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 December 19, 2014; Rule 433 |
Structured
Investments |
|
$ Autocallable Contingent Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR® Fund due December
22, 2017
|
General
| · | The
notes are designed for investors who seek early exit prior to maturity at a premium if,
on the Review Date, the Energy Select Sector SPDR® Fund is at or above
the Call Level. |
| · | If
the notes have not been automatically called, investors may receive an uncapped return
of 1.55 times the appreciation of the Fund, or may lose some or all of their principal
at maturity. |
| · | Investors
in the notes should be willing to accept this risk of loss and be willing to forgo interest
and dividend payments, in exchange for the opportunity to receive a premium payment if
the notes are automatically called or the uncapped leveraged return if the notes have
not been automatically called. |
| · | The
date on which an automatic call may be initiated is December 28, 2015. |
| · | 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 $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
Fund: |
The
Energy Select Sector SPDR® Fund (Bloomberg symbol: XLE) |
Automatic
Call: |
If
the closing price of one share of the Fund on the Review Date is greater than or equal to the Call Level, the notes will be
automatically called for a cash payment per $1,000 principal amount note based on the call premium. |
Call
Level: |
100%
of the Initial Share Price |
Payment
if Called: |
For
every $1,000 principal amount note, you will receive one payment of $1,000 plus a call premium amount of $151.50 (equal
to the call premium of 15.15% × $1,000) if automatically called on the Review Date. |
Upside Leverage Factor: |
1.55 |
Payment
at Maturity: |
If
the notes have not been automatically called and the Final Share Price is greater than the Initial Share Price, you will receive
at maturity a cash payment that provides you with a return per $1,000 principal amount note equal to the Fund Return, multiplied
by the Upside Leverage Factor. Accordingly, if the Fund Return is positive, your payment at maturity per $1,000
principal amount note will be calculated as follows: |
$1,000
+ ($1,000 × Fund Return × Upside Leverage Factor) |
If the notes have
not been automatically called and the Final Share Price is equal to or less than the Initial Share Price by up to 25%, you
will receive at maturity a cash payment of $1,000 per $1,000 principal amount note. |
If
the notes have not been automatically called and the Final Share Price is less than the Initial Share Price by more than 25%,
you will lose 1% of the principal amount of your notes for every 1% that the Final Share Price is less than the Initial Share
Price. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated
as follows: |
$1,000
+ ($1,000 × Fund Return) |
If
the notes have not been automatically called and the Final Share Price is less than the Initial Share Price by more than 25%,
you will lose more than 25% of your principal amount and may lose all of your principal amount at maturity. |
Contingent Buffer Amount: |
25% |
Fund
Return: |
(Final
Share Price – Initial Share Price)
Initial
Share Price |
Initial
Share Price: |
The
closing price of one share of the Fund on the Pricing Date |
Final
Share Price: |
The
closing price of one share of the Fund on the Observation Date |
Share
Adjustment Factor: |
The
Share Adjustment Factor is referenced in determining the closing price of one share of the Fund and is set initially at 1.0
on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting
the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product
supplement no. 4a-I for further information about these adjustments. |
Pricing
Date: |
On
or about December 19, 2014 |
Original
Issue Date (Settlement Date): |
On
or about December 24, 2014 |
Review
Date†: |
December
28, 2015 |
Call
Settlement Date†: |
December
31, 2015 |
Observation
Date†: |
December
19, 2017 |
Maturity
Date†: |
December
22, 2017 |
CUSIP: |
48127D4F2 |
| † | 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 |
Investing in the notes involves
a number of risks. See “Risk Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-I, “Risk
Factors” beginning on page US-2 of the accompanying underlying supplement 1a-I and “Selected Risk Considerations”
beginning on page TS-4 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 $6.00 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. |
If the notes priced today, the estimated
value of the notes as determined by JPMS would be approximately $972.20 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 $962.20 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.
December 19, 2014
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. 4a-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. 4a-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. 4a-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.
JPMorgan Structured Investments |
TS-1 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
What
Is the Total Return on the Notes upon Automatic Call or at Maturity, Assuming a Range of Performances for the Fund?
The following
table and examples illustrate the hypothetical total return (i.e., not compounded) or payment at maturity on the notes
that could be realized on the Review Date or at maturity for a range of movements in the Fund as shown under the column “Fund
Appreciation/Depreciation at Review Date” and “Fund Return.” The “total return” as used in this
term sheet is the number, expressed as a percentage, that results from comparing the payment upon automatic call or at maturity,
as applicable, per $1,000 principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below
assumes an Initial Share Price of $80 and a Call Level of $80 (equal to 100% of the hypothetical Initial Share Price) and reflects
the Upside Leverage Factor of 1.55 and the Contingent Buffer Amount of 25%. The table and examples below also reflect that the
call premium is 15.15%, regardless of the appreciation of the Fund, which may be significant.
There will
be only one payment on the notes whether called or at maturity. An entry of “N/A” indicates that the notes would not
be called on the Review Date and no payment would be made on the Call Settlement Date. Each hypothetical total return or payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
Closing Price of One Share of the Fund |
Automatic Call |
No Automatic Call |
Fund Appreciation/ Depreciation at Review Date |
Total Return at Call Settlement Date |
Fund Return |
Total Return at Maturity |
$144.000 |
80.00% |
15.15% |
80.00% |
124.000% |
$136.000 |
70.00% |
15.15% |
70.00% |
108.500% |
$128.000 |
60.00% |
15.15% |
60.00% |
93.000% |
$120.000 |
50.00% |
15.15% |
50.00% |
77.500% |
$112.000 |
40.00% |
15.15% |
40.00% |
62.000% |
$104.000 |
30.00% |
15.15% |
30.00% |
46.500% |
$96.000 |
20.00% |
15.15% |
20.00% |
31.000% |
$88.000 |
10.00% |
15.15% |
10.00% |
15.500% |
$84.000 |
5.00% |
15.15% |
5.00% |
7.750% |
$82.000 |
2.50% |
15.15% |
2.50% |
3.875% |
$80.000 |
0.00% |
15.15% |
0.00% |
0.00% |
$76.000 |
-5.00% |
N/A |
-5.00% |
0.00% |
$72.000 |
-10.00% |
N/A |
-10.00% |
0.00% |
$64.000 |
-20.00% |
N/A |
-20.00% |
0.00% |
$60.000 |
-25.00% |
N/A |
-25.00% |
0.00% |
$59.992 |
-25.01% |
N/A |
-25.01% |
-25.01% |
$56.000 |
-30.00% |
N/A |
-30.00% |
-30.00% |
$48.000 |
-40.00% |
N/A |
-40.00% |
-40.00% |
$40.000 |
-50.00% |
N/A |
-50.00% |
-50.00% |
$32.000 |
-60.00% |
N/A |
-60.00% |
-60.00% |
$24.000 |
-70.00% |
N/A |
-70.00% |
-70.00% |
$16.000 |
-80.00% |
N/A |
-80.00% |
-80.00% |
$8.000 |
-90.00% |
N/A |
-90.00% |
-90.00% |
$0.000 |
-100.00% |
N/A |
-100.00% |
-100.00% |
Hypothetical
Examples of Amount Payable Upon Automatic Call or at Maturity
The following
examples illustrate how the payment upon automatic call or at maturity in different hypothetical scenarios is calculated.
Example
1: The closing price of one share of the Fund increases from the Initial Share Price of $80 to a closing price of $88 on the Review
Date. Because the closing price of one share of the Fund on the Review Date of $88 is greater than the Call Level of $80,
the notes are automatically called on the Review Date, and the investor receives a single payment of $1,151.50 per $1,000 principal
amount note on the Call Settlement Date.
Example
2: The notes have not been automatically called, and the closing price of one share of the Fund increases from the Initial Share
Price of $80 to a Final Share Price of $82. Because the Final Share Price of $82 is greater than the Initial Share Price of
$80 and the Fund Return is 2.50%, the investor receives a payment at maturity of $1,038.75 per $1,000 principal amount note, calculated
as follows:
$1,000 +
($1,000 × 2.50% × 1.55) = $1,038.75
Example
3: The notes have not been automatically called, and the closing price of one share of the Fund decreases from the Initial Share
Price of $80 to a Final Share Price of $60. Although the Fund Return is negative, because the Final Share Price of $60 is
less than the Initial Share Price by up to the Contingent Buffer Amount of 25%, the investor receives a payment at maturity of
$1,000 per $1,000 principal amount note.
JPMorgan Structured Investments |
TS-2 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
Example
4: The notes have not been automatically called, and the closing price of one share of the Fund decreases from the Initial Share
Price of $80 to a Final Share Price of $40. Because the Final Share Price of $40 is less than the Initial Share Price by more
than the Contingent Buffer Amount of 25% and the Fund Return is -50%, the investor receives a payment at maturity of $500 per
$1,000 principal amount note, calculated as follows:
$1,000 +($1,000
× -50%) = $500
The hypothetical
returns and 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 returns and hypothetical payments shown above would likely
be lower.
JPMorgan Structured Investments |
TS-3 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
Selected
Purchase Considerations
| · | UNCAPPED
APPRECIATION POTENTIAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically called,
the notes provide the opportunity to enhance equity returns by multiplying a positive Fund Return by 1.55. The notes are not subject
to a predetermined maximum gain at maturity and, accordingly, any return at maturity will be determined based on the movement
of the Fund. 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 With CAPPED Appreciation As a Result of Automatic Call Feature
— While the original term of the notes is three years, the notes will be called before maturity if the closing price of
one share of the Fund is at or above the Call Level on the Review Date. If the closing price of one share of the Fund is greater
than or equal to the Call Level on the Review Date, your investment will yield a payment per $1,000 principal amount note of $1,000
plus a call premium amount of $151.50 (equal to a call premium of 15.15% × $1,000). |
| · | LIMITED
PROTECTION AGAINST LOSS — We will pay you at least your principal back at maturity if the notes have not been automatically
called and the Final Share Price is equal to or less than the Initial Share Price by up to the Contingent Buffer Amount. If the
notes have not been automatically called and the Final Share Price is less than the Initial Share Price by more than the Contingent
Buffer Amount, for every 1% that the Final Share Price is less than the Initial Share Price, you will lose an amount equal to
1% of the principal amount of your notes. Under these circumstances, you will lose more than 25% of your principal amount and
may lose all of your principal amount at maturity. |
| · | RETURNS
LINKED TO THE Energy Select Sector SPDR® Fund — The return
on the notes is linked to the Energy Select Sector SPDR® Fund. The Energy Select Sector SPDR® Fund
is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company that consists of several
separate investment portfolios, and is managed by SSgA Funds Management, Inc., the investment adviser to the Energy Select Sector
SPDR® Fund. The Energy Select Sector SPDR® Fund trades on NYSE Arca, Inc., which we refer
to as NYSE Arca, under the ticker symbol “XLE.” |
The
Energy Select Sector SPDR® Fund seeks investment results that, before expenses, generally correspond to the price
and yield performance of publicly traded equity securities of companies in the energy sector, as represented by the Energy Select
Sector Index, which we refer to as the Underlying Index. The Energy Select Sector Index is a modified market capitalization-based
index, intended to provide an indication of the pattern of common stock price movements of companies that are components of the
S&P 500® Index and are involved in the development or production of energy products. For additional information
about the Energy Select Sector SPDR® Fund, see the information set forth in Appendix A.
| · | 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. Based on current market conditions,
in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not
debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement no. 4a-I. Assuming this treatment is respected, subject to the possible application of the “constructive
ownership” rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes
for more than a year, whether or not you are an initial purchaser of notes at the issue price. The notes could be treated
as “constructive ownership transactions” within the meaning of Section 1260 of the Internal Revenue Code of 1986,
as amended, in which case any gain recognized in respect of the notes that would otherwise be long-term capital gain and that
was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated as ordinary
income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over the
notes’ term. Our special tax counsel has not expressed an opinion with respect to whether or under what circumstances
the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding
the potential application of the constructive ownership rules. |
The
IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could
be materially and adversely 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;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the constructive ownership regime described above. 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 and adversely affect the tax consequences of an investment in the notes, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S.
JPMorgan Structured Investments |
TS-4 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
federal income tax consequences of an investment in the notes,
including the potential application of the constructive ownership rules, possible alternative treatments and the issues presented
by this notice.
Withholding
under legislation commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply
to amounts treated as interest paid with respect to the notes, as well as to the payment of gross proceeds of a sale of a note
occurring after December 31, 2016 (including redemption at maturity). You should consult your tax adviser regarding the
potential application of FATCA to the notes.
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Fund, the Underlying
Index or any of the component securities of the Fund or the Underlying Index. These risks are explained in more detail in the
“Risk Factors” section of the accompanying product supplement no. 4a-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 at maturity. The return
on the notes at maturity is linked to the performance of the Fund and will depend on whether, and the extent to which, the Fund
Return is positive or negative. If the notes have not been automatically called and the Final Share Price is less than the Initial
Share Price by more than the Contingent Buffer Amount, for every 1% that the Final Share Price is less than the Initial Share
Price, you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances, you will lose more
than 25% of your principal amount and may lose all of your principal amount at maturity. |
| · | 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. |
| · | 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 your 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. |
| · | THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT
MAY TERMINATE ON THE OBSERVATION DATE — If the Final Share Price is less than the Initial Share Price by more than the
Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to
any depreciation of the Fund. |
| · | LIMITED
RETURN ON THE NOTES IF THE NOTES ARE AUTOMATICALLY CALLED — If the notes are automatically called, your
potential gain on the notes will be limited to the call premium, as set forth on the cover of this term sheet, regardless of the
appreciation in the Fund, which may be significant. Because the closing price of one share of the Fund at various times during
the term of the notes could be higher than on the Review Date, you may receive a lower return from an investment in the notes
than you would have if you had invested directly in the Fund or any of the equity securities included in the Fund. |
| · | REINVESTMENT
RISK — If your notes are automatically called early, the term of the notes may be reduced to as short as approximately
one year. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable
return for a similar level of risk in the event the notes are automatically called prior to the maturity date. |
| · | 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. |
| · | 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. |
JPMorgan Structured Investments |
TS-5 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
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 closing price of one share
of the Fund, 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 Fund; |
| · | the
time to maturity of the notes; |
| · | the
likelihood of an automatic call being triggered; |
| · | the
dividend rates on the Fund and the equity securities held by the Fund; |
| · | interest
and yield rates in the market generally; |
| · | the
occurrence of certain events to the Fund that may or may not require an adjustment to the Share Adjustment Factor; and |
| · | a
variety of other economic, financial, political, regulatory 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.
| · | NO
INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and
you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of shares
of the Fund or securities held by the Fund or included in the Underlying Index would have. |
| · | THERE
ARE RISKS ASSOCIATED WITH THE FUND — Although the shares of the Fund are listed for trading on NYSE Arca and a number
of similar products have been traded on NYSE Arca and other securities exchanges for varying periods of time, there is no assurance
that an active trading market will continue for the shares of the Fund or that there will be liquidity in the trading market.
The Fund is subject to management risk, which is the risk that the investment strategies of the Fund’s investment adviser,
the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could
adversely affect the market price of the shares of the Fund, and consequently, the value of the notes. |
| · | DIFFERENCES
BETWEEN THE FUND AND THE UNDERLYING INDEX — The Fund does not fully replicate the Underlying Index and may hold securities
not included in the Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs and fees
that are not included in the calculation of the Underlying |
JPMorgan Structured Investments |
TS-6 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
Index.
All of these factors may lead to a lack of correlation between the Fund and the Underlying Index. In addition, corporate actions
with respect to the equity securities held by the Fund (such as mergers and spin-offs) may impact the variance between the Fund
and the Underlying Index. Finally, because the shares of the Fund are traded on NYSE Arca and are subject to market supply and
investor demand, the market value of one share of the Fund may differ from the net asset value per share of the Fund. For all
of the foregoing reasons, the performance of the Fund may not correlate with the performance of the Underlying Index.
| · | THE
FUND IS LINKED TO THE PERFORMANCE OF THE ENERGY SECTOR — All or substantially all of the equity securities held by the
Fund are issued by companies whose primary line of business is directly associated with
the energy sector, including the following industries: oil, gas and consumable fuels; and energy equipment and services. Market
or economic factors impacting energy companies and companies that rely heavily on energy advances could have a major effect on
the value of the Fund. Weak demand for energy companies’ products or services or for energy products and services in general,
as well as negative developments in these other areas, including natural disasters or terrorist attacks, would adversely impact
the Fund’s performance. As a result, the value of the securities may be subject to greater volatility and be more
adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment
linked to securities of a more broadly diversified group of issuers. |
| · | 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
ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — The calculation agent will make adjustments to the Share Adjustment
Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment in response
to all events that could affect the shares of the Fund. 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. |
| · | 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. Accordingly, you should consider your potential investment in the notes based on the minimum for JPMS’s
estimated value. |
JPMorgan Structured Investments |
TS-7 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
Historical
Information
The following
graph sets forth the historical performance of the Fund based on the weekly historical closing prices of one share of the Fund
from January 2, 2009 through December 12, 2014. The closing price of one share of the Fund on December 18, 2014 was $78.56. We
obtained the closing price of one share of the Fund below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification.
The historical
closing prices of one share of the Fund should not be taken as an indication of future performance, and no assurance can be given
as to the closing price of one share of the Fund on the Pricing Date, the Review Date or the Observation Date. We cannot give
you assurance that the performance of the Fund will result in the return of any of your principal amount.
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, dividend rates,
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. We or one or more of our affiliates will retain
any profits realized in hedging our obligations under the notes. 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 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
JPMorgan Structured Investments |
TS-8 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
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 Is the Total Return on the Notes upon Automatic Call or at Maturity, Assuming a Range of Performances for the
Fund?” and “Hypothetical Examples of Amount Payable upon Automatic Call or at Maturity” in this term sheet for
an illustration of the risk-return profile of the notes and Appendix A 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-9 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
APPENDIX
A
The
Energy Select Sector SPDR® Fund
We have
derived all information contained in this term sheet regarding the Energy Select Sector SPDR® Fund from publicly
available information, without independent verification. This information reflects the policies of, and is subject to change by
the Select Sector SPDR® Trust (the “Select Sector Trust”) and SSgA Funds Management, Inc. (“SSgA
FM”). The Energy Select Sector SPDR® Fund is an investment portfolio managed by SSgA FM, the investment adviser
to the Energy Select Sector SPDR® Fund. The Energy Select Sector SPDR® Fund is an exchange-traded
fund (“ETF”) that trades on the NYSE Arca under the ticker symbol “XLE.”
The Select
Sector Trust is a registered investment company that consists of nine separate investment portfolios (each, a “Select Sector
SPDR® Fund”), including the Energy Select Sector SPDR® Fund. Each Select Sector SPDR®
Fund is an index fund that invests in a particular sector or group of industries represented by a specified Select Sector
Index. The companies included in each Select Sector Index are selected on the basis of general industry classifications from a
universe of companies defined by the S&P 500® Index. The Select Sector Indices (each, a “Select Sector
Index”) upon which the Select Sector SPDR® Funds are based together comprise all of the companies in the
S&P 500® Index. The investment objective of each Select Sector SPDR® Fund is to provide investment
results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of
companies in a particular sector or group of industries, as represented by a specified market sector index.
Information
provided to or filed with the SEC by the Select Sector Trust pursuant to the Securities Act of 1933, as amended, and the Investment
Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-57791 and 811-08837, respectively, through
the SEC’s website at http://www.sec.gov. For additional information regarding the Select Sector Trust or the Energy Select
Sector SPDR® Fund, please see the Energy Select Sector SPDR® Fund’s prospectus. In addition,
information about the Select Sector Trust, SSgA FM and the Energy Select Sector SPDR® Fund may be obtained from
other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents and
the Select Sector Trust website at http://www.sectorspdrs.com. We make no representation or warranty as to the accuracy or completeness
of such information. Information contained in the Select Sector Trust website is not incorporated by reference in, and should
not be considered a part of, this term sheet.
Investment
Objective
The Energy
Select Sector SPDR® Fund seeks to provide investment results that, before expenses, correspond generally to the
price and yield performance of publicly traded equity securities of companies in the Energy Select Sector Index. For more information
about the Energy Select Sector Index, please see “ — The Energy Select Sector Index” below.
Investment
Strategy — Replication
The Energy
Select Sector SPDR® Fund employs a replication strategy in seeking to track the performance of the Energy Select
Sector Index. This means that the Energy Select Sector SPDR® Fund typically invests in substantially all of the
securities represented in the Energy Select Sector Index in approximately the same proportions as the Energy Select Sector Index.
SSgA FM may sell securities that are represented in the Energy Select Sector Index, or purchase securities that are not yet represented
in the Energy Select Sector Index, in anticipation of their removal from or addition to the Energy Select Sector Index. Further,
SSgA FM may choose to overweight securities in the Energy Select Sector Index, purchase or sell securities not in the Energy Select
Sector Index or utilize various combinations of other available techniques, in seeking to track the Energy Select Sector Index.
Under normal
market conditions, the Energy Select Sector SPDR® Fund generally invests substantially all, but at least 95%, of
its total assets in the securities composing the Energy Select Sector Index. In addition, the Energy Select Sector SPDR®
Fund may invest in cash and cash equivalents or money market instruments, such as repurchase agreements and money market
funds (including money market funds advised by SSgA FM). Swaps, options and futures contracts, convertible securities and structured
notes may be used by the Energy Select Sector SPDR® Fund in seeking performance that corresponds to the Energy
Select Sector Index and in managing cash flows. SSgA FM anticipates that, under normal circumstances, it may take several business
days for additions and deletions to the Energy Select Sector Index to be reflected in the portfolio composition of the Energy
Select Sector SPDR® Fund. The Board of Trustees of the Select Sector Trust may change the Energy Select Sector
SPDR® Fund’s investment strategy and certain other policies without shareholder approval.
There may,
however, be instances where SSgA FM intends to employ a sampling strategy in managing the Energy Select Sector SPDR®
Fund. Sampling means that SSgA FM will use quantitative analysis to select securities, including securities in the Energy
Select Sector Index, outside of the index and derivatives, that have a similar investment profile as the Energy Select Sector
Index in terms of key risk factors, performance attributes and other economic characteristics. These include industry weightings,
market capitalization, and other financial characteristics of securities.
JPMorgan Structured Investments |
A-1 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
Correlation
The Energy
Select Sector Index is a theoretical financial calculation, while the Energy Select Sector SPDR® Fund is an actual
investment portfolio. The performance of the Energy Select Sector SPDR® Fund’s return may not match or achieve
a high degree of correlation with the return of the Energy Select Sector Index due to operating expenses, transaction costs, cash
flows, regulatory requirements and operational inefficiencies.
Holdings
Information
As of December
18, 2014, the Energy Select Sector SPDR® Fund included 45 companies. The Energy Select Sector SPDR®
Fund’s three largest holdings are Exxon Mobil Corporation, Chevron Corporation and Schlumberger NV. The following table
summarizes the Energy Select Sector SPDR® Fund’s holdings in individual companies as of that date.
Top Holdings
in Individual Securities as of December 18, 2014
Name |
Weight |
1. Exxon Mobil Corporation |
16.69% |
2. Chevron Corporation |
13.46% |
3. Schlumberger NV |
7.25% |
4. Kinder Morgan Inc. Class P |
4.39% |
5. ConocoPhillips |
4.03% |
6. EOG Resources Inc. |
3.93% |
7. Occidental Petroleum Corporation |
3.43% |
8. Pioneer Natural Resources Company |
3.05% |
9. Anadarko Petroleum Corporation |
3.04% |
10. Williams Companies Inc. |
2.71% |
The information
above was compiled from the Select Sector Trust website, without independent verification. Information contained in the Select
Sector Trust website is not incorporated by reference in, and should not be considered a part of, this term sheet.
The
Energy Select Sector Index
We have
derived all information contained in this term sheet regarding the Energy Select Sector Index, including, without limitation,
its make-up, method of calculation and changes in their components, from publicly available information, without independent verification.
This information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC or BofA Merrill Lynch Research,
as index compilation agent (the “Index Compilation Agent”).
In July
2012, The McGraw-Hill Companies, Inc. (“McGraw-Hill”), the owner of the S&P Indices business, and CME Group Inc.
(“CME Group”), the 90% owner of the CME Group and Dow Jones & Company, Inc. joint venture that owns the Dow Jones
Indexes business, formed a new joint venture, S&P Dow Jones Indices LLC, which owns the S&P Indices business and the Dow
Jones Indexes business, including the Select Sector Indices.
The constituents
included in the Select Sector Indices are selected by the Index Compilation Agent in consultation with S&P Dow Jones Indices
LLC from the universe of companies represented by the S&P 500® Index. The composition and weighting of the
components included in the Select Sector Indices can be expected to differ from the composition and weighting of components included
in any similar S&P 500® sector index that is published and disseminated by S&P Dow Jones Indices LLC. S&P
Dow Jones Indices LLC acts as the index calculation agent in connection with the calculation and dissemination of the Select Sector
Indices. S&P Dow Jones Indices LLC’s only relationship to the Index Compilation Agent is the licensing of certain trademarks
and trade names of S&P and of the S&P 500® Index which is determined, composed and calculated by S&P
Dow Jones Indices LLC without regard to the Index Compilation Agent.
The Energy
Select Sector Index is a modified market capitalization-based index, intended to provide an indication of the pattern of common
stock price movements of companies that are components of the S&P 500® Index and are involved in the development
or production of energy products. Companies in the Energy Select Sector Index develop and produce crude oil and natural gas and
provide drilling and other energy related services. The Energy Select Sector Index is one of the nine Select Sector sub-indices
of the S&P 500® Index, each of which we refer to as a “Select Sector Index.”
Construction
and Maintenance
The Select
Sector Indices are developed, maintained and calculated in accordance with the following criteria:
JPMorgan Structured Investments |
TS-2 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
| · | Each
of the component stocks in the Select Sector Indices (the “Component Stocks”) is a constituent company of the S&P
500® Index. |
| · | Each
stock in the S&P 500® Index is allocated to one and only one of the Select Sector Indices. |
| · | The
Index Compilation Agent assigns each constituent stock of the S&P 500® Index to a Select Sector Index. The
Index Compilation Agent, after consultation with S&P Dow Jones Indices LLC, assigns a particular company’s stock to
a Select Sector Index based on that company’s classification under the Global Industry Classification Standard (GICS). |
| · | The
Select Sector Indices are calculated using the same methodology utilized by S&P Dow Jones Indices LLC in calculating the S&P
500® Index. See “Equity Index Descriptions — The S&P 500® Index”
in underlying supplement no. 1a-I. The daily calculation of a Select Sector Index is computed by dividing the total market value
of the companies in that Select Sector Index by a number called the index divisor. |
| · | The
Select Sector Indices are calculated by S&P Dow Jones Indices LLC using a modified “market capitalization” methodology
subject to a capping methodology that implements Internal Revenue Code diversification requirements that are applicable to exchange-traded
funds. For reweighting purposes, the Select Sector Indices are rebalanced quarterly after the close of business on the second
to last calculation day of March, June, September and December using the following procedures: |
| 1. | The
rebalancing reference date is two business days prior to the last calculation day of March, June, September and December. |
| 2. | With
prices reflected on the rebalancing reference date, and membership, shares outstanding, and other metrics as of the rebalancing
effective date, each company is weighted using the modified market capitalization methodology. Modifications are made as described
below. |
| 3. | The
Select Sector Indices are first evaluated based on their companies’ modified market capitalization weights to ensure none
of the Select Sector Indices breach the maximum allowable limits defined in paragraphs 4 and 7 below. If a Select Sector Index
breaches any of the allowable limits, the companies are reweighted based on their float-adjusted market capitalization weights
calculated using the prices as of the rebalancing reference date, and membership, shares outstanding and other metrics as of the
rebalancing effective date. |
| 4. | If
any company has a weight greater than 24%, that company has its float-adjusted market capitalization weight capped at 23%. The
cap is set to 23% to allow for a 2% buffer. This buffer is needed to ensure that no company exceeds 25% as of the quarter end
diversification requirement date. |
| 5. | All
excess weight is equally redistributed to all uncapped companies within the relevant Select Sector Capped Index. |
| 6. | After
this redistribution, if the float-adjusted market capitalization weight of any other company then breaches 23%, the process is
repeated iteratively until no company breaches the 23% weight cap. |
| 7. | The
sum of the companies with weight greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow for
a buffer below the 5% limit. |
| 8. | If
the rule in paragraph 7 is breached, all the companies are ranked in descending order of their float-adjusted market capitalization
weights and the first stock that causes the 50% limit to be breached is identified. The weight of this company is, then, reduced
to 4.6%. |
| 9. | This
excess weight is equally redistributed to all companies with weights below 4.6%. This process is repeated iteratively until paragraph
7 is satisfied. |
| 10. | Index
share amounts are assigned to each constituent to arrive at the weights calculated above. Since index shares are assigned based
on prices one business day prior to rebalancing, the actual weight of each constituent at the rebalancing differs somewhat from
these weights due to market movements. |
If necessary,
the reweighting process may take place more than once prior to the close on the last business day of March, June, September or
December to ensure the Select Sector Indices conform to all diversification requirements.
JPMorgan Structured Investments |
TS-3 |
Autocallable Buffered Return Enhanced Notes Linked to the Energy Select Sector SPDR®
Fund |
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