Term sheet
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014,
product supplement no. 2a-I dated November 7, 2014 and
underlying supplement no. 1a-I dated November 7, 2014 |
Term Sheet to
Product Supplement No. 2a-I
Registration Statement No. 333-199966
Dated March 19, 2015; Rule 433 |
|
Structured
Investments |
|
$
Auto Callable Contingent Interest Notes
Linked to the S&P GSCI™ Crude Oil Index Excess Return due March 20, 2018
|
General
| · | The
notes are designed for investors who seek a Contingent Interest Payment if, on any of the Review Dates, the closing level of the
Index on that Review Date is greater than or equal to the Interest Barrier, which will not be greater than 67% of the Initial
Index Level. Investors should be willing to forgo fixed interest 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 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. |
| · | The
notes will be automatically called if the closing level of the Index on any Review Date (other than the first, second, third and
final Review Dates) is greater than or equal to the Initial Index Level. The earliest date on which an automatic call may be initiated
is March 16, 2016. |
| · | 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. |
| · | Minimum
denominations of $1,000 and integral multiples thereof |
Key Terms
Index: |
The S&P GSCI™ Crude Oil Index Excess Return (Bloomberg ticker: SPGCCLP) |
Contingent Interest Payments: |
If the notes have not been automatically called and the
closing level of the Index on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable
Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $25.00 (equivalent to an interest
rate of 10.00% per annum, payable at a rate of 2.50% per quarter).
If the closing level of the Index on any Review Date
is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. |
Interest Barrier / Trigger Level: |
An amount that represents at most 67% of the Initial Index Level. The actual Interest Barrier and Trigger Level will be provided in the pricing supplement and will not be greater than 67% of the Initial Index Level. |
Contingent Interest Rate: |
10.00% per annum, payable at a rate of 2.50% per quarter, if applicable |
Automatic Call: |
If the closing level of the Index on any Review Date (other than the first, second, third and final Review Dates) is greater than or equal to the Initial Index Level, 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 Review Date, payable on the applicable Call Settlement Date. |
Payment at Maturity: |
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 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
Index Level is less than the Initial Index Level. Under these circumstances, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically called and
a Trigger Event has occurred, you will lose more than 33% of your principal amount at maturity and could lose up to the entire
principal amount of your notes at maturity. |
Trigger Event: |
A Trigger Event occurs if the Ending Index Level is less than the Trigger Level. |
Index Return: |
Ending Index Level – Initial Index Level
Initial Index
Level |
Initial Index Level: |
The closing level of the Index on the Pricing Date |
Ending Index Level: |
The closing level of the Index on the final Review Date |
Pricing Date: |
On or about March 20, 2015 |
Original Issue Date (Settlement Date): |
On or about March 25, 2015 |
Review Dates†: |
June 17, 2015, September 17, 2015, December 16, 2015, March 16, 2016, June 16, 2016, September 15, 2016, December 15, 2016, March 16, 2017, June 15, 2017, September 15, 2017, December 14, 2017 and March 15, 2018 (the final Review Date) |
Interest Payment Dates†: |
June 22, 2015, September 22, 2015, December 21, 2015, March 21, 2016, June 21, 2016, September 20, 2016, December 20, 2016, March 21, 2017, June 20, 2017, September 20, 2017, December 19, 2017 and the Maturity Date |
Call Settlement Date†: |
If the notes are automatically called on any Review Date (other than the first, second, third and final Review Dates), the first Interest Payment Date immediately following that Review Date |
Maturity Date†: |
March 20, 2018 |
CUSIP: |
48125UDJ8 |
| † | Subject to postponement in the event of certain market
disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to a Single Underlying — Notes Linked to a Single Index” and “Description of Notes — Postponement
of a Payment Date” in the accompanying product supplement no. 2a-I or early acceleration in the event of a commodity hedging
disruption event as described under “General Terms of Notes — Consequences of a Commodity Hedging Disruption Event
— Acceleration of the Notes” in the accompanying product supplement no. 2a-I and in “Selected Risk Considerations
— We May Accelerate Your Notes If a Commodity Hedging Disruption Event Occurs” in this term sheet |
Investing in the notes involves a number of risks.
See “Risk Factors” beginning on page PS-8 of the accompanying product supplement no. 2a-I, “Risk Factors”
beginning on page US-2 of the accompanying underlying supplement 1a-I and “Selected Risk Considerations” beginning
on page TS-2 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, underlying 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 $10.00 per $1,000 principal amount note. See “Plan
of Distribution (Conflicts of Interest)” beginning on page PS-79 of the accompanying product supplement no. 2a-I. |
If the notes priced
today, the estimated value of the notes as determined by JPMS would be approximately $962.40 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 $950.00 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, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
March 19, 2015
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. 2a-I,
underlying supplement no. 1a-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, as supplemented by the prospectus supplement, each dated November 7, 2014 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. 2a-I dated November 7, 2014
and underlying supplement no. 1a-I dated November 7, 2014. 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. 2a-I and “Risk Factors” in the accompanying
underlying supplement no. 1a-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, “we,” “us” and “our” refer to JPMorgan Chase & Co.
Supplemental Terms of the Notes
For purposes of the notes offered by this term sheet, the
consequences of a commodity hedging disruption event are described under “General Terms of Notes — Consequences of
a Commodity Hedging Disruption Event — Acceleration of the Notes” in the accompanying product supplement no. 2a-I
The notes are not commodity futures contracts or swaps
and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The
notes are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument
exemption, that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities,
as set out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange
Act or any regulation promulgated by the Commodity Futures Trading Commission.
JPMorgan Structured Investments — |
TS-1 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
Selected Purchase Considerations
| · | QUARTERLY CONTINGENT INTEREST PAYMENTS — The notes offer
the potential to earn a Contingent Interest Payment in connection with each quarterly Review Date of $25.00 per $1,000 principal
amount note (equivalent to an interest rate of 10.00% per annum, payable at a rate of 2.50% per quarter). If the notes have not
been automatically called and the closing level of the Index on any Review Date is greater than or equal to the Interest Barrier,
you will receive a Contingent Interest Payment on the applicable Interest Payment Date. If the closing level of the Index on any
Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that 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. |
| · | POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE
— If the closing level of the Index on any Review Date (other than the first, second, third and final Review Dates) is greater
than or equal to the Initial Index Level, 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 that Review 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 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 33% of your principal amount at maturity and could lose up to the entire principal
amount of your notes at maturity. |
| · | RETURN LINKED TO THE S&P
GSCITM Crude Oil Index Excess Return — The return on the notes is linked to the S&P GSCI™
Crude Oil Index Excess Return, a sub-index of the S&P GSCI™, a composite index of commodity sector returns, calculated,
maintained and published daily by S&P Dow Jones Indices LLC. The S&P GSCI™ is a world production-weighted index that
is designed to reflect the relative significance of principal non-financial commodities (i.e., physical commodities) in
the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities.
The S&P GSCI™ Crude Oil Index Excess Return references the front-month West Texas Intermediate (“WTI”) crude
oil futures contract (i.e., the WTI crude futures contract generally closest to expiration) traded on the New York Mercantile
Exchange (the “NYMEX”). The S&P GSCI™ Crude Oil Index Excess Return provides investors with a publicly available
benchmark for investment performance in the crude oil commodity markets. The S&P GSCI™ Crude Oil Index Excess Return
is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available
through an unleveraged investment in the contracts composing the index (which, in the case of the Index, are the designated crude
oil futures contracts). By contrast, a “total return” index, in addition to reflecting those returns, also reflects
interest that could be earned on funds committed to the trading of the underlying futures contracts. See “The S&P GSCITM
Indices” in the accompanying underlying supplement no. 1a-I. |
| · | TAX TREATMENT — You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 2a-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 — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement no. 2a-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 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). 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.
FATCA. Withholding under legislation commonly
referred to as “FATCA” could apply to payments on the notes, and (if they are recharacterized, in whole or in part,
as debt instruments) could also apply to the payment of gross proceeds of a sale of a note occurring after December 31, 2016 (including
an early redemption or redemption at maturity). You should consult your tax adviser regarding the potential application of FATCA
to the notes.
In the event of any withholding on the notes, we will
not be required to pay any additional amounts with respect to amounts so withheld.
JPMorgan Structured Investments — |
TS-2 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Index, any of the futures contracts underlying the
Index, the commodity to which those commodity futures contracts relate or any futures contracts or exchange-traded or over-the-counter
instruments based on, or other instruments related to, any of the foregoing. These risks are explained in more detail in the “Risk
Factors” section of the accompanying product supplement no. 2a-I and the “Risk Factors” section of the accompanying
underlying supplement no. 1a-I.
| · | 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 Index Level is less
than the Initial Index Level. Accordingly, under these circumstances, you will lose more than 33% of your principal amount at
maturity 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 Index. If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing level of the Index on that
Review Date is greater than or equal to the Interest Barrier. If the closing level of the Index on that Review Date is less than
the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date, and the Contingent Interest
Payment that would otherwise have been payable with respect to that Review Date will not be accrued and subsequently paid. Accordingly,
if the closing level of the Index on each Review Date is less than the Interest Barrier, 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 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 relevant Review Date. |
| · | REINVESTMENT RISK — If your
notes are automatically called, the term of the notes may be reduced to as short as approximately one year 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 VALUE OF THE INDEX — 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 the Index, which may be significant. You will not participate in any appreciation in the value
of the Index. Accordingly, the return on the notes may be significantly less than the return on a direct investment in the Index
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 Conflicts of Interest” in the accompanying product supplement
no. 2a-I for additional information about these risks. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER
LEVEL MAY TERMINATE ON THE FINAL REVIEW DATE — If the Ending Index Level is less than the 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 Index. |
| · | 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. |
JPMorgan Structured Investments — |
TS-3 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
| · | 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, 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 level of the Index, 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 of the Index; |
| · | the time to maturity of the notes; |
| · | supply and demand trends for the commodity upon which the futures contracts
that compose the Index are based or the exchange-traded futures contracts on that commodity; |
| · | the market price of the commodity upon which the futures contracts that
compose the Index are based or the exchange-traded futures contracts on that commodity; |
| · | whether the closing level of the Index
has been, or is expected to be, less than the Interest Barrier on any Review Date and whether a Trigger Event is expected to occur; |
| · | the likelihood of an automatic call being
triggered; |
| · | interest and yield rates in the market
generally; and |
| · | a variety of other economic, financial,
political, regulatory, geographical, meteorological 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.
| · | WE MAY ACCELERATE YOUR NOTES IF A COMMODITY HEDGING DISRUPTION EVENT
OCCURS — If we or our affiliates are unable to effect transactions necessary to hedge our obligations under the notes
due to a commodity hedging disruption event, we may, in our sole and absolute discretion, accelerate the payment on your notes
and pay you an amount determined in good faith and in a commercially reasonable manner by the calculation agent. If the payment |
JPMorgan Structured Investments — |
TS-4 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
on your notes is
accelerated, your investment may result in a loss and you may not be able to reinvest your money in a comparable investment. Please
see “General Terms of Notes — Consequences of a Commodity Hedging Disruption Event — Acceleration of the Notes”
in the accompanying product supplement no. 2a-I for more information.
| · | COMMODITY FUTURES CONTRACTS ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY
REGIMES — The commodity futures contracts that underlie the Index are subject to legal and regulatory regimes that may
change in ways that could adversely affect our ability to hedge our obligations under the notes and affect the level of the Index.
Any future regulatory changes, including but not limited to changes resulting from the Dodd-Frank Wall Street Reform and Consumer
Protection Act (the “Dodd-Frank Act”), may have a substantial adverse effect on the value of your notes. Additionally,
under authority provided by the Dodd-Frank Act, the U.S. Commodity Futures Trading Commission on November 5, 2013 proposed rules
to establish position limits that will apply to 28 agricultural, metals and energy futures contracts and futures, options and swaps
that are economically equivalent to those futures contracts. The limits will apply to a person’s combined position
in futures, options and swaps on the same underlying commodity. The rules also would set new aggregation standards for purposes
of these position limits and would specify the requirements for designated contract markets and swap execution facilitates to impose
position limits on contracts traded on those markets. The rules, if enacted in their proposed form, may reduce liquidity in the
exchange-traded market for those commodity-based futures contracts, which may, in turn, have an adverse effect on any payments
on the notes. Furthermore, we or our affiliates may be unable as a result of those restrictions to effect transactions necessary
to hedge our obligations under the notes resulting in a commodity hedging disruption event, in which case we may, in our sole and
absolute discretion, accelerate the payment on your notes. See “— We May Accelerate Your Notes If a Commodity
Hedging Disruption Event Occurs” above. |
| · | PRICES OF COMMODITY FUTURES CONTRACTS ARE CHARACTERIZED BY HIGH AND
UNPREDICTABLE VOLATILITY, WHICH COULD LEAD TO HIGH AND UNPREDICTABLE VOLATILITY IN THE INDEX — Market prices of the commodity
futures contracts included in the Index tend to be highly volatile and may fluctuate rapidly based on numerous factors, including
the factors that affect the price of the commodity underlying the commodity futures contracts included in the Index. See “—
The Market Price of WTI Crude Oil Will Affect the Value of the Notes” below. The prices of commodities and commodity futures
contracts are subject to variables that may be less significant to the values of traditional securities, such as stocks and bonds.
These variables may create additional investment risks that cause the value of the notes to be more volatile than the values of
traditional securities. As a general matter, the risk of low liquidity or volatile pricing around the maturity date of a commodity
futures contract is greater than in the case of other futures contracts because (among other factors) a number of market participants
take physical delivery of the underlying commodities. Many commodities are also highly cyclical. The high volatility and cyclical
nature of commodity markets may render such an investment inappropriate as the focus of an investment portfolio. |
| · | THE MARKET PRICE OF WTI CRUDE OIL WILL AFFECT THE VALUE OF THE NOTES
— Because the notes are linked to the performance of the Index,
which is composed of futures contracts on WTI crude oil, we expect that generally the market value of the notes will depend in
part on the market price of WTI crude oil. The price of WTI crude oil is primarily affected by the global demand for and supply
of crude oil, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Crude
oil prices are volatile and subject to dislocation. Demand for refined petroleum products by consumers, as well as the agricultural,
manufacturing and transportation industries, affects the price of crude oil. Crude oil’s end-use as a refined product is
often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although considerations,
including relative cost, often limit substitution levels. Because the precursors of demand for petroleum products are linked to
economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations, such as
environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected by
political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in
major oil producing regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of the event.
Supply for crude oil may increase or decrease depending on many factors. These include production decisions by the Organization
of the Petroleum Exporting Countries (“OPEC”) and other crude oil producers. Crude oil prices are determined with significant
influence by OPEC. OPEC has the potential to influence oil prices worldwide because its members possess a significant portion of
the world’s oil supply. In the event of sudden disruptions in the supplies of oil, such as those caused by war, natural events,
accidents or acts of terrorism, prices of oil futures contracts could become extremely volatile and unpredictable. Also, sudden
and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries
producing oil, the introduction of new or previously withheld supplies into the market or the introduction of substitute products
or commodities. Crude oil prices may also be affected by short-term changes in supply and demand because of trading activities
in the oil market and seasonality (e.g., weather conditions such as hurricanes). It is not possible to predict the aggregate
effect of all or any combination of these factors. |
| · | A DECISION BY THE NYMEX TO INCREASE MARGIN REQUIREMENTS FOR WTI CRUDE
OIL FUTURES CONTRACTS MAY AFFECT THE LEVEL OF THE INDEX — If the NYMEX increases the amount of collateral required to
be posted to hold positions in the futures contracts on WTI crude oil (i.e., the margin requirements), market participants
who are unwilling or unable to post additional collateral may liquidate their positions, which may cause the level of the Index
to decline significantly. |
JPMorgan Structured Investments — |
TS-5 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
| · | THE NOTES DO NOT OFFER DIRECT EXPOSURE TO COMMODITY SPOT PRICES —
The notes are linked to the Index, which tracks commodity futures contracts, not physical commodities (or their spot prices). The
price of a futures contract reflects the expected value of the commodity upon delivery in the future, whereas the spot price of
a commodity reflects the immediate delivery value of the commodity. A variety of factors can lead to a disparity between the expected
future price of a commodity and the spot price at a given point in time, such as the cost of storing the commodity for the term
of the futures contract, interest charges incurred to finance the purchase of the commodity and expectations concerning supply
and demand for the commodity. The price movements of a futures contract are typically correlated with the movements of the spot
price of the referenced commodity, but the correlation is generally imperfect and price movements in the spot market may not be
reflected in the futures market (and vice versa). Accordingly, the notes may underperform a similar investment that is linked to
commodity spot prices. |
| · | THE INDEX MAY BE MORE VOLATILE AND MORE SUSCEPTIBLE TO PRICE FLUCTUATIONS
OR COMMODITY FUTURES CONTRACTS THAN A BROADER COMMODITIES INDEX — The Index may be more volatile and susceptible to price
fluctuations than a broader commodities index, such as the S&P GSCI™. In contrast to the S&P GSCI™, which includes
contracts on crude oil and non-crude oil commodities, the Index comprises contracts only on crude oil. As a result, price volatility
in the contracts included in the Index will likely have a greater impact on the Index than it would on the broader S&P GSCI™.
In addition, because the Index omits principal market sectors composing the S&P GSCI™, it will be less representative
of the economy and commodity markets as a whole and will therefore not serve as a reliable benchmark for commodity market performance
generally. |
| · | OWNING THE NOTES IS NOT THE SAME AS OWNING ANY COMMODITIES OR COMMODITY
FUTURES CONTRACTS — The return on your notes will not reflect the return you would realize if you actually purchased
the futures contracts that compose the Index, the commodities upon which the futures contracts that compose the Index are based,
or exchange-traded or over-the-counter instruments based on the Index. You will not have any rights that holders of such assets
or instruments have. |
| · | HIGHER FUTURES PRICES OF THE COMMODITY
FUTURES CONTRACTS UNDERLYING THE INDEX RELATIVE TO THE CURRENT PRICES OF SUCH CONTRACTS MAY AFFECT THE VALUE OF THE INDEX AND THE
VALUE OF THE NOTES — The Index is composed of futures contracts on physical commodities. Unlike equities, which typically
entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for delivery
of the underlying physical commodity. As the exchange-traded futures contracts that compose the Index approach expiration, they
are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in August may specify
an October expiration. As time passes, the contract expiring in October is replaced with a contract for delivery in November. This
process is referred to as “rolling.” If the market for these contracts is (putting aside other considerations) in “contango,”
where the prices are higher in the distant delivery months than in the nearer delivery months, the purchase of the November contract
would take place at a price that is higher than the price of the October contract, thereby creating a negative “roll
yield.” Contango could adversely affect the value of the Index and thus the value of notes linked to the Index. The futures
contracts underlying the Index have historically been in contango. |
| · | SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE COMMODITY MARKETS
AND RELATED FUTURES MARKETS MAY ADVERSELY AFFECT THE LEVEL OF THE INDEX, AND THEREFORE THE VALUE OF THE NOTES — The commodity
markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the
markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some
foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices that may occur during a single
day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of
a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has
been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading
in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could
adversely affect the level of the Index and, therefore, the value of your notes. |
| · | THE NOTES ARE LINKED TO AN EXCESS RETURN INDEX AND NOT A TOTAL RETURN
INDEX — The notes are linked to an excess return index and not a total return index. An excess return index, such
as the Index, reflects the returns that are potentially available through an unleveraged investment in the contracts composing
that index. By contrast, a “total return” index, in addition to reflecting those returns, also reflects interest
that could be earned on funds committed to the trading of the underlying futures contracts. |
| · | 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 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, JPMS’s estimated value
will be provided in the pricing supplement and may be as low as the minimum for JPMS’s estimated value set forth on the cover
of this term sheet. In addition, each of the Interest Barrier and the Trigger Level will be provided in the pricing supplement
and each may be as high as the applicable maximum set forth on the cover of this term sheet. Accordingly, you should consider your
potential investment in the notes based on the minimum for JPMS’s estimated value and the maximums for the Interest Barrier
and the Trigger Level. |
JPMorgan Structured Investments — |
TS-6 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
What Are the Payments on the
Notes, Assuming a Range of Performances for the Index?
If the notes have not been previously called
and the closing level of the Index on any Review Date is greater than or equal to the Interest Barrier, you will receive on the
applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $25.00 (equivalent
to an interest rate of 10.00% per annum, payable at a rate of 2.50% per quarter). If the closing level of the Index on any Review
Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. We refer
to the Interest Payment Date immediately following any Review Date on which the closing level of the Index is less than the Interest
Barrier as a “No-Coupon Date.” The following table reflects the Contingent Interest Rate of 10.00% 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 |
$300.00 |
1 No-Coupon Date |
$275.00 |
2 No-Coupon Dates |
$250.00 |
3 No-Coupon Dates |
$225.00 |
4 No-Coupon Dates |
$200.00 |
5 No-Coupon Dates |
$175.00 |
6 No-Coupon Dates |
$150.00 |
7 No-Coupon Dates |
$125.00 |
8 No-Coupon Dates |
$100.00 |
9 No-Coupon Dates |
$75.00 |
10 No-Coupon Dates |
$50.00 |
11 No-Coupon Dates |
$25.00 |
12 No-Coupon Dates |
$0.00 |
The following table illustrates the hypothetical
payments on the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes an Initial Index Level
of 240 and an Interest Barrier and a Trigger Level of 160.80 (equal to 67% of the hypothetical Initial Index Level) and reflects
the Contingent Interest Rate of 10.00% per annum (payable at a rate of 2.50% per quarter). The actual Interest Barrier and Trigger
Level will be provided in the pricing supplement and will not be greater than 67% of the Initial Index Level. 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.
JPMorgan Structured Investments — |
TS-7 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
Review Dates Prior to the Final Review Date |
Final Review Date |
Closing Level of the Index at Review Date |
Appreciation / Depreciation of the Index at Review Date |
Payment on Interest Payment Date or Call Settlement Date (1)(2) |
Index Return |
Payment at Maturity If a Trigger Event Has Not Occurred (2)(3) |
Payment at Maturity If a Trigger Event Has Occurred (2)(3) |
432.000 |
80.00% |
$1,025.00 |
80.00% |
$1,025.00 |
N/A |
408.000 |
70.00% |
$1,025.00 |
70.00% |
$1,025.00 |
N/A |
384.000 |
60.00% |
$1,025.00 |
60.00% |
$1,025.00 |
N/A |
360.000 |
50.00% |
$1,025.00 |
50.00% |
$1,025.00 |
N/A |
336.000 |
40.00% |
$1,025.00 |
40.00% |
$1,025.00 |
N/A |
312.000 |
30.00% |
$1,025.00 |
30.00% |
$1,025.00 |
N/A |
288.000 |
20.00% |
$1,025.00 |
20.00% |
$1,025.00 |
N/A |
276.000 |
15.00% |
$1,025.00 |
15.00% |
$1,025.00 |
N/A |
264.000 |
10.00% |
$1,025.00 |
10.00% |
$1,025.00 |
N/A |
252.000 |
5.00% |
$1,025.00 |
5.00% |
$1,025.00 |
N/A |
240.000 |
0.00% |
$1,025.00 |
0.00% |
$1,025.00 |
N/A |
228.000 |
-5.00% |
$25.00 |
-5.00% |
$1,025.00 |
N/A |
216.000 |
-10.00% |
$25.00 |
-10.00% |
$1,025.00 |
N/A |
192.000 |
-20.00% |
$25.00 |
-20.00% |
$1,025.00 |
N/A |
180.000 |
-25.00% |
$25.00 |
-25.00% |
$1,025.00 |
N/A |
168.000 |
-30.00% |
$25.00 |
-30.00% |
$1,025.00 |
N/A |
160.800 |
-33.00% |
$25.00 |
-33.00% |
$1,025.00 |
N/A |
160.776 |
-33.01% |
N/A |
-33.01% |
N/A |
$669.90 |
144.000 |
-40.00% |
N/A |
-40.00% |
N/A |
$600.00 |
120.000 |
-50.00% |
N/A |
-50.00% |
N/A |
$500.00 |
96.000 |
-60.00% |
N/A |
-60.00% |
N/A |
$400.00 |
72.000 |
-70.00% |
N/A |
-70.00% |
N/A |
$300.00 |
48.000 |
-80.00% |
N/A |
-80.00% |
N/A |
$200.00 |
24.000 |
-90.00% |
N/A |
-90.00% |
N/A |
$100.00 |
0.000 |
-100.00% |
N/A |
-100.00% |
N/A |
$0.00 |
| (1) | The notes will be automatically called if the closing level of the Index
on any Review Date (other than the first, second, third and final Review Dates) is greater than or equal to the Initial Index Level.
|
| (2) | You will receive a Contingent Interest Payment in connection with a Review
Date if the closing level of the Index on that Review Date is greater than or equal to the Interest Barrier. |
| (3) | A Trigger Event occurs if the Ending Index Level is less than the Trigger
Level. |
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: Contingent Interest Payments are paid
in connection with one of the Review Dates preceding the fifth Review Date, the closing level of the Index is less than the Initial
Index Level of 240 on each of the Review Dates preceding the fifth Review Date and the closing level of the Index increases from
the Initial Index Level of 240 to a closing price of 288 on the fifth Review Date. The investor receives a payment of $25.00
per $1,000 principal amount note in connection with one of the Review Dates preceding the fifth Review Date, but the notes are
not automatically called on any of the Review Dates preceding the fifth Review Date because the notes are not automatically callable
before the fourth Review Date and the closing level of the Index is less than the Initial Index Level on the fourth Review Date.
Because the closing level of the Index on the fifth Review Date is greater than the Interest Barrier, the investor is entitled
to receive a Contingent Interest Payment in connection with the fifth Review Date. In addition, because the closing level of the
Index on the fifth Review Date is greater than the Initial Index Level, the notes are automatically called. Accordingly, the investor
receives a payment of $1,025.00 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent
Interest Payment of $25.00 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 $1,050 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 Review Dates preceding the final
Review Date and the closing level of the Index increases from the Initial Index Level of 240 to an Ending Index Level of 288 —
A Trigger Event has not occurred. The investor receives a payment of $25.00 per $1,000 principal amount note in connection
with each of the Review Dates preceding the final Review Date. Because the notes have not been automatically called prior to maturity,
a Trigger Event has not occurred and the Ending Index Level is greater than the Interest Barrier, the investor receives at maturity
a payment of $1,025.00 per $1,000 principal amount note. This payment consists of a Contingent Interest Payment of $25.00 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 $1,300 per $1,000 principal amount note. This represents the maximum total payment an
investor may receive over the term of the notes.
JPMorgan Structured Investments — |
TS-8 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
Example 3: The notes have not been automatically
called prior to maturity, Contingent Interest Payments are paid in connection with four of the Review Dates preceding the final
Review Date and the closing level of the Index decreases from the Initial Index Level of 240 to an Ending Index Level of 160.80
— A Trigger Event has not occurred. The investor receives a payment of $25.00 per $1,000 principal amount note in connection
with four of the Review Dates preceding the final Review Date. Because the notes have not been automatically called prior to maturity,
a Trigger Event has not occurred and the Ending Index Level is equal to the Interest Barrier, even though the Ending Index Level
is less than the Initial Index Level, the investor receives at maturity a payment of $1,025.00 per $1,000 principal amount note.
This payment consists of a Contingent Interest Payment of $25.00 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 $1,125 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 Review Dates preceding the final
Review Date, and the closing level of the Index decreases from the Initial Index Level of 240 to an Ending Index Level of 96 —
A Trigger Event has occurred. The investor receives a payment of $25.00 per $1,000 principal amount note in connection with
each of the Review Dates preceding the final Review Date. Because the notes have not been automatically called prior to maturity,
a Trigger Event has occurred and the Ending Index Level is less than the Interest Barrier, 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 $675 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 Review Dates preceding the final Review
Date and the closing level of the Index decreases from the Initial Index Level of 240 to an Ending Index Level of 72 — A
Trigger Event has occurred. Because the notes have not been automatically called prior to maturity, no Contingent Interest
Payments are paid in connection with the Review Dates preceding the final Review Date, a Trigger Event has occurred and the Ending
Index Level is less than the Interest Barrier, 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-9 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 8, 2010 through March 13, 2015. The closing
level of the Index on March 18, 2015 was 240.2139. We obtained the closing levels of the Index below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the
Pricing Date or any Review Date. We cannot give you assurance that the performance of the Index will result in the return of any
of your principal amount or the payment of any interest.
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, 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.”
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 deals, 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
JPMorgan Structured Investments — |
TS-10 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
|
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 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 Index?” 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 “Selected Purchase Considerations —
Return Linked to the S&P GSCI™ Crude Oil Index Excess Return” 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.
JPMorgan Structured Investments — |
TS-11 |
Auto Callable Contingent Interest Notes Linked to the S&P GSCI™ Crude Oil Index Excess Return |
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