March
25, 2015
JPMorgan Chase & Co.
Structured Investments
Auto Callable Reverse Exchangeable Notes
Linked to the Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock
of Regeneron Pharmaceuticals, Inc. due September 29, 2016
| · | The notes are designed for investors who seek a higher interest rate than either the current dividend yields on the Reference
Stocks or the yield on a conventional debt security with the same maturity issued by us. The notes will pay at least 10.00% per
annum interest over the term of the notes, assuming no automatic call, payable at a rate of at least 0.83333% per month. |
| · | The notes will be automatically called if the closing price of one share of each Reference Stock on any Review Date (other
than the final Review Date) is greater than or equal to its Initial Value. |
| · | Investors in the notes should be willing to accept the risks of owning equities in general and any Reference Stock, in particular,
and the risk of losing some or all of their principal. |
| · | Investors should also be willing to forgo dividend payments, in exchange for Interest Payments. |
| · | 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. |
| · | Payments on the notes are not linked to a basket composed of the Reference Stocks. Payments on the notes are linked to the
performance of each of the Reference Stocks individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes are expected to price on or about March 26, 2015 and are expected to settle on or about March 31, 2015. |
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 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, 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. If the notes priced today, the selling commissions would be $27.50 per $1,000 principal amount
note and in no event will these selling commissions exceed $35.00 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 $952.10 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 $940.00 per $1,000
principal amount note. See “JPMS’s Estimated Value of the Notes” in this term sheet for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Term sheet to product supplement no. 4a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Registration Statement No. 333-199966; Rule 433
Key
Terms
Reference
Stocks: As specified under
“Key Terms Relating to the Reference Stocks” in this term sheet
Interest Payments:
If the notes have not been automatically called, you will receive
on each Interest Payment Date for each $1,000 principal amount note an Interest Payment equal to at least $8.3333 (equivalent to
an Interest Rate of at least 10.00% per annum, payable at a rate of at least 0.83333% per month) (to be provided in the pricing
supplement).
Interest Rate:
At least 10.00% per annum, payable at a rate of at least 0.83333% per
month (to be provided in the pricing supplement)
Pricing
Date: On or about March 26, 2015
Original Issue
Date (Settlement Date): On or about March 31, 2015
Review Dates*:
June 26, 2015, September 28, 2015, December 28, 2015, March 28, 2016,
June 27, 2016 and September 26, 2016 (final Review Date)
Interest Payment
Dates*: April 30, 2015, May 29, 2015, July 1, 2015, July 30, 2015,
August 31, 2015, October 1, 2015, October 29, 2015, December 2, 2015, December 31, 2015, January 29, 2016, March 2, 2016, March
31, 2016, April 29, 2016, June 1, 2016, June 30, 2016, July 29, 2016, August 31, 2016 and the Maturity Date.
Maturity Date*:
September 29, 2016
Trigger Value:
With respect to each Reference Stock, 65% of its Initial Value
Call Settlement
Date*: If the notes are automatically called on any Review Date (other
than the final Review Date), the first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement no. 4a-I
Automatic Call:
If the closing price of one share of each Reference Stock on any
Review Date (other than the final Review Date) is greater than or equal to its Initial Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable to that
Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value of each Reference Stock is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each
$1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity Date.
If the notes
have not been automatically called and the Final Value of any Reference Stock is less than its Trigger Value, you
will receive at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable to the Maturity Date,
the number of shares of the Least Performing Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash
Value). Fractional shares will be paid in cash.
The market value of the
Physical Delivery Amount or the Cash Value will most likely be substantially less than the principal amount of your notes, and
may be zero.
Physical Delivery
Amount: With respect to each Reference Stock, the number of shares
of that Reference Stock, per $1,000 principal amount note, equal to $1,000 divided by its Initial Value, times its
Stock Adjustment Factor
Cash Value:
For each $1,000 principal amount note, $1,000 divided by its
Initial Value, times the Final Value of the Least Performing Reference Stock
Least Performing
Reference Stock: The Underlying with the Least Performing Stock Return
Least Performing
Stock Return: The lowest of the Stock Returns of the Reference Stocks
TS-1 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
Stock Return:
With respect to each Reference Stock:
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Reference Stock, the closing price of one share
of that Reference Stock on the Pricing Date
Final Value:
With respect to each Reference Stock, the closing price of one share
of that Reference Stock on the final Review Date
Stock Adjustment
Factor: With respect to each Reference Stock, the Stock Adjustment
Factor is referenced in determining the closing price of one share of that Reference Stock and is set equal to 1.0 on the Pricing
Date. The Stock Adjustment Factor of each Reference Stock is subject to adjustment upon the occurrence of certain corporate events
affecting that Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and
“The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement no.
4a-I for further information.
Key
Terms Relating to the Reference Stocks
Reference Stock |
Ticker Symbol |
Initial Value* |
Trigger Value* |
Common stock of Amgen, Inc., par value $0.0001 per share |
AMGN |
|
|
Common stock of Celgene Corporation, par value $0.01 per share |
CELG |
|
|
Common stock of Regeneron Pharmaceuticals, Inc., par value $0.001 per share |
REGN |
|
|
* To be provided in the pricing supplement
TS-2 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
How
the Notes Work
Payments in Connection with Review Dates
Preceding the Final Review Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Interest Payments
The table below illustrates the hypothetical total
Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Interest Rate of 10.00% per
annum, depending on how many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically
called, the hypothetical total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the
maximum amount shown in the table below. The actual Interest Rate will be provided in the pricing supplement and will be at least
10.00% per annum.
Number of Interest Payments |
Total Interest Payments |
18 |
$150.00 |
15 |
$125.00 |
12 |
$100.00 |
9 |
$75.00 |
6 |
$50.00 |
3 |
$25.00 |
TS-3 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Reference Stocks, assuming a range of performances for the hypothetical Least Performing
Reference Stock on the Review Dates. Each hypothetical payment set forth below assumes that the closing price of one share
of each Reference Stock that is not the Least Performing Reference Stock on each Review Date is greater than or equal to its Initial
Value (and therefore its Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
| · | An Initial Value for the Least Performing Reference Stock of $100.00; |
| · | A Trigger Value for the Least Performing Reference Stock of $65.00 (equal to 65% of its hypothetical Initial Value); and |
| · | An Interest Rate of 10.00% per annum (payable at a rate of 0.83333% per month). |
The hypothetical Initial Value of the Least Performing
Reference Stock of $100.00 has been chosen for illustrative purposes only and may not represent a likely Initial Value of any Reference
Stock. The actual Initial Value of each Reference Stock will be the closing price of one share of that Reference Stock on the Pricing
Date and will be provided in the pricing supplement. For historical data regarding the actual closing prices of one share
of each Reference Stock, please see the historical information set forth under “The Reference Stocks” in this term
sheet.
Each hypothetical payment set forth below is for
illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Review Date
Date |
Closing Price of Least Performing Reference Stock |
|
First Review Date |
$110.00 |
Notes are automatically called |
|
Total Payment |
$1,025.00 (2.50% return) |
Because the closing price of one share of each
Reference Stock on the first Review Date is greater than or equal to its Initial Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, of $1,008.3333 (or $1,000 plus the Interest Payment applicable
to the corresponding Interest Payment Date), payable on the applicable Call Settlement Date. When added to the Interest Payments
received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,025.00.
No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Reference Stock is greater than or equal to its Trigger Value
Date |
Closing Price of Least Performing Reference Stock |
|
First Review Date |
$90.00 |
Notes NOT automatically called |
Second Review Date |
$85.00 |
Notes NOT automatically called |
Third through Fifth Review Dates |
$95.00 |
Notes NOT automatically called |
Final Review Date |
$80.00 |
Final Value of Least Performing Reference Stock is greater than or equal to Trigger Value |
|
Total Payment |
$1,150.00 (15.00% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Reference Stock is greater than or equal to its Trigger Value, the payment at
maturity, for each $1,000 principal amount note, will be $1,008.3333 (or $1,000 plus the Interest Payment applicable to
the Maturity Date). When added to the Interest Payments received with respect to the prior Interest Payment Dates, the total amount
paid, for each $1,000 principal amount note, is $1,150.00.
TS-4 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Reference Stock is less than its Trigger Value
Date |
Closing Price of Least Performing Reference Stock |
|
First Review Date |
$60.00 |
Notes NOT automatically called |
Second Review Date |
$65.00 |
Notes NOT automatically called |
Third through Fifth Review Dates |
$55.00 |
Notes NOT automatically called |
Final Review Date |
$55.00 |
Final Value of Least Performing Reference Stock is less than Trigger Value |
|
Total Payment |
$700.00 (-30.00% return) |
† Reflects the value of the
Physical Delivery Amount of the Least Performing Reference Stock on the Maturity Date, assuming it is equal to the Cash Value,
plus an Interest Payment
Because the notes have not been automatically
called and the Final Value of the Least Performing Reference Stock is less than its Trigger Value, you will receive at maturity,
in addition to the Interest Payment applicable to the Maturity Date, the number of shares of the Least Performing Reference Stock
equal to its Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash. Assuming that
the value of the Physical Delivery Amount of the Least Performing Reference Stock on the Maturity Date is equal to the Cash Value,
the value of the payment at maturity will be $558.3333 per $1,000 principal amount note, calculated as follows.
[($1,000 / $100.00) × $55.00] + $8.3333
= $558.3333
When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $700.00. The actual
value of the Physical Delivery Amount of the Least Performing Reference Stock will be less than the Cash Value if the price of
the Least Performing Reference Stock on the Maturity Date is less than its Final Value.
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 the 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.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value of any Reference Stock is less than its Trigger
Value, you will receive at maturity a predetermined number of shares of the Least Performing Reference Stock (or, at our election,
the Cash Value), the market value of which will most likely be substantially less than the principal amount of your notes, and
may be zero.
| · | CREDIT RISK OF JPMORGAN CHASE & CO. — |
Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or
credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If
we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your
entire investment.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER
THE TERM OF THE NOTES, |
regardless of any appreciation in the
price of any Reference Stock, which may be significant. You will not participate in any appreciation in the price of any Reference
Stock.
TS-5 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests
as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the
notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH REFERENCE STOCK — |
Payments on the notes are not linked
to a basket composed of the Reference Stocks and are contingent upon the performance of each individual Reference Stock. Poor performance
by any of the Reference Stocks over the term of the notes may negatively affect your payment at maturity and will not be offset
or mitigated by positive performance by any other Reference Stock.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING REFERENCE STOCK. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Reference
Stock is less than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value
will terminate and you will be fully exposed to any depreciation in the closing price of one share of the Least Performing Reference
Stock.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called,
the term of the notes may be reduced to as short as three months and you will not receive any Interest Payments after the applicable
Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at
a comparable return and/or with a comparable interest rate for a similar level of risk.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE
STOCK. |
| · | NO AFFILIATION WITH ANY REFERENCE STOCK ISSUER — |
We have not independently verified
any of the information about any Reference Stock issuer contained in this term sheet. You should undertake your own investigation
into each Reference Stock and its issuer. We are not responsible for any Reference Stock issuer’s public disclosure of information,
whether contained in SEC filings or otherwise.
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make
an adjustment in response to all events that could affect a Reference Stock. The calculation agent may make adjustments in response
to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but
the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
| · | THE RISK OF THE CLOSING PRICE OF A REFERENCE STOCK FALLING BELOW ITS TRIGGER VALUE IS GREATER
IF THE PRICE OF THAT REFERENCE STOCK IS VOLATILE. |
The notes will not be listed on any
securities exchange. Accordingly, 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. You may not be able to sell your 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.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential
investment in the notes based on the minimums for JPMS’s estimated value and the Interest Rate.
| · | 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.
TS-6 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
| · | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM
OTHERS’ ESTIMATES — |
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. 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 the 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.
| · | 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 prices of the Reference Stocks.
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. See “Risk Factors — Risks Relating to the
Estimated Value of Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic
and market factors” in the accompanying product supplement.
The
Reference Stocks
All information contained herein on the Reference
Stocks and on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference
Stock is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed
on the exchange provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in
the accompanying product supplement no. 4a-I. Information provided to or filed with the SEC by a Reference Stock issuer pursuant
to the Exchange Act can be located by reference to the SEC file number provided in the table below, and can be accessed through
www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete.
TS-7 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
Reference Stock |
Ticker Symbol |
Relevant Exchange |
SEC File Number |
Closing Price on March 24, 2015 |
Common stock of Amgen, Inc., par value $0.0001 per share |
AMGN |
The NASDAQ Stock Market |
000-12477 |
$166.01 |
Common stock of Celgene Corporation, par value $0.01 per share |
CELG |
The NASDAQ Stock Market |
001-34912 |
$122.15 |
Common stock of Regeneron Pharmaceuticals, Inc., par value $0.001 per share |
REGN |
The NASDAQ Stock Market |
000-19034 |
$473.74 |
All of the Reference Stocks are issued by companies
whose primary line of business is directly associated with the healthcare industry. According to publicly available filings
of the relevant Reference Stock issuer with the SEC:
| · | Amgen, Inc. is a biotechnology company that develops, manufactures and delivers
therapeutics. |
| · | Celgene Corporation is an integrated global biopharmaceutical company primarily
engaged in the discovery, development and commercialization of therapies for the treatment of cancer and inflammatory diseases
through gene and protein regulation. |
| · | Regeneron Pharmaceuticals, Inc. is a biopharmaceutical company that discovers,
invents, develops, manufactures and commercializes medicines for the treatment of serious medical conditions. |
Historical Information
The following graphs set forth the historical
performances of the Reference Stocks based on the weekly historical closing prices of one share of each Reference Stock from January
8, 2010 through March 20, 2015. We obtained the closing prices below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock
splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of
any Reference Stock 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 any Reference Stock on the Pricing Date or any Review Date. We cannot give you assurance that the performance
of the Reference Stocks will result in the return of any of your principal amount.
TS-8 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. Based on current market
conditions, in determining our reporting responsibilities we intend to treat the notes for U.S. federal income tax purposes as
units each comprising: (x) a Put Option written by you that is terminated if an Automatic Call occurs and that, if not terminated,
requires you to purchase the Least Performing Reference Stock (or, at our option, receive the Cash Value thereof) from us at maturity
for an amount equal to the Deposit under circumstances where the payment due at maturity is the Physical Delivery Amount (or the
Cash Value thereof) and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation under the
Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences—Tax Consequences to U.S. Holders—Notes
Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying product supplement no. 4a-I, and in particular
in the subsection thereof entitled “—Notes with a Term of More than One Year.” By purchasing
TS-9 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
the notes, you agree (in the absence of an
administrative determination or judicial ruling to the contrary) to follow this treatment and the allocation described in the following
paragraph. However, there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character
of any income or loss on the notes could be materially 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 on a number of issues, the most relevant of which for investors in the notes are the character of income or
loss (including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income
realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the notes would be viewed as
similar to the typical prepaid forward contract described in the notice, it is possible that 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.
We will determine the portion of each interest
payment on the notes that we will allocate to interest on the Deposit and to Put Premium, respectively, and will provide that allocation
in the pricing supplement for the notes. If the notes had priced on March 25, 2015, we would have allocated 10.20% of each interest
payment to interest on the Deposit and the remainder to Put Premium. The actual allocation that we will determine for the notes
may differ from this hypothetical allocation, and will depend upon a variety of factors, including actual market conditions and
our borrowing costs for debt instruments of comparable maturities on the Pricing Date. Assuming that the treatment of the notes
as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the Deposit will be taxed as ordinary
income, while the Put Premium will not be taken into account prior to sale or settlement, including a settlement following an Automatic
Call.
Withholding under legislation commonly referred
to as “FATCA” will apply to amounts treated as interest or other “fixed or determinable annual or periodical”
income for U.S. federal income tax purposes paid with respect to the notes.
You should consult your tax adviser regarding
all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the issue price should also
consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible alternative treatments,
as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
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.
JPMS’s estimated value does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide
valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes
could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
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
TS-10 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
is more or less than expected, or it may
result in a loss. A portion of the profits realized in hedging our obligations under the notes may be allowed to other affiliated
or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — JPMS’s Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public)
of the Notes” in this term sheet.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. 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. 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. This initial predetermined time
period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations
— The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
JPMS’s Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this term sheet for an illustration of the risk-return profile of the notes and
“The Reference Stocks” 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.
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
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. 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, 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.
TS-11 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
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.
TS-12 | Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the
Least Performing of the Common Stock of Amgen, Inc., the Common Stock of Celgene Corporation and the Common Stock of Regeneron
Pharmaceuticals, Inc. |
|
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