
Reference Stock on any Observation Date is greater than or equal to the Coupon Barrier
Level, you will receive on the applicable Contingent Interest Payment Date for each $1,000
principal amount Note a Contingent Interest Payment equal to at least $12.50* (equivalent
to an interest rate of at least 15.00%* per annum, payable at a rate of at least 1.25%*
per month).
If
the closing price of one share of the Reference Stock on any Observation Date is less than the Coupon Barrier Level, no
Contingent Interest Payment will be made with respect to that Observation Date. |
Coupon
Barrier Level / Knock-In Level: |
$105.43775,
which is 57.50% of the Initial Price (subject to adjustments) |
Contingent
Interest Rate: |
At
least 15.00%* per annum, payable at a rate of at least 1.25%* per month, if applicable
*The
actual Contingent Interest Rate will be provided in the pricing supplement and will not be less than 15.00% per annum. |
Automatic
Call: |
If
the closing price of one share of the Reference Stock on any Observation Date (other than the first and final Observation
Dates) is greater than or equal to the Initial Price, the Notes will be automatically called for a cash payment, for each
$1,000 principal amount Note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Observation
Date, payable on the applicable Call Settlement Date. |
Payment
at Maturity:
|
If
the Notes have not been automatically called and the Final Price is greater than or equal to the Knock-In Level, you will
receive a cash payment at maturity, for each $1,000 principal amount Note, equal to (a) $1,000 plus (b) the Contingent
Interest Payment applicable to the Valuation Date. |
If the Notes
have not been automatically called and the Final Price is less than the Knock-In Level, at maturity you will lose 1% of the
principal amount of your Notes for every 1% that the Final Price is less than the Initial Price. Under these circumstances,
your payment at maturity per $1,000 principal amount Note will be calculated as follows: |
$1,000
+ ($1,000 × Stock Return) |
If
the Notes have not been automatically called and the Final Price is less than the Knock-In Level, you will lose more than
42.50% of your principal amount and could lose up to the entire principal amount of your Notes at maturity. |
Stock
Return: |
(Final
Price – Initial Price)
Initial
Price |
Initial Price: |
The closing
price of one share of the Reference Stock on October 1, 2014, which was $183.37, divided by the Stock Adjustment Factor. The
Initial Price is not determined by reference to the closing price of one share of the Reference Stock on the Pricing Date. |
Final Price: |
The closing
price of one share of the Reference Stock on the Valuation Date |
Stock Adjustment
Factor: |
Set initially
at 1.0 on October 1, 2014 and subject to adjustment upon the occurrence of certain corporate events affecting the Reference
Stock. See “General Terms of Notes — Additional Reference Stock Provisions — Anti-Dilution Adjustments”
in the accompanying product supplement no. 20-I for further information. |
Pricing
Date: |
On or about
October 2, 2014 |
Original
Issue Date (Settlement Date): |
On or about
October 7, 2014 |
Observation
Dates†: |
November 3, 2014, December 2, 2014, January 2, 2015,
February 2, 2015, March 2, 2015, April 2, 2015, May 4, 2015, June 2, 2015, July 2, 2015, August 3, 2015, September 2, 2015
and October 2, 2015 (the “Valuation Date”) |
Contingent Interest
Payment Dates†: |
Notwithstanding
anything to the contrary in the accompanying product supplement no. 20-I, the Contingent Interest Payment Dates will be November
6, 2014, December 5, 2014, January 7, 2015, February 5, 2015, March 5, 2015, April 8, 2015, May 7, 2015, June 5, 2015, July
8, 2015, August 6, 2015, September 8, 2015 and the Maturity Date |
Call Settlement
Date†: |
If the Notes are automatically called on any Observation
Date (other than the first and final Observation Dates), the first Contingent Interest Payment Date immediately following
that Observation Date |
Maturity Date†: |
October 7, 2015 |
CUSIP: |
48127DJ74 |
| † | Subject to postponement in the event of certain market disruption events and as described under “Description of Notes
— Postponement of a Review Date — Notes Linked to a Single Component” and “Description of Notes —
Postponement of a Payment Date” in the accompanying product supplement no. 20-I |
Investing in the Contingent Coupon Auto Callable Yield Notes involves
a number of risks. See “Risk Factors” beginning on page PS-15 of the accompanying product supplement no. 20-I and “Selected
Risk Considerations” beginning on page TS-3 of this term sheet.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy of this
term sheet or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is
a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per Note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
| (1) | See “Supplemental Use of Proceeds” in this term sheet for information about the components of the price to public
of the Notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling
commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed
$12.50 per $1,000 principal amount Note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-67
of the accompanying product supplement no. 20-I. |
If the Notes priced today, the estimated
value of the Notes as determined by JPMS would be approximately $968.60 per $1,000 principal amount Note. JPMS’s estimated
value of the Notes, when the terms of the Notes are set, will be provided by JPMS in the pricing supplement and will not be less
than $955.00 per $1,000 principal amount Note. See “JPMS’s Estimated Value of the Notes” in this term sheet
for additional information.
The Notes 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.
October 2, 2014
Additional
Terms Specific to the Notes
JPMorgan
Chase & Co. has filed a registration statement (including a prospectus) with the SEC for the offering to which this term sheet
relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to
this offering that JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co.
and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively,
JPMorgan Chase & Co., any agent or any dealer participating in this offering will arrange to send you the prospectus, the
prospectus supplement, product supplement no. 20-I and this term sheet if you so request by calling toll-free 866-535-9248.
You may
revoke your offer to purchase the Notes at any time prior to the time at which we accept such offer by notifying the applicable
agent. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their issuance. In the
event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection
with your purchase. You may also choose to reject such changes, in which case we may reject your offer to purchase.
You should
read this term sheet together with the prospectus dated November 14, 2011, as supplemented by the prospectus supplement dated
November 14, 2011 relating to our Series E medium-term notes of which these Notes are a part, and the more detailed information
contained in product supplement no. 20-I dated January 5, 2012. This term sheet, together with the documents listed below,
contains the terms of the Notes and supersedes all other prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample
structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things,
the matters set forth in “Risk Factors” in the accompanying product supplement no. 20-I, as the Notes involve risks
not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers
before you invest in the Notes.
You may
access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
Our Central
Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, the “Company,” “we,” “us”
and “our” refer to JPMorgan Chase & Co.
Supplemental
Terms of the Notes
For purposes
of the Notes offered by this term sheet, all references to each of the following defined terms used in the accompanying product
supplement will be deemed to refer to the corresponding defined term used in this term sheet, as set forth in the table below:
Product Supplement Defined Term |
Term Sheet Defined Term |
Interest Barrier |
Coupon Barrier Level |
Trigger Level |
Knock-In Level |
Initial Stock Price |
Initial Price |
Final Stock Price |
Final Price |
Review Date |
Observation Date |
Final Review Date |
Valuation Date |
Interest Payment Date |
Contingent Interest Payment Date |
For the
avoidance of doubt, Observation Dates are subject to postponement under “Description of Notes — Postponement of a
Review Date — Notes Linked to a Single Component” in the accompanying product supplement.
JPMorgan Structured Investments |
TS-1 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
Selected
Purchase Considerations
| · | MONTHLY
CONTINGENT INTEREST PAYMENTS — The Notes offer the potential to earn a Contingent Interest Payment in connection with
each monthly Observation Date of at least $12.50* per $1,000 principal amount Note (equivalent to an interest rate of at least
15.00%* per annum, payable at a rate of at least 1.25%* per month). If the Notes have not been automatically called and the closing
price of one share of the Reference Stock on any Observation Date is greater than or equal to the Coupon Barrier Level, you will
receive a Contingent Interest Payment on the applicable Contingent Interest Payment Date. If the closing price of one share of
the Reference Stock on any Observation Date is less than the Coupon Barrier Level, no Contingent Interest Payment will be made
with respect to that Observation Date. If payable, a Contingent Interest Payment will be made to the holders of record at the
close of business on the business day immediately preceding the applicable Contingent Interest Payment Date. Because the Notes
are our unsecured and unsubordinated obligations, payment of any amount on the Notes is subject to our ability to pay our obligations
as they become due. |
*The
actual Contingent Interest Rate will be provided in the pricing supplement and will not be less than 15.00% per annum.
| · | POTENTIAL
EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing price of one share of the Reference Stock on any
Observation Date (other than the first and final Observation Dates) is greater than or equal to the Initial Level, your Notes
will be automatically called prior to the Maturity Date. Under these circumstances, for each $1,000 principal amount Note, you
will receive (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Observation Date, payable on the applicable
Call Settlement Date. |
| · | THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the Notes have
not been automatically called, we will pay you your principal back at maturity only if the Final Price is greater than or equal
to the Knock-In Level. However, if the Notes have not been automatically called and the Final Price is less than the Knock-In
Level, you will lose more than 42.50% of your principal amount and could lose up to the entire principal amount of your Notes
at maturity. |
| · | RETURN
LINKED TO A SINGLE REFERENCE STOCK — The return on the Notes is linked to the performance of a single Reference Stock,
which is the ADSs of Vipshop Holdings. For additional information see “The Reference Stock” in this term sheet. |
| · | TAX
TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. 20-I. In determining our reporting responsibilities we intend to treat (i) the notes
for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest
Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences —
Tax Consequences to U.S. Holders — Tax Treatment as Prepaid Forward Contracts with Associated Contingent Coupons”
in the accompanying product supplement no. 20-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the Internal Revenue Service
(the “IRS”) or a court may adopt, in which case the timing and character of any income or loss on the notes could
be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether
to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative
treatments and the issues presented by this notice. |
Non-U.S.
Holders — Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States).
In
addition, notwithstanding the discussion under “Material U.S. Federal Income Tax Consequences — Tax Consequences to
Non-U.S. Holders — Recent Legislation” in the accompanying product supplement, withholding under legislation commonly
referred to as “FATCA” could apply to amounts paid with respect to the notes. You should consult your tax adviser
regarding the potential application of FATCA to the notes.
In
the event of any withholding, we will not be required to pay any additional amounts with respect to amounts so withheld. If you
are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of
an investment in the notes in light of your particular circumstances.
JPMorgan Structured Investments |
TS-2 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
Selected
Risk Considerations
An investment
in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Reference Stock.
These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no.
20-I dated January 5, 2012.
| · | YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The Notes do not guarantee any return of principal. If the Notes have
not been automatically called and the Final Price is less than the Knock-In Level, you will lose 1% of your principal amount at
maturity for every 1% that the Final Price is less than the Initial Price. Accordingly, under these circumstances, you will
lose more than 42.50% of your principal amount and could lose up to the entire principal amount of your Notes at maturity. |
| · | THE
NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the Notes differ from
those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance of the
Reference Stock. If the Notes have not been automatically called, we will make a Contingent Interest Payment with respect to an
Observation Date only if the closing price of one share of the Reference Stock on that Observation Date is greater than or equal
to the Coupon Barrier Level. If the closing price of one share of the Reference Stock on that Observation Date is less than the
Coupon Barrier Level, no Contingent Interest Payment will be made with respect to that Observation Date, and the Contingent Interest
Payment that would otherwise have been payable with respect to that Observation Date will not be accrued and subsequently paid.
Accordingly, if the closing price of one share of the Reference Stock on each Observation Date is less than the Coupon Barrier
Level, you will not receive any interest payments over the term of the Notes. |
| · | CREDIT
RISK OF JPMORGAN CHASE & CO. — The Notes are subject to the credit risk of JPMorgan Chase & Co., and our credit
ratings and credit spreads may adversely affect the market value of the Notes. Investors are dependent on JPMorgan Chase
& Co.’s ability to pay all amounts due on the Notes. Any actual or potential change in our creditworthiness or credit
spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the Notes. If
we were to default on our payment obligations, you may not receive any amounts owed to you under the Notes and you could lose
your entire investment. |
| · | THE
AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — If the Notes are automatically called, the amount of Contingent
Interest Payments made on the Notes may be less than the amount of Contingent Interest Payments that would have been payable if
the Notes were held to maturity, and, for each $1,000 principal amount Note, you will receive on the applicable Call Settlement
Date $1,000 plus the Contingent Interest Payment applicable to the relevant Observation Date. |
| · | REINVESTMENT
RISK — If your Notes are automatically called, the term of the Notes may be reduced to as short as approximately two
months and you will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee
that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return and/or with a comparable
interest rate for a similar level of risk in the event the Notes are automatically called prior to the Maturity Date. |
| · | THE
APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE PRICE OF THE REFERENCE
STOCK — The appreciation potential of the Notes is limited to the sum of any Contingent Interest Payments that may be
paid over the term of the Notes, regardless of any appreciation in the price of the Reference Stock, which may be significant.
You will not participate in any appreciation in the price of the Reference Stock. Accordingly, the return on the Notes may be
significantly less than the return on a direct investment in the Reference Stock during the term of the Notes. |
| · | POTENTIAL
CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting
as calculation agent and as an agent of the offering of the Notes, hedging our obligations under the Notes
and making the assumptions used to determine the pricing of the Notes
and the estimated value of the Notes when the terms of the Notes are set, which we refer to as JPMS’s estimated value. In
performing these duties, our economic interests and the economic interests of the calculation agent and other affiliates of ours
are potentially adverse to your interests as an investor in the Notes. In addition, our business activities, including hedging
and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the
Notes and the value of the Notes. It is possible that hedging or trading activities of ours or our affiliates in connection with
the Notes could result in substantial returns for us or our affiliates while the value of the Notes declines. Please refer to
“Risk Factors — Risks Relating to the Notes Generally” in the accompanying product supplement no. 20-I for additional
information about these risks. |
We
and/or our affiliates may also currently or from time to time engage in business with Vipshop Holdings, including extending loans
to, or making equity investments in, Vipshop Holdings or providing advisory services to Vipshop Holdings. In addition, one or
more of our affiliates may publish research reports or otherwise express opinions with respect to Vipshop Holdings, and these
reports may or may not recommend that investors buy or hold the Reference Stock. As a prospective purchaser of the Notes, you
should undertake an independent investigation of the Reference Stock issuer that in your judgment is appropriate to make an informed
decision with respect to an investment in the Notes.
| · | THE
BENEFIT PROVIDED BY THE KNOCK-IN LEVEL MAY TERMINATE ON THE VALUATION DATE— If the Final Price is less than the Knock-In
Level and the Notes have not been automatically called, the benefit provided by the Knock-In Level will terminate and you will
be fully exposed to any depreciation in the closing price of one share of the Reference Stock. The Final Price will be determined
based on the closing price of one share of the Reference Stock on a single day near the end of the term of the Notes. In addition,
the closing price of one share of the Reference Stock at the Maturity Date or at other times during the term of the Notes could
be greater than or |
JPMorgan Structured Investments |
TS-3 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
equal
to the Knock-In Level. This difference could be particularly large if there is a significant decrease in the price of one share
of the Reference Stock during the later portion of the term of the Notes or if there is significant volatility in the price of
one share of the Reference Stock during the term of the Notes, especially on dates near the Valuation Date.
| · | JPMS’S
ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s
estimated value is only an estimate using several factors. The original issue price of the Notes will exceed JPMS’s estimated
value because costs associated with selling, structuring and hedging the Notes are included in the original issue price of the
Notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the Notes and the estimated cost of hedging our obligations under the Notes. See
“JPMS’s Estimated Value of the Notes” in this term sheet. |
| · | JPMS’S
ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — JPMS’s
estimated value of the Notes is determined by reference to JPMS’s internal pricing models when the terms of the Notes are
set. This estimated value is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions
about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models
and assumptions could provide valuations for Notes that are greater than or less than JPMS’s estimated value. In addition,
market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the Notes could change significantly based on, among other things, changes in market conditions, our creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy
Notes from you in secondary market transactions. See “JPMS’s Estimated Value of the Notes” in this term sheet. |
| · | JPMS’S
ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal
funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the Notes
as well as the higher issuance, operational and ongoing liability management costs of the Notes in comparison to those costs for
our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads,
we would expect the economic terms of the Notes to be more favorable to you. Consequently, our use of an internal funding rate
would have an adverse effect on the terms of the Notes and any secondary market prices of the Notes. See “JPMS’s Estimated
Value of the Notes” in this term sheet. |
| · | THE
VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included
in the original issue price of the Notes will be partially paid back to you in connection with any repurchases of your Notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances.
See “Secondary Market Prices of the Notes” in this term sheet for additional information relating to this initial
period. Accordingly, the estimated value of your Notes during this initial period may be lower than the value of the Notes as
published by JPMS (and which may be shown on your customer account statements). |
| · | SECONDARY
MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices
of the Notes will likely be lower than the original issue price of the Notes because, among other things, secondary market prices
take into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices
(a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the Notes. As a result, the price, if any, at which JPMS will be willing to buy Notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information about
additional factors that will impact any secondary market prices of the Notes. |
The
Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to
maturity. See “— Lack of Liquidity” below.
| · | SECONDARY
MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the
Notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the
Reference Stock, including: |
| · | any
actual or potential change in our creditworthiness or credit spreads; |
| · | customary
bid-ask spreads for similarly sized trades; |
| · | secondary
market credit spreads for structured debt issuances; |
| · | the
actual and expected volatility in the closing price of the Reference Stock; |
| · | the
time to maturity of the Notes; |
| · | whether
the closing price of one share of the Reference Stock has been, or is expected to be, less than the Coupon Barrier Level on any
Observation Date and whether the Final Price is expected to be less than the Knock-In Level; |
| · | the
likelihood of an automatic call being triggered; |
| · | the
dividend rate on the Reference Stock; |
JPMorgan Structured Investments |
TS-4 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
| · | interest
and yield rates in the market generally; |
| · | the
occurrence of certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock
Adjustment Factor, including a merger or acquisition; and |
| · | a
variety of other economic, financial, political, regulatory and judicial events. |
Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the Notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the Notes, if any, at which JPMS
may be willing to purchase your Notes in the secondary market.
| · | NO
OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK — As a holder of the Notes, you will not have any ownership interest
or rights in the Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock will
not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect the
value of the Reference Stock and the Notes. |
| · | NO
AFFILIATION WITH THE REFERENCE STOCK ISSUER — We are not affiliated with the issuer of the Reference Stock. We have
not independently verified any of the information about the Reference Stock issuer contained in this term sheet. You should undertake
your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s
public disclosure of information, whether contained in SEC filings or otherwise. |
| · | SINGLE
STOCK RISK — The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its
issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels,
interest rates and economic and political conditions. |
| · | RISK
OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE COUPON BARRIER LEVEL OR THE KNOCK-IN LEVEL IS GREATER IF THE CLOSING
PRICE OF THE REFERENCE STOCK IS VOLATILE — The likelihood of the closing price of one share of the Reference Stock falling
below the Coupon Barrier Level or the Knock-In Level will depend in large part on the volatility of the closing price of the Reference
Stock — the frequency and magnitude of changes in the closing price of the Reference Stock. |
| · | LACK
OF LIQUIDITY — The Notes will not be listed on any securities exchange. JPMS
intends to offer to purchase the Notes in the secondary market but is not required to do so. Even if there is a secondary market,
it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make
a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if
any, at which JPMS is willing to buy the Notes. |
| · | THE
ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make
adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation
agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does
not require the calculation agent to make an adjustment, the value of the Notes may be materially and adversely affected. You
should also be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying
product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do
so or to consider your interests as a holder of the Notes in making these determinations. |
| · | RISKS
ASSOCIATED WITH NON-U.S. (AND EMERGING MARKET) COMPANIES — The Reference Stock is issued by a non-U.S. company from
an emerging market country. Investments in Notes linked to the value of any equity securities issued by a non-U.S. company
involve risks associated with the home country of that company. The prices of securities issued by non-U.S. companies may
be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government,
economic and fiscal policies and currency exchange
laws. |
In
addition, the Reference Stock has been issued by a company from an emerging market country, which pose further risks in addition
to the risks associated with investing in non-U.S. equity markets generally. Countries with emerging markets may have relatively
unstable governments, may present the risks of nationalization of businesses, restrictions on foreign. ownership and prohibitions
on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies
of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global
trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Moreover, the economies of these
countries may differ favorably or unfavorably from the economy of the United States in such respects as growth of gross national
product, rate of inflation, capital reinvestment, resources. Such countries may be subjected to different and, in some cases,
more adverse economic environments.
| · | THERE
ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF ADSs OF VIPSHOP HOLDINGS AND THE RIGHTS OF HOLDERS OF THE ORDINARY
SHARES OF VIPSHOP HOLDINGS — You should be aware that your return on the Notes is linked to the price of the ADSs of
Vipshop Holdings and not the ordinary shares of Vipshop Holdings. There are important differences between the rights of holders
of ADSs and the rights of holders of the ordinary shares. Each ADS is a security evidenced by American depositary receipts, each
of which represents two ordinary shares. The ADSs are issued pursuant to a deposit agreement, which sets forth the rights and
responsibilities of the ADS depositary, Vipshop Holdings, and holders of the ADSs, which may be different from the rights of holders
of the ordinary shares. For example, each may make distributions in respect of the ordinary shares that are not passed on to the
holders of its ADSs. Any such differences between the rights of holders of the ADSs and the rights of holders of the ordinary
shares of Vipshop Holdings may be significant and may materially and adversely affect the value of the ADSs and, as a result,
the Notes. |
JPMorgan Structured Investments |
TS-5 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
| · | LIMITED
TRADING HISTORY — The Reference Stock commenced trading on the New York Stock Exchange on March 23, 2012 and therefore
has limited historical performance. Accordingly, historical information for the Reference Stock is available only since
that date. Past performance should not be considered indicative of future performance. |
| · | THE
FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the Notes will
be based on relevant market conditions when the terms of the Notes are set and will be provided in the pricing supplement. In
particular, each of JPMS’s estimated value and the Contingent Interest Rate will be provided in the pricing supplement and
each may be as low as the applicable minimum set forth on the cover of this term sheet. Accordingly, you should consider your
potential investment in the Notes based on the minimums for JPMS’s estimated value and the Contingent Interest Rate. |
JPMorgan Structured Investments |
TS-6 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
What
Are the Payments on the Notes, Assuming a Range of Performances for the Reference Stock?
If the Notes
have not been automatically called and the closing price of one share of the Reference Stock on any Observation Date is greater
than or equal to the Coupon Barrier Level, you will receive on the applicable Contingent Interest Payment Date for each $1,000
principal amount Note a Contingent Interest Payment equal to at least $12.50 (equivalent to an interest rate of at least 15.00%
per annum, payable at a rate of at least 1.25% per month). The actual Contingent Interest Rate will be provided in the pricing
supplement and will not be less than 15.00% per annum. If the closing price of one share of the Reference Stock on any Observation
Date is less than the Coupon Barrier Level, no Contingent Interest Payment will be made with respect to that Observation Date.
We refer to the Contingent Interest Payment Date immediately following any Observation Date on which the closing price of one
share of the Reference Stock is less than the Coupon Barrier Level as a “No-Coupon Date.” The following table assumes
a Contingent Interest Rate of 15.00% per annum and illustrates the hypothetical total Contingent Interest Payments per $1,000
principal amount Note over the term of the Notes depending on how many No-Coupon Dates occur.
Number of
No-Coupon Dates |
Total Contingent Coupon Payments |
0 No-Coupon Dates |
$150.00 |
1 No-Coupon Date |
$137.50 |
2 No-Coupon Dates |
$125.00 |
3 No-Coupon Dates |
$112.50 |
4 No-Coupon Dates |
$100.00 |
5 No-Coupon Dates |
$87.50 |
6 No-Coupon Dates |
$75.00 |
7 No-Coupon Dates |
$62.50 |
8 No-Coupon Dates |
$50.00 |
9 No-Coupon Dates |
$37.50 |
10 No-Coupon Dates |
$25.00 |
11 No-Coupon Dates |
$12.50 |
12 No-Coupon Dates |
$0.00 |
The following
table illustrates the hypothetical payments on the Notes in different hypothetical scenarios. The following table and examples
assume an Initial Price of $180.00, a Coupon Barrier Level and a Knock-In Level of $103.50 (equal to 57.50% of the hypothetical
Initial Price) and a Contingent Interest Rate of 15.00% per annum (payable at a rate of 1.25% per month). The actual Contingent
Interest Rate will be provided in the pricing supplement and will not be less than 15.00% per annum. Each hypothetical payment
set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the Notes. The
numbers appearing in the following table and examples have been rounded for ease of analysis.
Final Price |
Observation Dates Prior to the Valuation Date |
Valuation Date |
Stock Price Appreciation / Depreciation at Observation Date |
Payment on Contingent Interest Payment Date or Call Settlement Date (1)(2) |
Stock Return |
Payment at Maturity (2) |
$324.000 |
80.00% |
$1,012.50 |
80.00% |
$1,012.50 |
$306.000 |
70.00% |
$1,012.50 |
70.00% |
$1,012.50 |
$288.000 |
60.00% |
$1,012.50 |
60.00% |
$1,012.50 |
$270.000 |
50.00% |
$1,012.50 |
50.00% |
$1,012.50 |
$252.000 |
40.00% |
$1,012.50 |
40.00% |
$1,012.50 |
$234.000 |
30.00% |
$1,012.50 |
30.00% |
$1,012.50 |
$225.000 |
25.00% |
$1,012.50 |
25.00% |
$1,012.50 |
$216.000 |
20.00% |
$1,012.50 |
20.00% |
$1,012.50 |
$207.000 |
15.00% |
$1,012.50 |
15.00% |
$1,012.50 |
$198.000 |
10.00% |
$1,012.50 |
10.00% |
$1,012.50 |
$189.000 |
5.00% |
$1,012.50 |
5.00% |
$1,012.50 |
$180.000 |
0.00% |
$1,012.50 |
0.00% |
$1,012.50 |
$171.000 |
-5.00% |
$12.50 |
-5.00% |
$1,012.50 |
$162.000 |
-10.00% |
$12.50 |
-10.00% |
$1,012.50 |
$153.000 |
-15.00% |
$12.50 |
-15.00% |
$1,012.50 |
$144.000 |
-20.00% |
$12.50 |
-20.00% |
$1,012.50 |
$135.000 |
-25.00% |
$12.50 |
-25.00% |
$1,012.50 |
$126.000 |
-30.00% |
$12.50 |
-30.00% |
$1,012.50 |
$108.000 |
-40.00% |
$12.50 |
-35.00% |
$1,012.50 |
$103.500 |
-42.50% |
$12.50 |
-42.50% |
$1,012.50 |
$103.482 |
-42.51% |
$0.00 |
-42.51% |
$574.90 |
$90.000 |
-50.00% |
$0.00 |
-50.00% |
$500.00 |
$72.000 |
-60.00% |
$0.00 |
-60.00% |
$400.00 |
$54.000 |
-70.00% |
$0.00 |
-70.00% |
$300.00 |
$36.000 |
-80.00% |
$0.00 |
-80.00% |
$200.00 |
$18.000 |
-90.00% |
$0.00 |
-90.00% |
$100.00 |
$0.000 |
-100.00% |
$0.00 |
-100.00% |
$0.00 |
(1) The Notes will be
automatically called if the closing price of one share of the Reference Stock on any Observation Date (other than the first and
final Observation Dates) is greater than or equal to the Initial Price.
(2) You will receive a
Contingent Interest Payment in connection with an Observation Date if the closing price of one share of the Reference Stock on
that Observation Date is greater than or equal to the Coupon Barrier Level.
JPMorgan Structured Investments |
TS-7 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
Hypothetical
Examples of Amounts Payable on the Notes
The following
examples illustrate how payments on the Notes in different hypothetical scenarios are calculated.
Example
1: A Contingent Interest Payment is paid in connection with one of the Observation Dates preceding the fourth Observation Date,
the closing price of one share of the Reference Stock is less than the Initial Stock Price of $180 on each of the second and third
Observation Dates and the closing price of one share of the Reference Stock increases from the Initial Stock Price of $180 to
a closing price of $198 on the fourth Observation Date. The investor receives a payment of $12.50 per $1,000 principal
amount Note in connection with one of the Observation Dates preceding the fourth Observation Date, but the Notes are not automatically
called on any of the Observation Dates preceding the fourth Observation Date because the Notes are not automatically callable
before the second Observation Date and the closing price of one share of the Reference Stock is less than its Initial Stock Price
on each of the other Observation Dates preceding the fourth Observation Date. Because the closing price of one share of
the Reference Stock on the fourth Observation Date is greater than the Coupon Barrier Level, the investor is entitled to receive
a Contingent Interest Payment in connection with the fourth Observation Date. In addition, because the closing price of
one share of the Reference Stock on the fourth Observation Date is greater than the Initial Price, the Notes are automatically
called. Accordingly, the investor receives a payment of $1,012.50 per $1,000 principal amount Note on the relevant Call
Settlement Date, consisting of a Contingent Interest Payment of $12.50 per $1,000 principal amount Note and repayment of principal
equal to $1,000 per $1,000 principal amount Note. As a result, the total amount paid on the Notes over the term of the Notes
is $1,025 per $1,000 principal amount Note.
Example
2: The Notes have not been automatically called prior to maturity, Contingent Interest Payments are paid in connection with each
of the Observation Dates preceding the Valuation Date, and the closing price of one share of the Reference Stock increases from
the Initial Price of $180 to a Final Price of $216. The investor receives a payment of $12.50 per $1,000 principal amount
Note in connection with each of the Observation Dates preceding the Valuation Date. Because the Notes have not been automatically
called prior to maturity and the Final Price is greater than the Coupon Barrier Level and Knock-In Level, the investor receives
at maturity a payment of $1,012.50 per $1,000 principal amount Note. This payment consists of a Contingent Interest Payment
of $12.50 per $1,000 principal amount Note and repayment of principal equal to $1,000 per $1,000 principal amount Note.
The total amount paid on the Notes over the term of the Notes is $1,150 per $1,000 principal amount Note. This represents
the maximum total payment an investor may receive over the term of the Notes.
Example
3: The Notes have not been automatically called prior to maturity, Contingent Interest Payments are paid in connection with four
of the Observation Dates preceding the Valuation Date, and the closing price of one share of the Reference Stock decreases from
the Initial Price of $180 to a Final Price of $103.50. The investor receives a payment of $12.50 per $1,000 principal
amount Note in connection with four of the Observation Dates preceding the Valuation Date. Because the Notes have not been
automatically called prior to maturity and the Final Price is equal to the Coupon Barrier Level and Knock-In Level, even though
the Final Price is less than the Initial Price, the investor receives at maturity a payment of $1,012.50 per $1,000 principal
amount Note. This payment consists of a Contingent Interest Payment of $12.50 per $1,000 principal amount Note and repayment
of principal equal to $1,000 per $1,000 principal amount Note. The total amount paid on the Notes over the term of the Notes
is $1,062.50 per $1,000 principal amount Note.
Example
4: The Notes have not been automatically called prior to maturity, Contingent Interest Payments are paid in connection with each
of the Observation Dates preceding the Valuation Date, and the closing price of one share of the Reference Stock decreases from
the Initial Price of $180 to a Final Price of $72. The investor receives a payment of $12.50 per $1,000 principal amount
Note in connection with each of the Observation Dates preceding the Valuation Date. Because the Notes have not been automatically
called prior to maturity, the Final Price is less than the Coupon Barrier Level and Knock-In Level and the Stock Return is -60%,
the investor receives at maturity a payment of $400 per $1,000 principal amount Note, calculated as follows:
$1,000 +
($1,000 × -60%) = $400
The total
amount paid on the Notes over the term of the Notes is $537.50 per $1,000 principal amount Note.
Example
5: The Notes have not been automatically called prior to maturity, no Contingent Interest Payments are paid in connection with
the Observation Dates preceding the Valuation Date, and the closing price of one share of the Reference Stock decreases from the
Initial Price of $180 to a Final Price of $54. Because the Notes have not been automatically called prior to maturity,
no Contingent Interest Payments are paid in connection with the Observation Dates preceding the Valuation Date, the Final Price
is less than the Coupon Barrier Level and Knock-In Level and the Stock Return is -70%, the investor receives no payments over
the term of the Notes, other than a payment at maturity of $300 per $1,000 principal amount Note, calculated as follows:
$1,000 +
($1,000 × -70%) = $300
The hypothetical
payments on the Notes shown above apply only if you hold the Notes for their entire term or until automatically called.
These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees
and expenses were included, the hypothetical payments shown above would likely be lower.
JPMorgan Structured Investments |
TS-8 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
The
Reference Stock
Public
Information
All information
contained herein on the Reference Stock and on Vipshop Holdings is derived from publicly available sources, without independent
verification. According to its publicly available filings with the SEC, Vipshop Holdings, a Cayman Islands company, is a holding
company that conducts its business through its subsidiaries and consolidated affiliates in China. Vipshop Holdings is an online
discount retailer that offers branded products to consumers in China through flash sales on its website. The ADSs, each representing
two ordinary shares, par value $0.0001 per share, of Vipshop Holdings (Bloomberg ticker: VIPS), are registered under the Securities
Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the New York Stock Exchange, which we
refer to as the relevant exchange for purposes of Vipshop Holdings in the accompanying product supplement no. 20-I. Information
provided to or filed with the SEC by Vipshop Holdings pursuant to the Exchange Act can be located by reference to SEC file number
001-35454, and can be accessed through www.sec.gov. We do not make any representation that these publicly available documents
are accurate or complete.
Historical
Information Regarding the Reference Stock
The following
graph sets forth the historical performance of the ADSs of Vipshop Holdings based on the weekly closing prices of one ADS of Vipshop
Holdings from January 2, 2009 through September 26, 2014. The Reference Stock commenced trading on the New York Stock Exchange
on March 23, 2012 and therefore has a limited performance history. The closing price of one ADS of Vipshop Holdings on October
1, 2014 was $183.37. We obtained the closing prices below from Bloomberg Financial Markets, without independent verification.
The closing prices may have been adjusted by Bloomberg Financial Markets for corporate actions such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its
inception, the Reference Stock has experienced significant fluctuations. The historical performance of the Reference Stock should
not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the
Reference Stock on the Pricing Date or any Observation Date. We cannot give you assurance that the performance of the Reference
Stock will result in the return of any of your principal amount or the payment of any interest. We make no representation as to
the amount of dividends, if any, that the Reference Stock will pay in the future. In any event, as an investor in the Notes, you
will not be entitled to receive dividends, if any, that may be payable on the Reference Stock.
JPMS’s
Estimated Value of the Notes
JPMS’s
estimated value of the Notes set forth on the cover of this term sheet is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the Notes, valued using our internal
funding rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the
Notes. JPMS’s estimated value does not represent a minimum price at which JPMS would be willing to buy your Notes in
any secondary market (if any exists) at any time. The internal funding rate used in the determination of JPMS’s
estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. For
additional information, see “Selected Risk Considerations — JPMS’s Estimated Value Is Not Determined by
Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.” The value of the derivative or derivatives
underlying the economic terms of the Notes is derived from JPMS’s internal pricing models. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which
are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as
assumptions about future market events and/or environments. Accordingly, JPMS’s estimated value of the Notes is
determined when the terms of the Notes are set based on market conditions and other relevant factors and assumptions existing
at that time. See “Selected Risk Considerations — JPMS’s Estimated Value Does Not Represent Future Values
of the Notes and May Differ from Others’ Estimates.”
JPMorgan Structured Investments |
TS-9 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |
JPMS’s
estimated value of the Notes will be lower than the original issue price of the Notes because costs associated with selling, structuring
and hedging the Notes are included in the original issue price of the Notes. These costs include the selling commissions paid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the Notes and the estimated cost of hedging our obligations under the
Notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits realized in hedging
our obligations under the Notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates
will retain any remaining hedging profits. See “Selected Risk Considerations — JPMS’s Estimated Value of the
Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this term sheet.
Secondary
Market Prices of the Notes
For information
about factors that will impact any secondary market prices of the Notes, see “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this term sheet. In addition, we generally
expect that some of the costs included in the original issue price of the Notes will be partially paid back to you in connection
with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined period that is
intended to be the shorter of six months and one-half of the stated term of the Notes. The length of any such initial period reflects
the structure of the Notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated
costs of hedging the Notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations —
The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than JPMS’s
Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The net
proceeds we receive from the sale of the Notes will be used for general corporate purposes and, in part, by us or one or more
of our affiliates in connection with hedging our obligations under the Notes.
The Notes
are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the Notes.
See “What Are the Payments on the Notes, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical
Examples of Amounts Payable on the Notes” in this term sheet for an illustration of the risk-return profile of the Notes
and “The Reference Stock” in this term sheet for a description of the market exposure provided by the Notes.
The original
issue price of the Notes is equal to JPMS’s estimated value of the Notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the Notes, plus the estimated cost of hedging our obligations under the Notes.
For purposes
of the Notes offered by this term sheet, the first and second paragraphs of the section entitled “Use of Proceeds and Hedging”
on page PS-40 of the accompanying product supplement no. 20-I are deemed deleted in their entirety. Please refer instead to the
discussion set forth above.
JPMorgan Structured Investments |
TS-10 |
Contingent Coupon Auto Callable Yield Notes Linked to the American Depositary
Shares of Vipshop Holdings Limited |