|
December 2015
Preliminary Terms No.
514
Registration Statement
No. 333-199966
Dated November 25, 2015
Filed pursuant to Rule
433 |
Structured
Investments
Opportunities in International
Equities
Buffered PLUS Based on the Value
of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged
Upside SecuritiesSM
Principal at Risk Securities
The Buffered PLUS offered are unsecured and unsubordinated obligations
of JPMorgan Chase & Co., will pay no interest, provide a minimum payment at maturity of only 10.00% of the stated principal
amount and have the terms described in the accompanying product supplement no. 4a-I, underlying supplement no. 1a-I, the prospectus
supplement and the prospectus, as supplemented or modified by this document. At maturity, if the underlying index has appreciated
in value, investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying
index, subject to a maximum payment at maturity. If the underlying index has declined in value but has not declined by more than
the specified buffer amount, investors will receive the stated principal amount of their investment. However, if the underlying
index has declined by more than the buffer amount, at maturity investors will lose 1% for every 1% decline beyond the specified
buffer amount, subject to the minimum payment at maturity of 10.00% of the stated principal amount. Investors may lose up to
90.00% of the stated principal amount of the Buffered PLUS at maturity. The Buffered PLUS are for investors who seek an equity-based
return and who are willing to risk their principal and forgo current income and upside above the maximum payment at maturity in
exchange for the leverage and buffer features that in each case apply to a limited range of performance of the underlying index.
At maturity, an investor will receive an amount in cash that may be greater than, equal to, or less than the stated principal
amount based upon the closing level of the underlying index on the valuation date. All payments on the Buffered PLUS are subject
to the credit risk of JPMorgan Chase & Co.
SUMMARY TERMS |
Issuer: |
JPMorgan Chase & Co. |
Underlying index: |
EURO STOXX 50® Index |
Aggregate principal amount: |
$ |
Payment at maturity: |
If the final index value is greater than the initial index value, for each $10 stated principal amount Buffered PLUS, |
|
$10 + leveraged upside payment |
|
In no event will the payment at maturity exceed the maximum payment at maturity. |
|
If the final index value is equal to the initial index value or is less than the initial index value but has decreased from the initial index value by an amount less than or equal to the buffer amount of 10.00%, for each $10 stated principal amount Buffered PLUS, |
|
$10 |
|
If the final index value is less than the initial index value and has decreased from the initial index value by an amount greater than the buffer amount of 10.00%, for each $10 stated principal amount Buffered PLUS, |
|
($10 × index performance factor) + $1.00 |
|
This amount will be less than the stated principal amount of $10 per Buffered PLUS. However, subject to the credit risk of JPMorgan Chase & Co., under no circumstances will the Buffered PLUS pay less than $1.00 per Buffered PLUS at maturity. |
Leveraged upside payment: |
$10 × leverage factor × index percent increase |
Index percent increase: |
(final index value – initial index value) / initial index value |
Initial index value: |
The closing level of the underlying index on the pricing date |
Final index value: |
The closing level of the underlying index on the valuation date |
Leverage factor: |
200% |
Buffer amount: |
10.00% |
Index performance factor: |
final index value / initial index value |
Maximum payment at maturity: |
At least $14.10 (at least 141.00% of the stated principal amount) per Buffered PLUS. The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $14.10 per Buffered PLUS. |
Minimum payment at maturity: |
$1.00 per Buffered PLUS (10.00% of the stated principal amount) |
Stated principal amount: |
$10 per Buffered PLUS |
Issue price: |
$10 per Buffered PLUS (see “Commissions and issue price” below) |
Pricing date: |
December , 2015 (expected to price on or about December 16, 2015) |
Original issue date (settlement date): |
December , 2015 (3 business days after the pricing date) |
Valuation date: |
December 17, 2018, 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)” in the accompanying product supplement no. 4a-I |
Maturity date: |
December 20, 2018, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I |
CUSIP / ISIN: |
48127Y144 / US48127Y1441 |
Listing: |
The Buffered PLUS will not be listed on any securities exchange. |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
Commissions and issue price: |
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
Per Buffered PLUS |
$10.00 |
$0.25(2) |
$9.70 |
|
|
$0.05(3) |
|
Total |
$ |
$ |
$ |
(1) | See “Additional Information about the Buffered PLUS — Supplemental use of proceeds and hedging” in this
document for information about the components of the price to public of the Buffered PLUS. |
(2) | JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to Morgan
Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $0.25
per $10 stated principal amount Buffered PLUS. See “Plan of Distribution (Conflicts of Interest)” beginning on page
PS-87 of the accompanying product supplement no. 4a-I. |
3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each
$10 stated principal amount Buffered PLUS. |
If the Buffered PLUS priced today and assuming a maximum payment
at maturity equal to the minimum listed above,, the estimated value of the Buffered PLUS as determined by JPMS would be approximately
$9.738 per $10 stated principal amount Buffered PLUS. JPMS’s estimated value of the Buffered PLUS on the pricing date will
be provided by JPMS in the pricing supplement and will not be less than $9.40 per $10 stated principal amount Buffered PLUS. See
“Additional Information about the Buffered PLUS — JPMS’s estimated value of the Buffered PLUS” in this
document for additional information.
Investing in the Buffered PLUS 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 no. 1a-I and “Risk Factors” beginning on page 5 of
this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Buffered PLUS or passed upon the accuracy or the adequacy
of this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The Buffered PLUS 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.
You should read this document together with the related product
supplement no. 4a-I, underlying supplement no. 1a-I, prospectus
supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information
about the Buffered PLUS” at the end of this document.
Product supplement no. 4a-I dated November
7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
Underlying
supplement no. 1a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf
Prospectus
supplement and prospectus, each dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside Securities
Principal at Risk Securities
The Buffered PLUS Based on the Value of the EURO STOXX 50®
Index due December 20, 2018 (the “Buffered PLUS”) can be used:
| § | As an alternative to direct exposure to the underlying index that enhances returns for a certain
range of potential positive performance of the underlying index. |
| § | To potentially achieve similar levels of upside exposure to the underlying index as a direct investment,
subject to the maximum payment at maturity, while using fewer dollars by taking advantage of the leverage factor. |
| § | To obtain a buffer against a specified level of negative performance in the underlying index. |
Maturity: |
Approximately 3 years |
Leverage
factor: |
200% |
Buffer
amount: |
10.00% |
Maximum
payment at maturity: |
At least $14.10 (at least 141.00% of the stated principal amount) per Buffered PLUS (to be provided in the pricing supplement) |
Minimum
payment at maturity: |
$1.00 per Buffered PLUS. Investors may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity. |
Supplemental Terms of the Buffered PLUS
For purposes of the accompanying
product supplement, the underlying index is an “Index.”
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Buffered PLUS offer leveraged exposure to an underlying asset,
which may be equities, commodities and/or currencies, while providing limited protection against negative performance of the asset.
If the asset has decreased in value by more than the specified buffer amount, investors are exposed to the negative performance
of the asset, subject to the minimum payment at maturity. At maturity, if the asset has appreciated, investors will receive the
stated principal amount of their investment plus leveraged upside performance of the underlying asset, subject to the maximum payment
at maturity. At maturity, if the asset has depreciated and (i) if the asset has not depreciated by more than the specified buffer
amount, investors will receive the stated principal amount of their investment, or (ii) if the asset has depreciated by more than
the buffer amount, the investor will lose 1% for every 1% decline beyond the specified buffer amount. Investors may lose up
to 90.00% of the stated principal amount of the Buffered PLUS at maturity.
Leveraged Performance |
The Buffered PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying index. |
Upside Scenario |
The underlying index increases in value and, at maturity, the Buffered PLUS pay the stated principal amount of $10 plus a return equal to 200% of the index percent increase, subject to the maximum payment at maturity of at least $14.10 (at least 141.00% of the stated principal amount) per Buffered PLUS. The actual maximum payment at maturity will be provided in the pricing supplement. |
Par Scenario |
The final index value is equal to the initial index value or declines in value by no more than 10.00% and, at maturity, the Buffered PLUS pay the stated principal amount of $10 per Buffered PLUS. |
Downside Scenario |
The underlying index declines in value by more than 10.00% and, at maturity, the Buffered PLUS pay an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decline of the final index value from the initial index value, plus the buffer amount of 10.00%. (Example: if the underlying index decreases in value by 20%, the Buffered PLUS will pay an amount that is less than the stated principal amount by 20% plus the buffer amount of 10.00%, or $9.00 per Buffered PLUS.) The minimum payment at maturity is $1.00 per Buffered PLUS, subject to the credit risk of JPMorgan Chase & Co. |
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Buffered PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on
the Buffered PLUS based on the following terms:
Stated
principal amount: |
$10 per Buffered PLUS |
Leverage
factor: |
200% |
Hypothetical
maximum payment at maturity: |
$14.10 (141.00% of the stated principal amount) per Buffered PLUS (which represents the lowest hypothetical maximum payment at maturity)* |
Minimum
payment at maturity: |
$1.00 per Buffered PLUS |
*The actual maximum payment at maturity will be provided
in the pricing supplement and will not be less than $14.10 per Buffered PLUS.
Buffered PLUS Payoff Diagram |
|
How it works
| § | Upside Scenario.
If the final index value is greater than the initial index value, for each $10 principal amount Buffered PLUS investors will receive
the $10 stated principal amount plus a return equal to 200% of the appreciation of the underlying index over the term of
the Buffered PLUS, subject to the maximum payment at maturity. Under the hypothetical terms of the Buffered PLUS, an investor will
realize the hypothetical maximum payment at maturity at a final index value of 120.50% of the initial index value. |
| § | Par Scenario.
If the final index value is equal to the initial index value or is less than the initial index value but has decreased from the
initial index value by an amount less than or equal to the buffer amount of 10.00%, investors will receive the stated principal
amount of $10 per Buffered PLUS. |
| § | Downside Scenario.
If the final index value is less than the initial index value and has decreased from the initial index value by an amount greater
than the buffer amount of 10.00%, investors will receive an amount that is less than the stated principal amount by an amount proportionate
to the percentage decrease of the final index value from the initial index value, plus the buffer amount of 10.00%. The minimum
payment at maturity is $1.00 per Buffered PLUS. |
| § | For example, if the underlying index depreciates 50%, investors will lose 40.00% of their principal
and receive only $6.00 per Buffered PLUS at maturity, or 60.00% of the stated principal amount. |
The hypothetical returns and hypothetical payments
on the Buffered PLUS shown above apply only if you hold the Buffered PLUS for their entire term. 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.
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The
following is a non-exhaustive list of certain key risk factors for investors in the Buffered PLUS. For further discussion
of these and other risks, you should read the sections entitled “Risk Factors” beginning on page PS-8 of the accompanying
product supplement no. 4a-I and “Risk Factors” beginning on page US-2 of the accompanying underlying supplement no.
1a-I. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment
in the Buffered PLUS.
| § | Buffered PLUS do not pay interest and you could lose up to 90.00% of
your principal at maturity. The terms of the Buffered PLUS differ from those of ordinary
debt securities in that the Buffered PLUS do not pay interest and provide a minimum payment at maturity of only 10.00% of your
principal, subject to the credit risk of JPMorgan Chase & Co. If the final index value has declined by an amount greater than
the buffer amount of 10.00% from the initial index value, you will receive for each Buffered PLUS that you hold a payment at maturity
that is less than the stated principal amount of each Buffered PLUS by an amount proportionate to the decline in the value of the
underlying index, plus $1.00 per Buffered PLUS. Accordingly, you could lose up to 90.00% of your principal. |
| § | The appreciation potential of the Buffered PLUS is limited by the maximum
payment at maturity. The appreciation potential of the Buffered PLUS is limited by the maximum
payment at maturity of at least $14.10 (at least 141.00% of the stated principal amount) per Buffered PLUS. The actual maximum
payment at maturity will be provided in the pricing supplement. Because the maximum payment at maturity will be limited to at least
141.00% of the stated principal amount for the Buffered PLUS, any increase in the final index value by more than 20.50% (if the
maximum payment at maturity is set at 141.00% of the stated principal amount) will not further increase the return on the Buffered
PLUS. |
| § | The Buffered PLUS are subject to the credit risk of JPMorgan Chase
& Co., and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value
of the Buffered PLUS. Investors are dependent on JPMorgan Chase & Co.’s ability
to pay all amounts due on the Buffered PLUS. Any actual or anticipated decline in our credit ratings or increase in the credit
spreads determined by the market for taking our credit risk is likely to adversely affect the market value of the Buffered PLUS.
If we were to default on our payment obligations, you may not receive any amounts owed to you under the Buffered PLUS and you could
lose your entire investment. |
| § | Economic interests of the issuer, the calculation agent, the agent of the offering of the Buffered
PLUS and other affiliates of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the Buffered PLUS, including acting as calculation
agent and as an agent of the offering of the Buffered PLUS, hedging our obligations under the Buffered PLUS and making the assumptions
used to determine the pricing of the Buffered PLUS and the estimated value of the Buffered PLUS, 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 Buffered PLUS. The calculation agent will determine
the initial index value and the final index value and will calculate the amount of payment you will receive at maturity. Determinations
made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, the selection
of a successor to the underlying index or calculation of the final index value in the event of a discontinuation or material change
in method of calculation of the underlying index, may affect the payment to you at maturity. |
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 Buffered PLUS and the value of the Buffered PLUS. It is possible that hedging
or trading activities of ours or our affiliates in connection with the Buffered PLUS could result in substantial returns for us
or our affiliates while the value of the Buffered PLUS 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.
| § | JPMS’s estimated value of the Buffered PLUS will be lower than the original issue price
(price to public) of the Buffered PLUS. JPMS’s estimated
value is only an estimate using several factors. The original issue price of the Buffered PLUS will exceed JPMS’s estimated
value because costs associated with selling, structuring and hedging the Buffered PLUS are included in the original issue price
of the Buffered PLUS. These costs include the selling commissions, the structuring fee, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the Buffered PLUS and the estimated cost
of hedging our obligations under the Buffered PLUS. See “Additional Information about the Buffered PLUS — JPMS’s
estimated value of the Buffered PLUS” in this document. |
| § | JPMS’s estimated value does not represent future values of the Buffered PLUS and
may differ from others’ estimates. JPMS’s estimated
value of the Buffered PLUS is determined by reference to JPMS’s internal pricing models. This estimated value is based on
market conditions and other relevant factors existing at the time of pricing 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 Buffered |
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
PLUS 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 Buffered PLUS 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 Buffered PLUS from you in secondary market transactions. See “Additional Information
about the Buffered PLUS — JPMS’s estimated value of the Buffered PLUS” in this document.
| § | 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 Buffered PLUS as well as the higher issuance, operational
and ongoing liability management costs of the Buffered PLUS 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 Buffered PLUS to be more favorable to you. In addition, JPMS’s estimated value might be lower if it were based on
the interest rate implied by our conventional fixed-rate credit spreads. Consequently, our use of an internal funding rate would
have an adverse effect on the terms of the Buffered PLUS and any secondary market prices of the Buffered PLUS. See “Additional
Information about the Buffered PLUS — JPMS’s estimated value of the Buffered PLUS” in this document. |
| § | The value of the Buffered PLUS 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 Buffered PLUS for a limited time period.
We generally expect that some of the costs included
in the original issue price of the Buffered PLUS will be partially paid back to you in connection with any repurchases of your
Buffered PLUS by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling
commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our
secondary market credit spreads for structured debt issuances. See “Additional Information about the Buffered PLUS —
Secondary market prices of the Buffered PLUS” in this document for additional information relating to this initial period.
Accordingly, the estimated value of your Buffered PLUS during this initial period may be lower than the value of the Buffered PLUS
as published by JPMS (and which may be shown on your customer account statements). |
| § | Secondary market prices of the Buffered PLUS will likely be lower than the original issue price
of the Buffered PLUS. Any secondary market prices of the Buffered
PLUS will likely be lower than the original issue price of the Buffered PLUS 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 the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the Buffered PLUS. As a result, the price, if any, at which JPMS will be
willing to buy Buffered PLUS 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
factor for information about additional factors that will impact any secondary market prices of the Buffered PLUS. |
The Buffered PLUS are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Buffered PLUS to maturity. See “—
Secondary trading may be limited” below.
| § | Secondary market prices of the Buffered PLUS will be impacted by many
economic and market factors. The secondary market price of the Buffered PLUS 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of the
underlying index, including: |
| o | any actual or potential change in our creditworthiness or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | secondary market credit spreads for structured debt issuances; |
| o | the actual and expected volatility of the underlying index; |
| o | the time to maturity of the Buffered PLUS; |
| o | dividend rates on the equity securities included in the underlying index; |
| o | interest and yield rates in the market generally; |
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| o | the exchange rates and the volatility of the exchange rates between the U.S. dollar and
each of the currencies in which the equity securities included in the underlying index trade and the correlation among those rates
and the levels of the underlying index; and |
| o | 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 Buffered PLUS, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Buffered PLUS, if any, at which JPMS may be willing
to purchase your Buffered PLUS in the secondary market.
| § | Investing in the Buffered PLUS is not equivalent to investing in the
underlying index. Investing in the Buffered PLUS is not equivalent to investing in the underlying
index or its component stocks. Investors in the Buffered PLUS will not have voting rights or rights to receive dividends or other
distributions or any other rights with respect to stocks that constitute the underlying index. |
| § | Adjustments to the underlying index could adversely affect the value
of the Buffered PLUS. The underlying index publisher may discontinue or suspend calculation
or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion
to substitute a successor index that is comparable to the discontinued underlying index and is not precluded from considering indices
that are calculated and published by the calculation agent or any of its affiliates. |
| § | The Buffered PLUS are subject to risks associated with securities issued
by non-U.S. companies. The equity securities included in the EURO STOXX 50®
Index have been issued by non-U.S. companies. Investments in Buffered PLUS linked to the value of such non-U.S. equity securities
involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities,
including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies
in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies
are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from
those applicable to U.S. reporting companies. |
| § | The Buffered PLUS are not directly exposed to fluctuations in foreign
exchange rates. The value of your Buffered PLUS will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies upon which the equity securities included in the EURO STOXX 50® Index
are based, although any currency fluctuations could affect the performance of the EURO STOXX 50® Index. Therefore,
if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the Buffered PLUS, you will
not receive any additional payment or incur any reduction in any payment on the Buffered PLUS. |
| § | Hedging and trading activities by the issuer and its affiliates could potentially affect the
value of the Buffered PLUS. The hedging or trading activities
of the issuer’s affiliates and of any other hedging counterparty with respect to the Buffered
PLUS on or prior to the pricing date and prior
to maturity could adversely affect the value of the underlying index and, as a result, could decrease the amount an investor may
receive on the Buffered PLUS at maturity. Any of these hedging or trading activities on or prior to the pricing date could
potentially affect the initial index value and, therefore, could potentially increase the level that the final index value must
reach before you receive a payment at maturity that exceeds the issue price of the Buffered
PLUS or so that you do not suffer a loss on your initial investment in the Buffered PLUS. Additionally, these hedging or
trading activities during the term of the Buffered
PLUS, including on the valuation date, could adversely affect the final index value and, accordingly, the amount of cash
an investor will receive at maturity. It is possible that these hedging or trading activities could result in substantial returns
for us or our affiliates while the value of the Buffered PLUS declines. |
| § | Secondary trading may be limited.
The Buffered PLUS will not be listed on a securities exchange. There may be little or
no secondary market for the Buffered PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you
to trade or sell the Buffered PLUS easily. JPMS may
act as a market maker for the Buffered PLUS, but is not required to do so. Because we do not expect that other market makers will
participate significantly in the secondary market for the Buffered PLUS, the price at which you may be able to trade your Buffered
PLUS is likely to depend on the price, if any, at which JPMS
is willing to buy the Buffered PLUS. If at any time JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the Buffered
PLUS. |
| § | The final terms and valuation of the Buffered PLUS will be provided
in the pricing supplement. The final terms of the Buffered PLUS will be provided in the pricing supplement. In
particular, each of JPMS’s estimated value and the maximum payment at maturity will be provided in the pricing supplement
and each may be as low as the applicable minimum set forth on the cover of this document. Accordingly, you should |
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
consider your potential investment
in the Buffered PLUS based on the minimums for JPMS’s estimated value and the maximum payment at maturity.
| § | The tax consequences of an investment in the Buffered PLUS are uncertain. There
is no direct legal authority as to the proper U.S. federal income tax characterization of the Buffered PLUS, and we do not intend
to request a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of the Buffered PLUS described
in “Additional Information about the Buffered PLUS ― Additional Provisions ― Tax considerations” in this
document and in “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. If
the IRS were successful in asserting an alternative treatment for the Buffered PLUS, the timing and character of any income or
loss on the Buffered PLUS could differ materially and adversely from our description herein. 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,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. 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 Buffered PLUS, possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement no. 4a-I and consult your tax adviser regarding the U.S.
federal income tax consequences of an investment in the Buffered PLUS, including possible alternative treatments and the issues
presented by this notice. |
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50®
Index Overview
The EURO STOXX 50®
Index, consists of 50 component stocks of market sector leaders from within the Eurozone. For additional information on the EURO
STOXX 50® Index, see the information set forth under "Equity Index Descriptions ― The EURO STOXX 50®
Index" in the accompanying underlying supplement no.1a-I.
Information as of market close on November 24, 2015:
Bloomberg
Ticker Symbol: |
SX5E |
Current
Closing Level: |
3,409.60 |
52
Weeks Ago (on 11/24/2014): |
3,211.70 |
52
Week High (on 4/13/2015): |
3,828.78 |
52
Week Low (on 12/15/2014): |
2,982.90 |
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period from January 1, 2010 through
November 24, 2015. The graph following the table sets forth the daily closing levels of the underlying index during the same period.
The closing level of the underlying index on November 24, 2015 was 3,409.60. We obtained the closing level information above and
in the table and graph below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification. The historical values of the underlying index should not be taken as an indication of future performance, and no
assurance can be given as to the closing level of the underlying index on the valuation date. The payment of dividends on the stocks
that constitute the underlying index are not reflected in its closing level and, therefore, have no effect on the calculation of
the payment at maturity.
EURO
STOXX 50® Index |
High |
Low |
Period
End |
2010 |
|
|
|
First Quarter |
3,017.85 |
2,631.64 |
2,931.16 |
Second Quarter |
3,012.65 |
2,488.50 |
2,573.32 |
Third Quarter |
2,827.27 |
2,507.83 |
2,747.90 |
Fourth Quarter |
2,890.64 |
2,650.99 |
2,792.82 |
2011 |
|
|
|
First Quarter |
3,068.00 |
2,721.24 |
2,910.91 |
Second Quarter |
3,011.25 |
2,715.88 |
2,848.53 |
Third Quarter |
2,875.67 |
1,995.01 |
2,179.66 |
Fourth Quarter |
2,476.92 |
2,090.25 |
2,316.55 |
2012 |
|
|
|
First Quarter |
2,608.42 |
2,286.45 |
2,477.28 |
Second Quarter |
2,501.18 |
2,068.66 |
2,264.72 |
Third Quarter |
2,594.56 |
2,151.54 |
2,454.26 |
Fourth Quarter |
2,659.95 |
2,427.32 |
2,635.93 |
2013 |
|
|
|
First Quarter |
2,749.27 |
2,570.52 |
2,624.02 |
Second Quarter |
2,835.87 |
2,511.83 |
2,602.59 |
Third Quarter |
2,936.20 |
2,570.76 |
2,893.15 |
Fourth Quarter |
3,111.37 |
2,902.12 |
3,109.00 |
2014 |
|
|
|
First Quarter |
3,172.43 |
2,962.49 |
3,161.60 |
Second Quarter |
3,314.80 |
3,091.52 |
3,228.24 |
Third Quarter |
3,289.75 |
3,006.83 |
3,225.93 |
Fourth Quarter |
3,277.38 |
2,874.65 |
3,146.43 |
2015 |
|
|
|
First Quarter |
3,731.35 |
3,007.91 |
3,697.38 |
Second Quarter |
3,828.78 |
3,424.30 |
3,424.30 |
Third Quarter |
3,686.58 |
3,019.34 |
3,100.67 |
Fourth Quarter (through November 24, 2015) |
3,468.21 |
3,069.05 |
3,409.60 |
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50®
Index Historical Performance – Daily Closing Levels
January 4, 2010
to November 24, 2015 |
|
|
|
License Agreement with STOXX Limited. The EURO STOXX 50®
Index and STOXX® are the intellectual property (including registered trademarks) of STOXX Limited, Zurich,
Switzerland and/or its licensors (the Licensors), which are used under license. The Buffered PLUS based on the EURO STOXX 50®
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor
any of its Licensors shall have any liability with respect thereto. See “Equity Index Descriptions — The EURO STOXX
50® Index — License Agreement with STOXX Limited” in the accompanying underlying supplement no. 1a-I.
Additional Information about the Buffered PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional
Provisions: |
Postponement
of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Buffered PLUS will be postponed to the third business day following the valuation date as postponed. |
Minimum
ticketing size: |
$1,000 / 100 Buffered PLUS |
Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
Calculation
agent: |
JPMS |
JPMS’s
estimated value of the Buffered PLUS: |
JPMS’s estimated value of the Buffered PLUS set forth on
the cover of this document 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 Buffered PLUS, valued using our internal funding rate for structured debt described below,
and (2) the derivative or derivatives underlying the economic terms of the Buffered PLUS. JPMS’s estimated value does not
represent a minimum price at which JPMS would be willing to buy your Buffered PLUS 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 “Risk Factors — 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 Buffered PLUS 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 Buffered
PLUS on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See “Risk
Factors — JPMS’s estimated value does not represent future values of the Buffered PLUS and may differ from others’
estimates.”
JPMS’s estimated value of the Buffered PLUS will
be lower than the original issue price of the |
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
Buffered PLUS because costs associated with selling, structuring and hedging the Buffered PLUS are included in the original issue price of the Buffered PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Buffered PLUS and the estimated cost of hedging our obligations under the Buffered PLUS. 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 Buffered PLUS. See “Risk Factors — JPMS’s estimated value of the Buffered PLUS will be lower than the original issue price (price to public) of the Buffered PLUS” in this document. |
Secondary
market prices of the Buffered PLUS: |
For information about factors that will impact any secondary market prices of the Buffered PLUS, see “Risk Factors — Secondary market prices of the Buffered PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the Buffered PLUS will be partially paid back to you in connection with any repurchases of your Buffered PLUS 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 Buffered PLUS. The length of any such initial period reflects the structure of the Buffered PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Buffered PLUS and when these costs are incurred, as determined by JPMS. See “Risk Factors — The value of the Buffered PLUS 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 Buffered PLUS for a limited time period.” |
Tax
considerations: |
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 the Buffered PLUS.
Based on current market conditions, in the opinion
of our special tax counsel, your Buffered PLUS should be treated 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, the gain or loss on your Buffered PLUS should be treated as
long-term capital gain or loss if you hold your Buffered PLUS for more than a year, whether or not you are an initial purchaser
of Buffered PLUS at the issue price. However, the IRS or a court may not respect this treatment of the Buffered PLUS, in which
case the timing and character of any income or loss on the Buffered PLUS 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, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional
interest charge. 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 Buffered PLUS, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Buffered PLUS, including possible alternative treatments and the issues presented
by this notice.
Withholding under legislation commonly referred
to as “FATCA” may (if the Buffered PLUS are recharacterized as debt instruments) apply to amounts treated as interest
paid with respect to the Buffered PLUS. Notwithstanding anything to the contrary in the accompanying product supplement no. 4a-I,
under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated
as interest) of a taxable disposition, including redemption at maturity, of the Buffered PLUS. You should consult your tax adviser
regarding the potential application of FATCA to the Buffered PLUS. |
Supplemental
use of proceeds and hedging: |
The Buffered PLUS are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the Buffered PLUS. See “How the Buffered PLUS Work”
in this document for an illustration of the risk-return profile of the Buffered PLUS and “EURO STOXX 50® Index
Overview” in this document for a description of the market exposure provided by the Buffered PLUS.
The original issue price of the Buffered PLUS is equal to JPMS’s
estimated value of the Buffered PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and
the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the Buffered PLUS, plus the estimated cost of hedging our obligations under the Buffered PLUS.
|
Benefit
plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement no. 4a-I. |
Buffered PLUS Based on the Value of the EURO STOXX 50® Index due December 20, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Supplemental
plan of distribution: |
Subject to regulatory constraints, JPMS intends to use its reasonable
efforts to offer to purchase the Buffered PLUS in the secondary market, but is not required to do so. JPMS,
acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to Morgan Stanley Wealth
Management. In addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document
for each PLUS.
We or our affiliate may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Buffered
PLUS and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “— Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” on page
PS-42 of the accompanying product supplement no. 4a-I.
|
Contact: |
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326). |
Where
you can find more information: |
JPMorgan Chase & Co. has filed a registration statement (including
a prospectus) with the SEC for the offering to which this communication 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 communication if you so request by calling toll-free (800)-869-3326.
You may revoke your offer to purchase the Buffered PLUS 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 Buffered PLUS prior to their issuance. In the event of any changes to the terms of the
Buffered PLUS, 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 document 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
Buffered PLUS 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 document, together with the documents listed below, contains
the terms of the Buffered PLUS 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,
stand-alone 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 Buffered PLUS 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 Buffered PLUS.
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):
• Product supplement no. 4a-I dated November 7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
• Underlying supplement no. 1a-I dated November 7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf
• Prospectus supplement and prospectus, each dated November
7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Chase & Co.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley. |
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024