Term sheet
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014,
product supplement no. 4a-I dated November 7, 2014 and
underlying supplement no. 1a-I dated November 7, 2014
|
Term Sheet to
Product Supplement No. 4a-I
Registration Statement No. 333-199966
Dated April 30, 2015; Rule 433
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Structured
Investments
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$
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index due May 31, 2017
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·
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The notes are designed for investors who seek an uncapped, leveraged return that reflects any appreciation of the S&P 500® Index, determined based on the arithmetic average of the closing levels of the Index on the quarterly Averaging Dates multiplied by the Upside Leverage Factor of at least 1.05.
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·
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Investors are also exposed to any depreciation of the Index by more than 15%, based on the performance of the Index on the final Averaging Date.
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·
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Investors should be willing to forgo interest and dividend payments and, if the Leveraged Upside Return is not sufficient to offset the Buffered Downside Return, be willing to lose up to 85% of their principal.
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·
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
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·
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Minimum denominations of $1,000 and integral multiples thereof.
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Index:
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The S&P 500® Index (Bloomberg Ticker: SPX)
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Payment at Maturity:
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The payment at maturity on the notes will reflect the Upside Leverage Factor times any appreciation of the Index reflected in the Average Index Return (determined based on the arithmetic average of the closing levels of the Index on the quarterly Averaging Dates) and any depreciation of the Index reflected in the Index Return (determined based on the closing level of the Index on the final Averaging Date) by more than the Buffer Amount. Accordingly, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 × (1 + Leveraged Upside Return + Buffered Downside Return)
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You will lose up to 85% of your principal amount at maturity if the Leveraged Upside Return is not sufficient to offset the Buffered Downside Return.
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Leveraged Upside Return:
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The Leveraged Upside Return will be calculated as follows:
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Average Index Return × Upside Leverage Factor,
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provided that the Leveraged Upside Return will not be less than 0%.
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Buffered Downside Return:
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The Buffered Downside Return will be calculated as follows:
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Index Return + 15%,
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provided that the Buffered Downside Return will not be greater than 0%. Because the Buffered Downside Return will never be greater than 0%, you will be exposed to any depreciation of the Index in excess of the Buffer Amount , but you will receive no benefit from any appreciation of the Index or any depreciation of the Index in an amount less than the Buffer Amount reflected in the Index Return.
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Upside Leverage Factor:
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At least 1.05. The actual Upside Leverage Factor will be provided in the pricing supplement and will not be less than 1.05.
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Buffer Amount:
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15%
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Average Index Return:
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(Average Index Level – Initial Index Level)
Initial Index Level
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Index Return:
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(Ending Index Level – Initial Index Level)
Initial Index Level
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Initial Index Level:
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The closing level of the Index on the Pricing Date
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Average Index Level:
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The arithmetic average of the closing levels of the Index on the Averaging Dates
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Ending Index Level:
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The closing level of the Index on the final Averaging Date
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Pricing Date:
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On or about May 26, 2015
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Original Issue Date (Settlement Date):
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On or about May 29, 2015
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Averaging Dates†:
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August 26, 2015, November 27, 2015, February 26, 2016, May 26, 2016, August 26, 2016, November 28, 2016, February 27, 2017 and May 25, 2017
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Maturity Date†:
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May 31, 2017
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CUSIP:
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48125UQJ4
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†
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Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-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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$1,000
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Total
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$
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$—
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$
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(1) See “Supplemental Use of Proceeds” in this term sheet for information about the components of the price to public of the notes.
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(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. If the notes priced today, the selling commissions would be approximately $2.50 per $1,000 principal amount note and in no event will these selling commissions exceed $12.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
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·
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Product supplement no. 4a-I dated November 7, 2014:
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·
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Underlying supplement no. 1a-I dated November 7, 2014:
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·
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Prospectus supplement and prospectus, each dated November 7, 2014:
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JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
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TS-1
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·
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UNCAPPED APPRECIATION POTENTIAL IF THE LEVERAGED UPSIDE RETURN (DETERMINED USING A QUARTERLY AVERAGING CONVENTION) IS SUFFICIENT TO OFFSET THE BUFFERED DOWNSIDE RETURN — The notes provide the opportunity to enhance equity returns by multiplying a positive Average Index Return by the Upside Leverage Factor to determine the Leveraged Upside Return. If the Leveraged Upside Return is sufficient to offset the Buffered Downside Return, you will earn a positive return on the notes at maturity. The Upside Leverage Factor will be provided in the pricing supplement and will not be less than 1.05.
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·
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LIMITED PROTECTION AGAINST LOSS — We will pay you at least your principal back at maturity if the Ending Index Level is less than the Initial Index Level by up to 15%. The Ending Index Level is equal to the closing level of the Index on the final Averaging Date and, unlike the Average Index Level, is not subject to quarterly averaging. If the Ending Index Level is less than the Initial Index Level by more than 15%, for every 1% that the Ending Index Level is less than the Initial Index Level by more than 15%, the Buffered Downside Return will worsen by 1%, which will offset any Leveraged Upside Return. Accordingly, you will lose up to 85% of your principal amount at maturity if the Leveraged Upside Return is not sufficient to offset the Buffered Downside Return.
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·
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RETURN LINKED TO THE S&P 500® INDEX — The return on the notes is linked to the S&P 500® Index. The S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500® Index, see the information set forth under “Equity Index Descriptions — The S&P 500® Index” in the accompanying underlying supplement no. 1a-I.
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·
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CAPITAL GAINS TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
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JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
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TS-2
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·
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal in excess of $150 per $1,000 principal amount note, subject to the credit risk of JPMorgan Chase & Co. The return on the notes at maturity is based on the Leveraged Upside Return and the Buffered Downside Return. The Leveraged Upside Return reflects any appreciation of the Index based on the Average Index Return multiplied by the Upside Leverage Factor, while the Buffered Downside Return reflects any depreciation of the Index based on the Index Return by more than 15%.
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·
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WITH RESPECT TO THE CALCULATION OF THE BUFFERED DOWNISIDE RETURN, YOU WILL NOT BENEFIT FROM ANY APPRECIATION OF THE INDEX OR ANY DEPRECIATION OF THE INDEX IN AN AMOUNT LESS THAN THE BUFFER AMOUNT BASED ON THE ENDING INDEX LEVEL — Even if the Ending Index Level is greater than the Initial Index Level or is less than the Initial Index Level by up to the Buffer Amount, the Buffered Downside Return will not be greater than 0%. Accordingly, the Buffered Downside Return will not provide any positive contribution to the return on the notes at maturity.
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·
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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 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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·
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ANY POSITIVE LEVERAGED UPSIDE RETURN MAY BE MODERATED OR MORE THAN OFFSET BY ANY NEGATIVE BUFFERED DOWNSIDE RETURN — The payment at maturity on the notes will be reduced to reflect any depreciation of the Index in excess of the Buffer Amount from the Initial Index Level to the Ending Index Level, which is equal to the closing level of the Index on the final Averaging Date. This will be true even if the Index appreciates from the Initial Index Level to the Average Index Level, which will be the arithmetic average of the closing levels of the Index on the quarterly Averaging Dates. Therefore, in calculating the payment at maturity, any positive Leveraged Upside Return may be moderated, or more than offset, by any negative Buffered Downside Return.
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·
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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 Conflicts of Interest” in the accompanying product supplement no. 4a-I for additional information about these risks.
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·
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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.
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JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
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TS-3
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·
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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 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.
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·
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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 term sheet.
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·
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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 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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·
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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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·
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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 of the Index, 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 level of the Index;
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·
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the time to maturity of the notes;
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·
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the dividend rates on the equity securities included in the Index;
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·
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interest and yield rates in the market generally; and
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·
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a variety of other economic, financial, political, regulatory and judicial events.
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JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
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TS-4
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|
·
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THE QUARTERLY AVERAGING CONVENTION USED TO CALCULATE THE AVERAGE INDEX LEVEL COULD LIMIT RETURNS — Your investment in the notes may not perform as well as an investment the return of which is based solely on the performance of the Index on a single day near the end of the term of the notes for both upside and downside exposure to the Index. Your ability to earn a positive return on the notes at maturity may be limited by the quarterly averaging used to calculate the Average Index Level and the Leveraged Upside Return, especially if there is a significant decline in the level of the Index on the Averaging Dates or if there is significant volatility in the closing level of the Index during the term of the notes. Accordingly, you may not receive the benefit of the full appreciation of the Index between each of the Averaging Dates or between the Pricing Date and the final Averaging Date.
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·
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NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the equity securities included in the Index would have.
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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 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 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 Upside Leverage Factor will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this term sheet. Accordingly, you should consider your potential investment in the notes based on the minimums for JPMS’s estimated value and the Upside Leverage Factor.
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JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
|
TS-5
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Average Index Level
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Average Index Return
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Leveraged Upside Return
|
Buffered Downside Return
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Total Return
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3,780.00
|
80.00%
|
84.000%
|
0.00%
|
84.000%
|
3,570.00
|
70.00%
|
73.500%
|
0.00%
|
73.500%
|
3,360.00
|
60.00%
|
63.000%
|
0.00%
|
63.000%
|
3,150.00
|
50.00%
|
52.500%
|
0.00%
|
52.500%
|
2,940.00
|
40.00%
|
42.000%
|
0.00%
|
42.000%
|
2,730.00
|
30.00%
|
31.500%
|
0.00%
|
31.500%
|
2,520.00
|
20.00%
|
21.000%
|
0.00%
|
21.000%
|
2,415.00
|
15.00%
|
15.750%
|
0.00%
|
15.750%
|
2,310.00
|
10.00%
|
10.500%
|
0.00%
|
10.500%
|
2,205.00
|
5.00%
|
5.250%
|
0.00%
|
5.250%
|
2,152.50
|
2.50%
|
2.625%
|
0.00%
|
2.625%
|
2,100.00
|
0.00%
|
0.000%
|
0.00%
|
0.000%
|
Ending Index Level
|
Index Return
|
Leveraged
Upside Return
|
Buffered Downside Return
|
Total Return
|
2,100.00
|
0.00%
|
0.00%
|
0.0000%
|
0.0000%
|
1,995.00
|
-5.00%
|
0.00%
|
0.0000%
|
0.0000%
|
1,890.00
|
-10.00%
|
0.00%
|
0.0000%
|
0.0000%
|
1,785.00
|
-15.00%
|
0.00%
|
0.0000%
|
0.0000%
|
1,680.00
|
-20.00%
|
0.00%
|
-5.00%
|
-5.00%
|
1,470.00
|
-30.00%
|
0.00%
|
-15.00%
|
-15.00%
|
1,260.00
|
-40.00%
|
0.00%
|
-25.00%
|
-25.00%
|
1,050.00
|
-50.00%
|
0.00%
|
-35.00%
|
-35.00%
|
840.00
|
-60.00%
|
0.00%
|
-45.00%
|
-45.00%
|
630.00
|
-70.00%
|
0.00%
|
-55.00%
|
-55.00%
|
420.00
|
-80.00%
|
0.00%
|
-65.00%
|
-65.00%
|
210.00
|
-90.00%
|
0.00%
|
-75.00%
|
-75.00%
|
0.00
|
-100.00%
|
0.00%
|
-85.00%
|
-85.00%
|
JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
|
TS-6
|
Average Index Level
|
Average Index Return
|
Leveraged
Upside Return
|
Ending Index Level
|
Index Return
|
Buffered Downside Return
|
Total Return
|
3,150.00
|
50.00%
|
52.50%
|
2,100.00
|
0.00%
|
0.00%
|
52.50%
|
3,150.00
|
50.00%
|
52.50%
|
1,995.00
|
-5.00%
|
0.00%
|
52.50%
|
3,150.00
|
50.00%
|
52.50%
|
1,890.00
|
-10.00%
|
0.00%
|
52.50%
|
3,150.00
|
50.00%
|
52.50%
|
1,575.00
|
-25.00%
|
-10.00%
|
42.50%
|
3,150.00
|
50.00%
|
52.50%
|
1,050.00
|
-50.00%
|
-35.00%
|
17.50%
|
3,150.00
|
50.00%
|
52.50%
|
0.00
|
-100.00%
|
-85.00%
|
-32.50%
|
2,520.00
|
20.00%
|
21.00%
|
2,100.00
|
0.00%
|
0.00%
|
21.00%
|
2,520.00
|
20.00%
|
21.00%
|
1,995.00
|
-5.00%
|
0.00%
|
21.00%
|
2,520.00
|
20.00%
|
21.00%
|
1,890.00
|
-10.00%
|
0.00%
|
21.00%
|
2,520.00
|
20.00%
|
21.00%
|
1,575.00
|
-25.00%
|
-10.00%
|
11.00%
|
2,520.00
|
20.00%
|
21.00%
|
1,050.00
|
-50.00%
|
-35.00%
|
-14.00%
|
2,520.00
|
20.00%
|
21.00%
|
0.00
|
-100.00%
|
-85.00%
|
-64.00%
|
2,310.00
|
10.00%
|
10.50%
|
2,100.00
|
0.00%
|
0.00%
|
10.50%
|
2,310.00
|
10.00%
|
10.50%
|
1,995.00
|
-5.00%
|
0.00%
|
10.50%
|
2,310.00
|
10.00%
|
10.50%
|
1,890.00
|
-10.00%
|
0.00%
|
10.50%
|
2,310.00
|
10.00%
|
10.50%
|
1,575.00
|
-25.00%
|
-10.00%
|
0.50%
|
2,310.00
|
10.00%
|
10.50%
|
1,050.00
|
-50.00%
|
-35.00%
|
-24.50%
|
2,310.00
|
10.00%
|
10.50%
|
0.00
|
-100.00%
|
-85.00%
|
-74.50%
|
2,205.00
|
5.00%
|
5.25%
|
2,100.00
|
0.00%
|
0.00%
|
5.25%
|
2,205.00
|
5.00%
|
5.25%
|
1,995.00
|
-5.00%
|
0.00%
|
5.25%
|
2,205.00
|
5.00%
|
5.25%
|
1,890.00
|
-10.00%
|
0.00%
|
5.25%
|
2,205.00
|
5.00%
|
5.25%
|
1,575.00
|
-25.00%
|
-10.00%
|
-4.75%
|
2,205.00
|
5.00%
|
5.25%
|
1,050.00
|
-50.00%
|
-35.00%
|
-29.75%
|
2,205.00
|
5.00%
|
5.25%
|
0.00
|
-100.00%
|
-85.00%
|
-79.75%
|
2,100.00
|
0.00%
|
0.000%
|
2,100.00
|
0.00%
|
0.00%
|
0.00%
|
2,100.00
|
0.00%
|
0.000%
|
1,995.00
|
-5.00%
|
0.00%
|
0.00%
|
2,100.00
|
0.00%
|
0.000%
|
1,890.00
|
-10.00%
|
0.00%
|
0.00%
|
2,100.00
|
0.00%
|
0.000%
|
1,575.00
|
-25.00%
|
-10.00%
|
-10.00%
|
2,100.00
|
0.00%
|
0.000%
|
1,050.00
|
-50.00%
|
-35.00%
|
-35.00%
|
2,100.00
|
0.00%
|
0.000%
|
0.00
|
-100.00%
|
-85.00%
|
-85.00%
|
JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
|
TS-7
|
JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
|
TS-8
|
Averaging Date
|
Percent Change in Index
|
Closing Level of the Index
|
First
|
0.00%
|
2,100.00
|
Second
|
5.00%
|
2,205.00
|
Third
|
10.00%
|
2,310.00
|
Fourth
|
15.00%
|
2,415.00
|
Fifth
|
20.00%
|
2,520.00
|
Sixth
|
30.00%
|
2,730.00
|
Seventh
|
40.00%
|
2,940.00
|
Eighth
|
50.00%
|
3,150.00
|
Average Index Level:
|
2,546.25
|
|
Average Index Return:
|
21.25%
|
|
Leveraged Upside Return:
|
22.3125%
|
Averaging Date
|
Percent Change in Index
|
Closing Level of the Index
|
First
|
0.00%
|
2,100.00
|
Second
|
5.00%
|
2,205.00
|
Third
|
10.00%
|
2,310.00
|
Fourth
|
15.00%
|
2,415.00
|
Fifth
|
5.00%
|
2,205.00
|
Sixth
|
0.00%
|
2,100.00
|
Seventh
|
-5.00%
|
1,995.00
|
Eighth
|
-10.00%
|
1,890.00
|
Average Index Level:
|
2,152.50
|
|
Average Index Return:
|
2.50%
|
|
Leveraged Upside Return:
|
2.625%
|
JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
|
TS-9
|
Averaging Date
|
Percent Change in Index
|
Closing Level of the Index
|
First
|
0.00%
|
2,100.00
|
Second
|
-5.00%
|
1,995.00
|
Third
|
-10.00%
|
1,890.00
|
Fourth
|
-15.00%
|
1,785.00
|
Fifth
|
-20.00%
|
1,680.00
|
Sixth
|
-30.00%
|
1,470.00
|
Seventh
|
10.00%
|
2,310.00
|
Eighth
|
30.00%
|
2,730.00
|
Average Index Level:
|
1,995.00
|
|
Average Index Return:
|
-5.00%
|
|
Leveraged Upside Return:
|
0.00%
|
JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
|
TS-10
|
JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
|
TS-11
|
JPMorgan Structured Investments —
Buffered Return Enhanced Notes Linked to the Leveraged Upside Return and Buffered Downside Return of the S&P 500® Index
|
TS-12
|