April 8, 2015
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Registration Statement No. 333-199966; Rule 433
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JPMorgan Chase & Co.
Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation due July 20, 2016
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The notes are designed for investors who seek a higher interest rate than either the current dividend yield on the Reference Stock or the yield on a conventional debt security with the same maturity issued by us. The notes will pay between 5.00% and 7.00% per annum interest over the term of the notes, assuming no automatic call, payable at a rate of between 0.4167% and 0.5833% per month.
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The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Value.
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The first date on which the notes can be automatically called is October 15, 2015.
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Investors in the notes should be willing to accept the risks of owning equities in general and the common stock of Chevron Corporation in particular, and the risk of losing some or all of their principal.
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Investors should also be willing to forgo dividend payments, in exchange for Interest Payments.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. | |
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Minimum denominations of $1,000 and integral multiples thereof | |
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The notes are expected to price on or about April 15, 2015 and are expected to settle on or about April 20, 2015
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· | CUSIP: 46625HKE9 |
Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$
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$
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Total
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$
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$
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$
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(1) See “Supplemental Use of Proceeds” in this amended and restated 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. If the notes priced today, the selling commissions would be approximately $15.00 per $1,000 principal amount note and in no event will these selling commissions exceed $17.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
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Reference Stock: The common stock, par value $0.75 per share, of Chevron Corporation (Bloomberg ticker: CVX). We refer to Chevron Corporation as “Chevron.”
Interest Rate: Between 5.00% and 7.00% per annum, payable at a rate of between 0.4167% and 0.5833% per month (to be provided in the pricing supplement)
Interest Payments: If the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000 principal amount note an Interest Payment between $4.1667 and $5.8333 (equivalent to an Interest Rate of between 5.00% and 7.00% per annum, payable at a rate of between 0.4167% and 0.5833% per month).
Trigger Value: 80.00% of the Initial Value
Trigger Event: A Trigger Event occurs if, on any day during the Monitoring Period, the closing price of one share of the Reference Stock is less than the Trigger Value.
Pricing Date: On or about April 15, 2015
Original Issue Date (Settlement Date): On or about April 20, 2015
Review Dates*: October 15, 2015, January 15, 2016, April 15, 2016 and July 15, 2016 (final Review Date)
Interest Payment Dates*: May 20, 2015, June 18, 2015, July 20, 2015, August 20, 2015, September 18, 2015, October 20, 2015, November 19, 2015, December 18, 2015, January 21, 2016, February 19, 2016, March 18, 2016, April 20, 2016, May 19, 2016, June 20, 2016 and the Maturity Date
Call Settlement Dates: If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
Maturity Date*: July 20, 2016
* Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I
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Automatic Call: If the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Value, 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 Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity: If the notes have not been automatically called and (i) the Final Value is greater than or equal to the Initial Value or (ii) a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and (i) the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred, you will receive at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable to the Maturity Date, the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash.
The market value of the Physical Delivery Amount or the Cash Value will most likely be substantially less than the principal amount of your notes, and may be zero.
Monitoring Period: The period from but excluding the Pricing Date to and including the final Review Date
Physical Delivery Amount: The number of shares of the Reference Stock, per $1,000 principal amount note, equal to $1,000 times the Stock Adjustment Factor, divided by the Initial Value
Cash Value: For each $1,000 principal amount note, $1,000 times the Final Value, divided by the Initial Value
Initial Value: The closing price of one share of the Reference Stock on the Pricing Date
Final Value: The closing price of one share of the Reference Stock on the final Review Date
Stock Adjustment Factor:
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0 on the pricing date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings —Reference Stocks— Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement no. 4a-1 for further information.
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further information.
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Number of Interest Payments
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Total Interest Payments
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15
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$62.50
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12
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$50.00
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9
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$37.50
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6
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$25.00
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TS-2 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation
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an Initial Value of $100;
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a Trigger Value of $80.00 (equal to 80.00% of the hypothetical Initial Value); and
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an Interest Rate of 5.00% per annum (payable at a rate of 0.4167% per month).
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Date
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Closing Price
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First Review Date
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$105.00
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Notes are automatically called
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Total Payments
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$1,025.00 (2.50% return)
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Date
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Closing Price
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First Review Date
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$95.00
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Notes NOT automatically called
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Second Review Date
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$85.00
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Notes NOT automatically called
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Third Review Date
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$80.00
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Notes NOT automatically called
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Final Review Date
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$105.00
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Final Value is greater than or equal to Initial Value
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Total Payment
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$1,062.50 (6.25% return)
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Date
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Closing Price
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First Review Date
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$90.00
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Notes NOT automatically called
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Second Review Date
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$80.00
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Notes NOT automatically called
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Third Review Date
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$95.00
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Notes NOT automatically called
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Final Review Date
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$80.00
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Final Value is less than Initial Value
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TS-3 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation
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Total Payment
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$1,062.50 (6.25% return)
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First Review Date
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$70.00
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Notes NOT automatically called
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Second Review Date
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$65.00
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Notes NOT automatically called
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Third Review Date
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$55.00
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Notes NOT automatically called
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Final Review Date
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$60.00
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Final Value is less than Initial Value
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Total Payment
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$662.50 (-33.75% return)
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return of principal. If the notes have not been automatically called and (i) the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred, you will receive at maturity a predetermined number of shares of the Reference Stock (or, at our election, the Cash Value), the market value of which will most likely be substantially less than the principal amount of your notes, and may be zero.
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CREDIT RISK OF JPMORGAN CHASE & CO. —
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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.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES
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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.
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POTENTIAL CONFLICTS —
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We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests as an investor in 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 Conflicts of Interest” in the accompanying product supplement.
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TS-4 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
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If, on any day during the Monitoring Period, the closing price of one share of the Reference Stock is less than the Trigger Value (i.e., a Trigger Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock. You will be subject to this potential loss of principal even if the Reference Stock subsequently recovers such that the closing price of one share of the Reference Stock is greater than or equal to the Trigger Value.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If your notes are automatically called, the term of the notes may be reduced to as short as six months and you will not receive any 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.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
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We have not independently verified any of the information about the Reference Stock issuer contained in this amended and restated 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.
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
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The calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. 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.
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THE RISK OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE PRICE OF THE REFERENCE STOCK IS VOLATILE.
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LACK OF LIQUIDITY—
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The notes will not be listed on any securities exchange. Accordingly, 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. You may not be able to sell your 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.
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THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
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You should consider your potential investment in the notes based on the minimums for JPMS’s estimated value and the Interest Rate.
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JPMS’S ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
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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 amended and restated term sheet.
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JPMS'S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS' ESTIMATES —
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See “JPMS’s Estimated Value of the Notes” in this amended and restated term sheet.
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JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT —
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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 amended and restated term sheet.
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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 —
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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. See “Secondary Market Prices of the Notes” in this amended and restated term sheet for additional information relating to this initial period. Accordingly,
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TS-5 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
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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 the 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.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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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 the Reference Stock. 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. See “Risk Factors — Risks Relating to the Estimated Value of Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
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TS-6 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation
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Historical Performance of the Common Stock of Chevron Corporation
Source: Bloomberg
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TS-7 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation
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TS-8 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation
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Product supplement no. 4a-I dated November 7, 2014:
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Prospectus supplement and prospectus, each dated November 7, 2014:
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TS-9 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Common Stock of Chevron Corporation
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