Amended and restated term sheet†
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011,
product supplement no. 29-I dated August 31, 2012 and
underlying supplement no. 1-I dated November 14, 2011
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Amended and Restated Term Sheet to
Product Supplement No. 29-I
Registration Statement No. 333-177923
Dated October 28, 2014; Rule 433
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Structured
Investments |
$
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index due October 31, 2019
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Interest Review Date for which the Index closing level or closing price, as applicable, of each of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index is greater than or equal to 70% of its Initial Underlying Value, which we refer to as an Interest Barrier. Investors should be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
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Investors in the notes should be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined below) has occurred and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
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The notes will be automatically called if the Index closing level or closing price, as applicable, of each Underlying on any quarterly Autocall Review Date is greater than or equal to its Initial Underlying Value. The earliest date on which an automatic call may be initiated is January 28, 2015
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Unsecured and unsubordinated obligations of JPMorgan Chase & Co. maturing October 31, 2019†
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The payment at maturity is not linked to a basket composed of the Underlyings. The payment at maturity is linked to the performance of each of the Underlyings individually, as described below.
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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 October 29, 2014 and are expected to settle on or about October 31, 2014. The Pricing Date, for purposes of these notes, is the day that the terms of the notes become final. With respect to each Underlying, the Initial Underlying Value has been determined by reference to the Index closing level or closing price, as applicable, of that Underlying on October 28, 2014 and will not be determined by reference to the Index closing level or closing price, as applicable, of that Underlying on the Pricing Date.
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The terms of the notes as set forth in “Key Terms” below, to the extent they differ from or conflict with those set forth in the accompanying product supplement no. 29-I, supersede the terms set forth in product supplement no. 29-I. In particular, the notes may be automatically called based on the performance of the Underlyings on the quarterly Autocall Review Dates while Contingent Interest Payments may be payable based on the performance of the Underlyings on the monthly Interest Review Dates, as described under “Key Terms — Automatic Call” and “Key Terms — Contingent Interest Payments,” respectively, below.
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Underlyings:
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The Russell 2000® Index (Bloomberg ticker: RTY) (the “Index”) and the iShares® MSCI EAFE ETF (Bloomberg ticker: EFA) and the iShares® MSCI Emerging Markets ETF (Bloomberg ticker: EEM) (each, a “Fund” and collectively, the “Funds”) (each of the Index and the Funds, an “Underlying” and collectively, the “Underlyings”)
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Contingent Interest Payments:
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If the notes have not been automatically called and the Index closing level or closing price, as applicable, of each Underlying on any Interest Review Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to between $6.4167* and $8.0833* (equivalent to an interest rate of between 7.70%* and 9.70%* per annum, payable at a rate of between 0.64167%* and 0.80833%* per month).
If the Index closing level or closing price, as applicable, of any Underlying on any Interest Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review Date.
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Interest Barrier:
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With respect to the Index, 804.6164, which is 70% of its Initial Underlying Value. With respect to the iShares® MSCI EAFE ETF, $43.974 initially, which is 70% of its Initial Underlying Value, subject to adjustments. With respect to the iShares® MSCI Emerging Markets ETF, $29.064 initially, which is 70% of its Initial Underlying Value, subject to adjustments
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Contingent Interest Rate:
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Between 7.70%* and 9.70%* per annum, payable at a rate of between 0.64167%* and 0.80833%* per month, if applicable
*The actual Contingent Interest Rate will be provided in the pricing supplement and will not be less than 7.70% or greater than 9.70% per annum.
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Automatic Call:
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If the Index closing level or closing price, as applicable, of each Underlying on any Autocall Review Date is greater than or equal to its Initial Underlying 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 Contingent Interest Payment applicable to the Interest Review Date corresponding to that Autocall Review Date, payable on the applicable Call Settlement Date.
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Payment at Maturity:
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If the notes have not been automatically called and 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 Contingent Interest Payment, if any, applicable to the final Review Date.
If the notes have not been automatically called and a Trigger Event has occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Underlying Value of the Least Performing Underlying is less than its Initial Underlying Value. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying Return)
If the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 40% of your principal amount and could lose up to the entire principal amount of your notes at maturity.
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Trigger Event:
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A Trigger Event occurs if the Ending Underlying Value (i.e., the Index closing level or closing price, as applicable, on the final Review Date) of any Underlying is less than its Trigger Level.
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Trigger Level:
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With respect to the Index, 689.6712, which is 60% of its Initial Underlying Value. With respect to the iShares® MSCI EAFE ETF, $37.692 initially, which is 60% of its Initial Underlying Value, subject to adjustments. With respect to the iShares® MSCI Emerging Markets ETF, $24.912 initially, which is 60% of its Initial Underlying Value, subject to adjustments
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Strike Date:
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October 28, 2014
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Pricing Date:
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On or about October 29, 2014
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Original Issue Date (Settlement Date):
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On or about October 31, 2014
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Maturity Date††:
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October 31, 2019
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CUSIP:
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48127DM39
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Other Key Terms:
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See “Additional Key Terms” in this amended and restated term sheet
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†
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This amended and restated term sheet amends and restates the term sheet related hereto dated October 16, 2014 to product supplement no. 29-I in its entirety (the term sheet is available on the SEC website at http://www.sec.gov/Archives/edgar/data/19617/000089109214007770/e61030fwp.htm)
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††
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Subject to postponement in the event of certain market disruption events and as described under “Description of Notes — Postponement of a Review Date” and “Description of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 29-I
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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)
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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.
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(2)
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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 $38.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-66 of the accompanying product supplement no. 29-I.
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Product supplement no. 29-I dated August 31, 2012:
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Underlying supplement no. 1-I dated November 14, 2011:
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Prospectus supplement dated November 14, 2011:
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Prospectus dated November 14, 2011:
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Underlying Return:
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With respect to each Underlying:
(Ending Underlying Value – Initial Underlying Value)
Initial Underlying Value
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Initial Underlying Value:
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With respect to the Index, the Index closing level on the Pricing Date, which was 1,149.452. With respect to each Fund, the closing price of one share of that Fund on the Pricing Date, which was $62.82 for the iShares® MSCI EAFE ETF or $41.52 for the iShares® MSCI Emerging Markets ETF, in each case, divided by the applicable Share Adjustment Factor. The Initial Underlying Value of each Underlying is not the Index closing level or closing price, as applicable, of that Underlying on the Pricing Date
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Ending Underlying Value:
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With respect to each Underlying, the Index closing level or closing price, as applicable, of that Underlying on the final Review Date
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Share Adjustment Factor:
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With respect to each Fund, set equal to 1.0 on the Pricing Date and subject to adjustment under certain circumstances. See “General Terms of Notes — Additional Fund Provisions — Anti-Dilution Adjustments” in the accompanying product supplement no. 29-I.
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Least Performing Underlying:
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The Underlying with the Least Performing Underlying Return
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Least Performing Underlying Return:
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The lowest of the Underlying Returns of the Underlyings
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JPMorgan Structured Investments —
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TS-1
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
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Interest Review Dates††:
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November 28, 2014, December 29, 2014, January 28, 2015, March 2, 2015, March 30, 2015, April 28, 2015, May 28, 2015, June 29, 2015, July 28, 2015, August 28, 2015, September 28, 2015, October 28, 2015, November 30, 2015, December 28, 2015, January 28, 2016, February 29, 2016, March 28, 2016, April 28, 2016, May 31, 2016, June 28, 2016, July 28, 2016, August 29, 2016, September 28, 2016, October 28, 2016, November 28, 2016, December 28, 2016, January 30, 2017, February 28, 2017, March 28, 2017, April 28, 2017, May 30, 2017, June 28, 2017, July 28, 2017, August 28, 2017, September 28, 2017, October 30, 2017, November 28, 2017, December 28, 2017, January 29, 2018, February 28, 2018, March 28, 2018, April 30, 2018, May 29, 2018, June 28, 2018, July 30, 2018, August 28, 2018, September 28, 2018, October 29, 2018, November 28, 2018, December 28, 2018, January 28, 2019, February 28, 2019, March 28, 2019, April 29, 2019, May 28, 2019, June 28, 2019, July 29, 2019, August 28, 2019, September 30, 2019 and October 28, 2019 (the “final Review Date”)
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Autocall Review Dates††:
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January 28, 2015, April 28, 2015, July 28, 2015, October 28, 2015, January 28, 2016, April 28, 2016, July 28, 2016, October 28, 2016, January 30, 2017, April 28, 2017, July 28, 2017, October 30, 2017, January 29, 2018, April 30, 2018, July 30, 2018, October 29, 2018, January 28, 2019, April 29, 2019 and July 29, 2019
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Interest Payment Dates††:
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Notwithstanding anything to the contrary in the accompanying product supplement no. 29-I, the Interest Payment Dates will be December 3, 2014, January 1, 2015, February 2, 2015, March 5, 2015, April 2, 2015, May 1, 2015, June 2, 2015, July 2, 2015, July 31, 2015, September 2, 2015, October 1, 2015, November 2, 2015, December 3, 2015, December 31, 2015, February 2, 2016, March 3, 2016, March 31, 2016, May 3, 2016, June 3, 2016, July 1, 2016, August 2, 2016, September 1, 2016, October 3, 2016, November 2, 2016, December 1, 2016, January 2, 2017, February 2, 2017, March 3, 2017, March 31, 2017, May 3, 2017, June 2, 2017, July 3, 2017, August 2, 2017, August 31, 2017, October 3, 2017, November 2, 2017, December 1, 2017, January 2, 2018, February 1, 2018, March 5, 2018, April 2, 2018, May 3, 2018, June 1, 2018, July 3, 2018, August 2, 2018, August 31, 2018, October 3, 2018, November 1, 2018, December 3, 2018, January 2, 2019, January 31, 2019, March 5, 2019, April 2, 2019, May 2, 2019, May 31, 2019, July 3, 2019, August 1, 2019, September 2, 2019, October 3, 2019 and the Maturity Date
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Call Settlement Date††:
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If the notes are automatically called on any Autocall Review Date, the first Interest Payment Date immediately following that Autocall Review Date
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††
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Subject to postponement in the event of certain market disruption events and as described under “Description of Notes — Postponement of a Review Date” and “Description of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 29-I
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JPMorgan Structured Investments —
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TS-2
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
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MONTHLY CONTINGENT INTEREST PAYMENTS — The notes offer the potential to earn a Contingent Interest Payment in connection with each monthly Interest Review Date of between $6.4167* and $8.0833* per $1,000 principal amount note (equivalent to an interest rate of between 7.70%* and 9.70%* per annum, payable at a rate of between 0.64167%* and 0.80833%* per month). If the notes have not been automatically called and the Index closing level or closing price, as applicable, of each Underlying on any Interest Review Date is greater than or equal to its Interest Barrier, you will receive a Contingent Interest Payment on the applicable Interest Payment Date. If the Index closing level or closing price, as applicable, of any Underlying on any Interest Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review 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 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.
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POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE — If the Index closing level or closing price, as applicable, of each Underlying on any quarterly Autocall Review Date is greater than or equal to its Initial Underlying Value, your notes will be automatically called prior to the Maturity Date. Under these circumstances, you will receive a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the Interest Review Date corresponding to that Autocall Review Date, payable on the applicable Call Settlement Date.
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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 a Trigger Event has not occurred. However, if the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 40% of your principal amount and could lose up to the entire principal amount of your notes at maturity.
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EXPOSURE TO EACH OF THE UNDERLYINGS — The return on the notes is linked to the Least Performing Underlying, which will be any of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF or the Russell 2000® Index.
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JPMorgan Structured Investments —
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TS-3
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
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TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 29-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. 29-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.
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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 a Trigger Event has occurred, you will lose 1% of your principal amount at maturity for every 1% that the Ending Underlying Value of the Least Performing Underlying is less than its Initial Underlying Value. Accordingly, under these circumstances, you will lose more than 40% of your principal amount and could lose up to the entire principal amount of your notes at maturity.
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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 each Underlying. If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to an Interest Review Date only if the Index closing level or closing price, as applicable, of each Underlying on that Interest Review Date is greater than or equal to its Interest Barrier. If the Index closing level or closing price, as applicable, of any Underlying on that Interest Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review Date, and the Contingent Interest Payment that would otherwise have been payable with respect to that Interest Review Date will not be accrued and subsequently paid. Accordingly, if the Index closing level or closing price, as applicable, of any Underlying on each Interest Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of the notes.
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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
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JPMorgan Structured Investments —
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TS-4
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
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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 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 might 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 Interest Review Date corresponding to the relevant Autocall Review Date.
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REINVESTMENT RISK — If your notes are automatically called, the term of the notes may be reduced to as short as approximately three 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.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE VALUE OF ANY UNDERLYING — 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 value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying. Accordingly, the return on the notes may be significantly less than the return on a direct investment in any Underlying during the term of the notes.
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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. 29-I for additional information about these risks.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — Your return on the notes and your payment at maturity, if any, is not linked to a basket consisting of the Underlyings. If the notes have not been automatically called, your payment at maturity is contingent upon the performance of each individual Underlying such that you will be equally exposed to the risks related to any of the Underlyings. The performance of the Underlyings may not be correlated. Poor performance by any of the Underlyings over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by any other Underlying. Accordingly, your investment is subject to the risk of decline in the value of each Underlying.
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THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL REVIEW DATE — If the Ending Underlying Value of any Underlying is less than its Trigger Level (i.e., a Trigger Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Level will terminate and you will be fully exposed to any depreciation in the Least Performing Underlying. The Ending Underlying Value of each Underlying will be determined based on the applicable Index closing level or closing price, as applicable, on a single day near the end of the term of the notes. In addition, the Index closing level or closing price, as applicable, of an Underlying at other times during the term of the notes could be greater than or equal to its Trigger Level. This difference could be particularly large if there is a significant decrease in the Index closing level or closing price, as applicable, of any or all of the Underlyings during the later portion of the term of the notes or if there is significant volatility in the Index closing level or closing price, as applicable, of any or all of the Underlyings during the term of the notes, especially on dates near the final Review Date.
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YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING — Because the payment at maturity will be determined based on the performance of the Least Performing Underlying, you will not benefit from the performance of any other Underlying. Accordingly, if the notes have not been automatically called and a Trigger Event has occurred, you will lose some or all of your principal amount at maturity, even if the Ending Underlying Value of any other Underlying is greater than or equal to its Initial Underlying Value.
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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 — 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 — 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
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JPMorgan Structured Investments —
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TS-5
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
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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 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 — 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 — 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 amended and restated 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).
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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.
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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 level or price, as applicable, of the Underlyings, including:
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·
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any actual or potential change in our creditworthiness or credit spreads;
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·
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customary bid-ask spreads for similarly sized trades;
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·
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secondary market credit spreads for structured debt issuances;
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·
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the actual and expected volatility in the levels or prices, as applicable, of the Underlyings;
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·
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the time to maturity of the notes;
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·
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whether the Index closing level or closing price, as applicable, of any Underlying has been, or is expected to be, less than its Interest Barrier on any Interest Review Date and whether a Trigger Event is expected to occur;
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·
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the likelihood of an automatic call being triggered;
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·
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the dividend rates on the Funds and the equity securities included in or held by the Underlyings;
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the actual and expected positive or negative correlation between the Underlyings, or the actual or expected absence of any such correlation;
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interest and yield rates in the market generally;
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the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity securities held by the Funds trade and the correlation among those rates and the prices of the Funds;
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the occurrence of certain events to the Funds that may or may not require an adjustment to the applicable Share Adjustment Factor; and
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a variety of other economic, financial, political, regulatory and judicial events.
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NO DIVIDENDS OR VOTING RIGHTS — As a holder of the notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of shares of the Funds or the securities included in or held by the Underlyings would have.
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JPMorgan Structured Investments —
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TS-6
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
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·
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VOLATILITY RISK — Greater expected volatility with respect to an Underlying indicates a greater likelihood as of the Pricing Date that the Index closing level or closing price, as applicable, of that Underlying could be less than its Interest Barrier on an Interest Review Date and/or that a Trigger Event could occur. An Underlying’s volatility, however, can change significantly over the term of the notes. The Index closing level or closing price, as applicable, of an Underlying could fall sharply on any day during the term of the notes, which could result in your not receiving any Contingent Interest Payment or a significant loss of principal, or both.
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000® INDEX — The stocks that constitute the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
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THERE ARE RISKS ASSOCIATED WITH THE FUNDS — Although the shares of the Funds are listed for trading on NYSE Arca and a number of similar products have been traded on NYSE Arca and other securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Funds or that there will be liquidity in the trading market. Each Fund is subject to management risk, which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares of the Funds and, consequently, the value of the notes.
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DIFFERENCES BETWEEN EACH FUND AND ITS UNDERLYING INDEX — Each Fund does not fully replicate its Underlying Index and may hold securities not included in its Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between each Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities held by each Fund (such as mergers and spin-offs) may impact the variance between that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on NYSE Arca and are subject to market supply and investor demand, the market value of one share of each Fund may differ from the net asset value per share of that Fund. For all of the foregoing reasons, the performance of each Fund may not correlate with the performance of its Underlying Index.
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NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUNDS — The equity securities held by the Funds have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
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EMERGING MARKETS RISK WITH RESPECT TO THE ISHARES® MSCI EMERGING MARKETS ETF — The equity securities held by the iShares® MSCI Emerging Markets ETF have been issued by non-U.S. companies located in emerging markets countries. 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. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times.
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THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUNDS — Because the prices of the equity securities held by the Funds are converted into U.S. dollars for purposes of calculating the net asset value of the Funds, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the Funds trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities held by the Funds denominated in each of those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Funds will be adversely affected and any payment on the notes may be reduced. Of particular importance to potential currency exchange risk are:
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existing and expected rates of inflation;
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·
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existing and expected interest rate levels;
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the balance of payments in the countries issuing those currencies and the United States and between each country and its major trading partners;
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political, civil or military unrest in the countries issuing those currencies and the United States; and
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the extent of government surpluses or deficits in the countries issuing those currencies and the United States.
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·
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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
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JPMorgan Structured Investments —
|
TS-7
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
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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.
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·
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THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED — The calculation agent will make adjustments to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Funds. 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.
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·
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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 amended and restated 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-8
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
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Number of
No-Coupon Dates
|
Total Contingent Coupon Payments
|
0 No-Coupon Dates
|
$385.0000
|
1 No-Coupon Date
|
$378.5833
|
2 No-Coupon Dates
|
$372.1667
|
3 No-Coupon Dates
|
$365.7500
|
4 No-Coupon Dates
|
$359.3333
|
5 No-Coupon Dates
|
$352.9167
|
6 No-Coupon Dates
|
$346.5000
|
7 No-Coupon Dates
|
$340.0833
|
8 No-Coupon Dates
|
$333.6667
|
9 No-Coupon Dates
|
$327.2500
|
10 No-Coupon Dates
|
$320.8333
|
11 No-Coupon Dates
|
$314.4167
|
12 No-Coupon Dates
|
$308.0000
|
13 No-Coupon Dates
|
$301.5833
|
14 No-Coupon Dates
|
$295.1667
|
15 No-Coupon Dates
|
$288.7500
|
16 No-Coupon Dates
|
$282.3333
|
17 No-Coupon Dates
|
$275.9167
|
18 No-Coupon Dates
|
$269.5000
|
19 No-Coupon Dates
|
$263.0833
|
20 No-Coupon Dates
|
$256.6667
|
21 No-Coupon Dates
|
$250.2500
|
22 No-Coupon Dates
|
$243.8333
|
23 No-Coupon Dates
|
$237.4167
|
24 No-Coupon Dates
|
$231.0000
|
25 No-Coupon Dates
|
$224.5833
|
26 No-Coupon Dates
|
$218.1667
|
27 No-Coupon Dates
|
$211.7500
|
28 No-Coupon Dates
|
$205.3333
|
29 No-Coupon Dates
|
$198.9167
|
30 No-Coupon Dates
|
$192.5000
|
31 No-Coupon Dates
|
$186.0833
|
32 No-Coupon Dates
|
$179.6667
|
33 No-Coupon Dates
|
$173.2500
|
34 No-Coupon Dates
|
$166.8333
|
35 No-Coupon Dates
|
$160.4167
|
36 No-Coupon Dates
|
$154.0000
|
37 No-Coupon Dates
|
$147.5833
|
38 No-Coupon Dates
|
$141.1667
|
39 No-Coupon Dates
|
$134.7500
|
40 No-Coupon Dates
|
$128.3333
|
41 No-Coupon Dates
|
$121.9167
|
42 No-Coupon Dates
|
$115.5000
|
43 No-Coupon Dates
|
$109.0833
|
44 No-Coupon Dates
|
$102.6667
|
45 No-Coupon Dates
|
$96.2500
|
46 No-Coupon Dates
|
$89.8333
|
47 No-Coupon Dates
|
$83.4167
|
48 No-Coupon Dates
|
$77.0000
|
JPMorgan Structured Investments —
|
TS-9
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
|
49 No-Coupon Dates
|
$70.5833
|
50 No-Coupon Dates
|
$64.1667
|
51 No-Coupon Dates
|
$57.7500
|
52 No-Coupon Dates
|
$51.3333
|
53 No-Coupon Dates
|
$44.9167
|
54 No-Coupon Dates
|
$38.5000
|
55 No-Coupon Dates
|
$32.0833
|
56 No-Coupon Dates
|
$25.6667
|
57 No-Coupon Dates
|
$19.2500
|
58 No-Coupon Dates
|
$12.8333
|
59 No-Coupon Dates
|
$6.4167
|
60 No-Coupon Dates
|
$0.0000
|
Review Dates Prior to the Final Review Date
|
Final Review Date
|
|||||
Closing Price of the Least Performing Underlying
|
Least Performing Underlying Appreciation / Depreciation at Review Date
|
Payment on Interest Payment Date (Assuming No Automatic Call, If Applicable) (1)
|
Payment on Call Settlement Date, If Automatically Called (1)(2)
|
Least Performing Underlying Return
|
Payment at Maturity If a Trigger Event Has Not Occurred (3)
|
Payment at Maturity If a Trigger Event Has Occurred (3)
|
$75.6000
|
80.00%
|
$6.4167
|
$1,006.4167
|
80.00%
|
$1,006.4167
|
N/A
|
$71.4000
|
70.00%
|
$6.4167
|
$1,006.4167
|
70.00%
|
$1,006.4167
|
N/A
|
$67.2000
|
60.00%
|
$6.4167
|
$1,006.4167
|
60.00%
|
$1,006.4167
|
N/A
|
$63.0000
|
50.00%
|
$6.4167
|
$1,006.4167
|
50.00%
|
$1,006.4167
|
N/A
|
$58.8000
|
40.00%
|
$6.4167
|
$1,006.4167
|
40.00%
|
$1,006.4167
|
N/A
|
$54.6000
|
30.00%
|
$6.4167
|
$1,006.4167
|
30.00%
|
$1,006.4167
|
N/A
|
$50.4000
|
20.00%
|
$6.4167
|
$1,006.4167
|
20.00%
|
$1,006.4167
|
N/A
|
$48.3000
|
15.00%
|
$6.4167
|
$1,006.4167
|
15.00%
|
$1,006.4167
|
N/A
|
$46.2000
|
10.00%
|
$6.4167
|
$1,006.4167
|
10.00%
|
$1,006.4167
|
N/A
|
$44.1000
|
5.00%
|
$6.4167
|
$1,006.4167
|
5.00%
|
$1,006.4167
|
N/A
|
$42.0000
|
0.00%
|
$6.4167
|
$1,006.4167
|
0.00%
|
$1,006.4167
|
N/A
|
$39.9000
|
-5.00%
|
$6.4167
|
N/A
|
-5.00%
|
$1,006.4167
|
N/A
|
$37.8000
|
-10.00%
|
$6.4167
|
N/A
|
-10.00%
|
$1,006.4167
|
N/A
|
$33.6000
|
-20.00%
|
$6.4167
|
N/A
|
-20.00%
|
$1,006.4167
|
N/A
|
$29.4000
|
-30.00%
|
$6.4167
|
N/A
|
-30.00%
|
$1,006.4167
|
N/A
|
$29.3958
|
-30.01%
|
$0.0000
|
N/A
|
-30.01%
|
$1,000.0000
|
N/A
|
$25.2000
|
-40.00%
|
$0.0000
|
N/A
|
-40.00%
|
$1,000.0000
|
N/A
|
$25.1958
|
-40.01%
|
$0.0000
|
N/A
|
-40.01%
|
N/A
|
$599.90
|
$21.0000
|
-50.00%
|
$0.0000
|
N/A
|
-50.00%
|
N/A
|
$500.00
|
$16.8000
|
-60.00%
|
$0.0000
|
N/A
|
-60.00%
|
N/A
|
$400.00
|
$12.6000
|
-70.00%
|
$0.0000
|
N/A
|
-70.00%
|
N/A
|
$300.00
|
$8.4000
|
-80.00%
|
$0.0000
|
N/A
|
-80.00%
|
N/A
|
$200.00
|
$4.2000
|
-90.00%
|
$0.0000
|
N/A
|
-90.00%
|
N/A
|
$100.00
|
$0.0000
|
-100.00%
|
$0.0000
|
N/A
|
-100.00%
|
N/A
|
$0.00
|
JPMorgan Structured Investments —
|
TS-10
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
|
JPMorgan Structured Investments —
|
TS-11
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
|
JPMorgan Structured Investments —
|
TS-12
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
|
JPMorgan Structured Investments —
|
TS-13
|
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
|
JPMorgan Structured Investments —
|
TS-14
|
Auto Callable Contingent Interest Notes Linked to the Least Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index
|