Term sheet
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014 and
product supplement no. 4a-I dated November 7, 2014
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Term Sheet to
Product supplement no. 4a-I
Registration Statement No. 333-199966
Dated March 24, 2015; Rule 433
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Structured
Investments
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$
Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc. due March 27, 2020
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing price of one share of the Reference Stock is greater than or equal to 80% of the Initial Stock Price, which we refer to as the Interest Barrier. Investors should be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
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Investors in the notes should be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined below) has occurred, the risks of owning the Reference Stock and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates.
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The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price. The earliest date on which an automatic call may be initiated, is May 20, 2015.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
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Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof
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Reference Stock:
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The common stock, par value $0.01, of Harley-Davidson, Inc. (Bloomberg ticker: HOG). We refer to Harley-Davidson, Inc. as “Harley-Davidson.”
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Contingent Interest Payments:
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If the notes have not been automatically called and the closing price of one share of the Reference Stock 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 at least $16.875* (equivalent to an interest rate of at least 6.75%* per annum, payable at a rate of at least 1.6875%* per quarter).
If the closing price of one share of the Reference Stock on any Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
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Interest Barrier / Trigger Level:
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An amount that represents 80% of the Initial Stock Price (subject to adjustments)
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Contingent Interest Rate:
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At least 6.75%* per annum, payable at a rate of at least 1.6875%* per quarter, if applicable
*The actual Contingent Interest Rate will be provided in the pricing supplement and will not be less than 6.75% per annum.
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Automatic Call:
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If the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date.
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Payment at Maturity:
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If the notes have not been automatically called and a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date.
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If the notes have not been automatically called and a Trigger Event has occurred, at maturity you will receive the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash. The market value of the Physical Delivery Amount or the Cash Value will most likely be less than the principal amount of your notes and may be zero.
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If the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 20% of your principal amount at maturity and could lose up to the entire principal amount of your notes at maturity.
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Trigger Event:
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A Trigger Event occurs if the Final Stock Price (i.e., the closing price of one share of the Reference Stock on the final Review Date) is less than its Trigger Level
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Physical Delivery Amount:
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The number of shares of the Reference Stock per $1,000 principal amount note, equal to $1,000 times the Stock Adjustment Factor, divided by the Initial Stock Price
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Cash Value:
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The amount in cash equal to the product of (1) $1,000 divided by the Initial Stock Price and (2) the Final Stock Price, subject to adjustments
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Initial Stock Price:
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The closing price of one share of the Reference Stock on the Pricing Date
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Final Stock Price:
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The closing price of one share of the Reference Stock on the final Review Date
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Stock Adjustment Factor:
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Set initially at 1.0 on the Pricing Date and subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement no. 4a-I for further information.
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Pricing Date:
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On or about March 24, 2015
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Original Issue Date (Settlement Date):
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On or about March 27, 2015
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Review Dates†:
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June 24, 2015, September 24, 2015, December 24, 2015, March 24, 2016, June 24, 2016, September 26, 2016, December 27, 2016, March 24, 2017, June 26, 2017, September 25, 2017, December 26, 2017, March 26, 2018, June 25, 2018, September 24, 2018, December 24, 2018, March 25, 2019, June 24, 2019, September 24, 2019, December 24, 2019 and March 24, 2020 (the “final Review Date”)
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Interest Payment Dates†:
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The Interest Payment Dates will be June 29, 2015, September 29, 2015, December 30, 2015, March 30, 2016, June 29, 2016, September 29, 2016, December 30, 2016, March 29, 2017, June 29, 2017, September 28, 2017, December 29, 2017, March 29, 2018, June 28, 2018, September 27, 2018, December 28, 2018, March 28, 2019, June 27, 2019, September 27, 2019, December 30, 2019 and the Maturity Date
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Call Settlement Date†:
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If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
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Maturity Date†:
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March 27, 2020
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CUSIP:
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48125ULC4
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†
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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 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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$
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Total
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$
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$
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$
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(1)
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See “Supplemental Use of Proceeds” in this term sheet for information about the components of the price to public of the notes.
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(2)
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J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. If the notes priced today, the selling commissions would be approximately $30.00 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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Product supplement no. 4a-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 —
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TS-1
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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Number of
No-Coupon Dates
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Total Contingent
Coupon Payments
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0 No-Coupon Dates
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$337.500
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1 No-Coupon Date
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$320.625
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2 No-Coupon Dates
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$303.750
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3 No-Coupon Dates
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$286.875
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4 No-Coupon Dates
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$270.000
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5 No-Coupon Dates
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$253.125
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6 No-Coupon Dates
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$236.250
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7 No-Coupon Dates
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$219.375
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8 No-Coupon Dates
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$202.500
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9 No-Coupon Dates
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$185.625
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10 No-Coupon Dates
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$168.750
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11 No-Coupon Dates
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$151.875
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12 No-Coupon Dates
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$135.000
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13 No-Coupon Dates
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$118.125
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14 No-Coupon Dates
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$101.250
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15 No-Coupon Dates
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$84.375
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16 No-Coupon Dates
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$67.500
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17 No-Coupon Dates
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$50.625
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18 No-Coupon Dates
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$33.750
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19 No-Coupon Dates
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$16.875
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20 No-Coupon Dates
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$0.000
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JPMorgan Structured Investments —
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TS-2
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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Review Dates Prior to the
Final Review Date
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Final Review Date
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Closing
Price
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Reference
Stock
Appreciation /
Depreciation at
Review Date
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Payment
on Interest
Payment
Date or
Call
Settlement
Date (1)(2)
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Reference
Stock
Appreciation /
Depreciation
at Final
Review Date
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Payment at
Maturity If a
Trigger Event
Has Not
Occurred
(2)(3)
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Payment at
Maturity If a
Trigger Event
Has Occurred
(2)(3)(4)
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Total Value off
Payment
Received at
Maturity If a
Trigger Event
Has Occurred
(3)(4)
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$108.000
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80.00%
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$1,016.875
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80.00%
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$1,016.875
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N/A
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N/A
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$102.000
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70.00%
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$1,016.875
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70.00%
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$1,016.875
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N/A
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N/A
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$96.000
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60.00%
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$1,016.875
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60.00%
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$1,016.875
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N/A
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N/A
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$90.000
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50.00%
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$1,016.875
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50.00%
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$1,016.875
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N/A
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N/A
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$84.000
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40.00%
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$1,016.875
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40.00%
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$1,016.875
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N/A
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N/A
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$78.000
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30.00%
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$1,016.875
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30.00%
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$1,016.875
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N/A
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N/A
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$72.000
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20.00%
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$1,016.875
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20.00%
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$1,016.875
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N/A
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N/A
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$69.000
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15.00%
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$1,016.875
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15.00%
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$1,016.875
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N/A
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N/A
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$66.000
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10.00%
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$1,016.875
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10.00%
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$1,016.875
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N/A
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N/A
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$63.000
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5.00%
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$1,016.875
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5.00%
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$1,016.875
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N/A
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N/A
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$60.000
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0.00%
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$1,016.875
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0.00%
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$1,016.875
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N/A
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N/A
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$57.000
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-5.00%
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$16.875
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-5.00%
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$1,016.875
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N/A
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N/A
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$54.000
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-10.00%
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$16.875
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-10.00%
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$1,016.875
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N/A
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N/A
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$48.000
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-20.00%
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$16.875
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-20.00%
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$1,016.875
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N/A
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N/A
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$47.994
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-20.01%
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N/A
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-20.01%
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N/A
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16 shares of the Reference Stock or the Cash Value
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$799.900
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$42.000
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-30.00%
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N/A
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-30.00%
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N/A
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$700.000
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$36.000
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-40.00%
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N/A
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-40.00%
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N/A
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$600.000
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$30.000
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-50.00%
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N/A
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-50.00%
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N/A
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$500.000
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$24.000
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-60.00%
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N/A
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-60.00%
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N/A
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$400.000
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$18.000
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-70.00%
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N/A
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-70.00%
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N/A
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$300.000
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$12.000
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-80.00%
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N/A
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-80.00%
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N/A
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$200.000
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$6.000
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-90.00%
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N/A
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-90.00%
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N/A
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$100.000
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$0.000
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-100.00%
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N/A
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-100.00%
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N/A
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$0.000
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(1)
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The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price.
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(2)
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You will receive a Contingent Interest Payment in connection with a Review Date if the closing price of one share of the Reference Stock on that Review Date is greater than or equal to the Interest Barrier.
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(3)
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A Trigger Event occurs if the Final Stock Price (i.e., the closing price of one share of the Reference Stock on the final Review Date) is less than the Trigger Level.
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(4)
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If you receive the Physical Delivery Amount, (a) any fractional shares are not included in the number of shares of the Reference Stock payable at maturity in the table above and (b) the total value of payment received at maturity shown in the table above includes the value of any fractional shares, which will be paid in cash.
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JPMorgan Structured Investments —
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TS-3
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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JPMorgan Structured Investments —
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TS-4
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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QUARTERLY CONTINGENT INTEREST PAYMENTS — The notes offer the potential to earn a Contingent Interest Payment in connection with each quarterly Review Date of at least $16.875* per $1,000 principal amount note (equivalent to an interest rate of at least 6.75%* per annum, payable at a rate of at least 1.6875%* per quarter). If the notes have not been automatically called and the closing price of one share of the Reference Stock 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 price of one share of the Reference Stock 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.
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POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price, 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.
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THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically called, we will pay you your principal back at maturity only if a Trigger Event has not occurred. However, if the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 20% of your principal amount at maturity and could lose up to the entire principal amount of your notes at maturity.
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RETURN LINKED TO A SINGLE REFERENCE STOCK — The return on the notes is linked to the performance of a single Reference Stock, which is the common stock of Harley-Davidson. For additional information see “The Reference Stock” in this term sheet.
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TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-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. 4a-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.
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JPMorgan Structured Investments —
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TS-5
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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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. If the notes have not been automatically called and a Trigger Event has occurred, you will receive the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash. The market value of the Physical Delivery Amount or the Cash Value will most likely be less than the principal amount of your notes and may be zero. Accordingly, under these circumstances, you will lose more than 20% of your principal amount at maturity and could lose up to the entire principal amount of your notes at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ from those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance of the Reference Stock. 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 price of one share of the Reference Stock on that Review Date is greater than or equal to the Interest Barrier. If the closing price of one share of the Reference Stock 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 price of one share of the Reference Stock on each Review Date is less than the Interest Barrier, you will not receive any interest payments over the term of the notes.
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CREDIT RISK OF JPMORGAN CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — If the notes are automatically called, the amount of Contingent Interest Payments made on the notes may be less than the amount of Contingent Interest Payments that might have been payable if the notes were held to maturity, and, for each $1,000 principal amount note, you will receive on the applicable Call Settlement Date $1,000 plus the Contingent Interest Payment applicable to the relevant Review Date.
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·
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REINVESTMENT RISK — If your notes are automatically called, the term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk in the event the notes are automatically called prior to the Maturity Date.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE PRICE OF THE REFERENCE STOCK — The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term of the notes, regardless of any appreciation in the price of the Reference Stock, which may be significant. You will not participate in any appreciation in the price of the Reference Stock. Accordingly, the return on the notes may be significantly less than the return on a direct investment in the Reference Stock during the term of the notes.
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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.
We and/or our affiliates may also currently or from time to time engage in business with Harley-Davidson, including extending loans to, or making equity investments in, Harley-Davidson or providing advisory services to Harley-Davidson. In addition, one or more of our affiliates may publish research reports or otherwise express opinions with respect to Harley-Davidson, and these reports may or may not recommend that investors buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an independent investigation of the Reference Stock issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.
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·
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IF YOU RECEIVE SHARES OF THE REFERENCE STOCK AT MATURITY, THE VALUE OF THOSE SHARES MAY BE LESS ON THE MATURITY DATE THAN ON THE FINAL REVIEW DATE — If the notes have not been automatically called and a Trigger Event has occurred, at maturity you will receive the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Under these circumstances, the value of the Physical Delivery Amount on the final Review Date will be less than $1,000 for each
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JPMorgan Structured Investments —
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TS-6
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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$1,000 principal amount note and could decrease further during the period between the final Review Date and the Maturity Date. We will make no adjustments to the Physical Delivery Amount to account for any fluctuations in the value of the Physical Delivery Amount, and you will bear the risk of any decrease in the value of the Physical Delivery Amount between the final Review Date and the Maturity Date.
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·
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THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL REVIEW DATE — If the Final Stock Price 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 closing price of one share of the Reference Stock. Under these circumstances, you will receive the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). The market value of the Physical Delivery Amount or the Cash Value will most likely be less than the principal amount of your notes and may be zero.
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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. 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.
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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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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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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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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.
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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 price of one share of the Reference Stock, including:
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any actual or potential change in our creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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secondary market credit spreads for structured debt issuances;
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the actual and expected volatility in the price of the Reference Stock;
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JPMorgan Structured Investments —
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TS-7
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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the time to maturity of the notes;
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whether the closing price of one share of the Reference Stock 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;
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the likelihood of an automatic call being triggered;
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the dividend rate on the Reference Stock;
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interest and yield rates in the market generally;
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the occurrence of certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor, including a merger or acquisition; and
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a variety of other economic, financial, political, regulatory and judicial events.
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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.
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NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK — As a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value of the Reference Stock and the notes.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — We are not affiliated with the issuer of the Reference Stock. We have not independently verified any of the information about the Reference Stock issuer contained in this term sheet. You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
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SINGLE STOCK RISK — The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions.
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VOLATILITY RISK — Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of the Pricing Date that the closing price of one share of the Reference Stock could be less than its Interest Barrier on a Review Date and/or that a Trigger Event could occur. The Reference Stock’s volatility, however, can change significantly over the term of the notes. The closing price of the Reference Stock could fall sharply on any day during the term of the notes, which could result in your not receiving any Contingent Interest Payment or a significant loss of principal, or both.
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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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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
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THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions when the terms of the notes are set and will be provided in the pricing supplement. In particular, each of JPMS’s estimated value and the Contingent Interest Rate will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this term sheet. Accordingly, you should consider your potential investment in the notes based on the minimums for JPMS’s estimated value and the Contingent Interest Rate.
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JPMorgan Structured Investments —
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TS-8
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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JPMorgan Structured Investments —
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TS-9
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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JPMorgan Structured Investments —
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TS-10
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Harley-Davidson, Inc.
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