April 23, 2015
JPMorgan Chase & Co.
Structured Investments
Auto Callable Yield Notes Linked to the
Least Performing of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund
and the Russell 2000® Index due August 24, 2016
| · | The notes are designed for investors who seek a higher
interest rate than the current yield on a conventional debt security with the same maturity issued by us. |
| · | The notes will be automatically called if the closing
level or closing price, as applicable, of each Underlying on any Review Date (other than the final Review Date) is greater than
or equal to its Initial Value. |
| · | Investors should be willing to forgo the potential to
participate in the appreciation of any of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR®
Fund or the Russell 2000® Index and to forgo dividend payments. Investors should be willing to assume the
risk that they will receive less interest if the notes are automatically redeemed and the risk that, if the notes are not automatically
redeemed, they may lose some or all of their principal at maturity. |
| · | 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 Underlyings. Payments on the notes are linked to the performance of each of the Underlyings individually, as described
below. |
| · | Minimum denominations of $1,000 and integral multiples
thereof |
| · | The notes are expected to price on or about May 19, 2015
and are expected to settle on or about May 22, 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, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement no. 1a-I and “Selected Risk Considerations” beginning on page
TS-5 of this term sheet.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
term sheet or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds”
in this term sheet for information about the components of the price to public of the notes.
(2) J.P. Morgan
Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions
it receives from us to other affiliated or unaffiliated dealers. If the notes priced today, the selling
commissions would be approximately $22.50 per $1,000 principal amount note and in no event will these selling commissions
exceed $23.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page
PS-87 of the accompanying product supplement no. 4a-I. |
If the notes priced today, the estimated value of the notes as
determined by JPMS would be approximately $954.70 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, underlying supplement no. 1a-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
Underlyings:
The iShares
MSCI® Emerging Markets ETF (Bloomberg ticker: EEM) and the Financial Select Sector SPDR® Fund (Bloomberg
ticker: XLF)(each a “Fund,” and collectively, the “Funds”), and the
Russell 2000® Index (Bloomberg ticker: RTY)(the
“Index”)(each of the Funds and the Index, an “Underlying,” and collectively, “the Underlyings”)
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 $5.00 per month (equivalent
to an Interest Rate of at least 6.00% per annum, payable at a rate of at least 0.50% per month) (to be provided in the pricing
supplement).
Interest Rate:
At least 6.00% per annum, payable at a rate of at least 0.50% per month
(to be provided in the pricing supplement)
Pricing
Date: On or about May 19, 2015
Original Issue
Date (Settlement Date): On or about May 22, 2015
Review Dates*:
August 19, 2015, November 19, 2015, February 19, 2016, May 19, 2016
and August 19, 2016 (final Review Date)
Interest Payment
Dates*: June 24, 2015, July 23, 2015, August 24, 2015, September 24,
2015, October 22, 2015, November 24, 2015, December 24, 2015, January 22, 2016, February 24, 2016, March 24, 2016, April 22, 2016,
May 24, 2016, June 23, 2016, July 22, 2016 and the Maturity Date
Maturity Date*:
August 24, 2016
Trigger Value:
With respect to each Underlying, 66.00% of its Initial Value (in the
case of the Funds, subject to adjustments)
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
Least Performing
Underlying: The Underlying with the Least Performing Underlying Return
Least Performing
Underlying Return: The lowest of the Underlying Returns of the Underlyings
Underlying
Return: With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
* 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
|
Initial Value:
With respect to a Fund, the closing price of one share of that Fund
on the Pricing Date (the “Initial Share Price”). With respect to the Index, the closing level of the Index on the Pricing
Date (the “Initial Index Level”). We refer to each of the Initial Share Prices for the Funds and the Initial Index
Level for the Index as an “Initial Value.”
Final Value:
With respect to a Fund, the closing price of one share of that Fund
on the Final Review Date (the “Final Share Price”). With respect to the Index, the closing level of the Index on the
Final Review Date (the “Ending Index Level”). We refer to each of the Final Share Prices for the Funds and the Ending
Index Level for the Index as a “Final Value.”
Share Adjustment
Factor: With respect to each Fund, set equal to 1.0 on the Pricing
Date. The share adjustment factor is subject to adjustment upon the occurrence of certain events affecting a Fund. See “The
Underlyings — Funds — Price of One Share of a Fund” on page PS-70 of the accompanying product supplement and
“The Underlyings — Funds — Anti-Dilution Adjustments” on page PS-73 of the accompanying product supplement
for further information.
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period,
the closing level or closing price, as applicable, of any Underlying is less than its Trigger Value
Monitoring
Period: The period from but excluding the Pricing Date to and including
the final Review Date
Automatic Call:
If the closing level or closing
price, as applicable, of each Underlying 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 (i) the
Final Value of each Underlying is greater than or equal to its Initial Value or (ii) a Trigger Event has not occurred, you will
receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable
to the final Review Date.
If the notes have not been automatically called and (i) the
Final Value of any Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per
$1,000 principal amount note, in addition to the Interest Payment, will be calculated as follows:
$1,000 + ($1,000 × Least Performing
Underlying Return)
If the notes have not been automatically called and (i) the
Final Value of any Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of
your principal amount at maturity.
|
TS-1 | Structured Investments
Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
|
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
TS-2 | Structured Investments
Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
|
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 6.00% 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 not be less
than 6.00% per annum.
Number of Interest
Payments |
Total Interest Payments |
15 |
$75.00 |
12 |
$60.00 |
9 |
$45.00 |
6 |
$30.00 |
3 |
$15.00 |
Hypothetical Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Review Dates. Each hypothetical payment set forth below assumes that the closing level or closing price, as applicable,
of the Underlying that is not the Least Performing Underlying 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 Underlying of 100.00; |
| · | A Trigger Value for the Least Performing Underlying of 66.00
(equal to 66.00% of its hypothetical Initial Value); and |
| · | A Interest Rate of 6.00% per annum (payable at a rate of
0.50% per month). |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any
Underlying.
The actual Initial Value of each Underlying will
be the closing level or closing price, as applicable, of that Underlying on the Pricing Date and will be provided in the pricing
supplement. For historical data regarding the actual closing levels or closing prices, as applicable, of each Underlying, please
see the historical information set forth under “The Underlyings” 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 Level of Least Performing Underlying |
|
First Review Date |
101.00 |
Notes are automatically called |
|
Total Payment |
$1,015.00 (1.50% return) |
Because the closing level of each Underlying 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 $1,005.00 (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 $1,015.00. No further payments
will be made on the notes.
Example 2 — Notes are automatically
called on the second Review Date
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
95.00 |
Notes NOT automatically called |
Second Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,030.00 (3.00% return) |
TS-3 | Structured Investments
Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
|
Because the closing level of each Underlying on
the second 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 $1,005.00 (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 $1,030.00. No further payments
will be made on the notes.
Example 3 — Notes have NOT been automatically
called, the Final Value is greater than or equal to the Initial Value and a Trigger Event has Occurred
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
95.00 |
Notes NOT automatically called |
Second Review Date |
90.00 |
Notes NOT automatically called |
Third Review Date |
85.00 |
Notes NOT automatically called |
Fourth Review Date |
80.00 |
Notes NOT automatically called |
Final Review Date |
105.00 |
Final Value is greater than or equal to Initial Value |
|
Total Payment |
$1,075.00 (7.50% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Initial Value, even though a Trigger
Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,005.00 (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 $1,075.00.
Example 4 — Notes have NOT been automatically
called, the Final Value is less than the Initial Value and a Trigger Event has NOT Occurred
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
85.00 |
Notes NOT automatically called |
Second Review Date |
80.00 |
Notes NOT automatically called |
Third Review Date |
75.00 |
Notes NOT automatically called |
Fourth Review Date |
70.00 |
Notes NOT automatically called |
Final Review Date |
90.00 |
Final Value is less than Initial Value |
|
Total Payment |
$1,075.00 (7.50% return) |
Because the notes have not been automatically
called and a Trigger Event has not occurred, even though the Final Value of the Least Performing Underlying is less than the Initial
Value, the payment at maturity, for each $1,000 principal amount note, will be $1,005.00 (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 $1,075.00.
TS-4 | Structured Investments
Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
|
Example 5 — Notes have NOT been automatically
called, the Final Value is less than the Initial Value and a Trigger Event has Occurred
Date |
Closing Level of Least Performing Underlying |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
80.00 |
Notes NOT automatically called |
Third Review Date |
70.00 |
Notes NOT automatically called |
Fourth Review Date |
66.00 |
Notes NOT automatically called |
Final Review Date |
50.00 |
Final Value is less than Initial Value |
|
Total Payment |
$575.00 (-42.50% return) |
Because the notes have not been automatically
called, the Final Value of the Least Performing Underlying is less than its Initial Value, a Trigger Event has occurred and the
Least Performing Underlying Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated
as follows.
$1,000 + [$1,000 × 50.00/ 100.00] + $5.00
= $505.00
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 $575.00.
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” sections of the accompanying product supplement
and underlying 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 (i) the Final Value of any Underlying is less than its Initial
Value and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final
Value of the Least Performing Underlying is less than its Initial Value. Accordingly, under these circumstances, you will lose
some or all of your principal amount at maturity.
| · | 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
value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying.
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.
TS-5 | Structured Investments
Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
|
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH UNDERLYING — |
Poor performance by any of the Underlyings
over the term of the notes may negatively affect whether you will receive your payment at maturity and will not be offset or mitigated
by positive performance by any other Underlying.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD
— |
If, on any day during the Monitoring
Period, the closing level or closing price, as applicable, of any Underlying is less than its Trigger Value (i.e., a Trigger
Event occurs) 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 level or closing price, as applicable, of the Least Performing Underlying.
You will be subject to this potential loss of principal even if that Underlying subsequently recovers such that the closing level
or closing price, as applicable, of that Underlying is greater than or equal to its Trigger Value.
| · | 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.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION
STOCKS WITH RESPECT TO THE RUSSELL 2000® INDEX — |
Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
| · | WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE FINANCIAL SELECT SECTOR INDEX, |
but we will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the Financial Select Sector Index, which
is the Underlying Index (as defined under “The Underlyings” below) of the Fund.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH THE FINANCIAL SERVICES
INDUSTRY WITH RESPECT TO THE FUND — |
All
or substantially all of the equity securities held by the Fund are issued by companies whose primary line of business is directly
associated with the financial sector, including the following industries: diversified financial services; insurance; commercial
banks; capital markets; real estate investment trusts (“REITs”); consumer finance; thrifts and mortgage finance; and
real estate management and development. The Fund is concentrated in the financial sector, which means the Fund will be more affected
by the performance of the financial sector than a fund or index that was more diversified.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH CURRENCY EXCHANGE
WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS ETF — |
Because the prices of the equity securities
held by the iShares® MSCI Emerging Markets ETF are converted into U.S. dollars for purposes of calculating the net
asset value of the iShares® MSCI Emerging Markets ETF, holders of the notes will be exposed to currency exchange
rate risk with respect to each of the currencies in which the equity securities held by the iShares® MSCI Emerging
Markets ETF trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S.
dollar and the relative weight of equity securities held by the iShares® MSCI Emerging Markets ETF denominated in
each of those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies,
the price of the iShares® MSCI Emerging Markets ETF will be adversely affected and any payment on the notes may
be reduced.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES
WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS ETF — |
The equity
securities held by the iShares® MSCI Emerging Markets ETF have been issued by non-U.S. companies. Investments
in securities 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. 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.
TS-6 | Structured Investments
Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
|
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH EMERGING MARKETS
WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS ETF — |
Countries with emerging markets may
have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries.
The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in
local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially
making prompt liquidation of holdings difficult or impossible at times.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUNDS — |
Each Fund is subject to management
risk, which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of
which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the
market price of the shares of the Funds and, consequently, the value of the notes.
| · | DIFFERENCES BETWEEN EACH FUND AND ITS UNDERLYING INDEX — |
Each Fund does not fully replicate
its Underlying Index (as defined under “The Underlyings” below) and may hold securities not included in its Underlying
Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included in the
calculation of its Underlying Index. Furthermore, because the shares of each Fund are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of each Fund may differ from the net asset value per share
of that Fund. All of these factors may lead to a lack of correlation between each Fund and its Underlying Index.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY UNDERLYING OR HAVE ANY RIGHTS
WITH RESPECT TO THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL OR CLOSING PRICE, AS APPLICABLE, OF AN UNDERLYING FALLING BELOW
ITS TRIGGER VALUE IS GREATER IF THE LEVEL OF THAT UNDERLYING 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.
| · | 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.
TS-7 | Structured Investments
Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
|
| · | 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 —
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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 values of the Underlyings. 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
Underlyings
The iShares® MSCI Emerging Markets
ETF is an exchange-traded fund of iShares®, Inc., a registered investment company, which seeks investment results
that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index, which
we refer to as the Underlying Index with respect to the iShares® MSCI Emerging Markets ETF. The MSCI Emerging Markets
Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of global emerging
markets. On July 1, 2013, the name of the iShares® MSCI Emerging Markets ETF was changed from the iShares®
MSCI Emerging Markets Index Fund to the current name. For additional information about the iShares® MSCI Emerging
Markets ETF, see the information set forth under “Fund Descriptions — The iShares® MSCI Emerging Markets
Index Fund” in the accompanying underlying supplement no. 1a-I.
The Financial Select Sector SPDR® Fund
seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly
traded equity securities of companies in the Financial Select Sector Index (the “Underlying Index”). Companies in the
Financial Select Sector Index include a wide array of diversified financial services firms whose business lines range from investment
management to commercial and business banking. For additional information about the Fund, see the information set forth under “Fund
Descriptions — The Financial Select Sector SPDR® Fund” in the accompanying underlying supplement.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000® Index. The Index is designed to track
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Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
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the performance of the small capitalization segment
of the U.S. equity market. For additional information about the Index, see “Equity Index Descriptions — The Russell
2000® Index” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing levels and closing prices from January 8, 2010 through April
17, 2015. The closing price of one share of the iShares® MSCI Emerging Markets ETF on April 22, 2015 was $43.37.
The closing price of one share of the Financial Select SPDR® Fund on April 22, 2015 was $24.28 .The closing level
of the Russell 2000® Index on April 22, 2015 was 1,265.482. We obtained the closing levels and closing prices below
from the Bloomberg Professional® service (“Bloomberg”), without independent verification. Although Russell
Investments publishes the official closing levels of the Russell 2000® Index to six decimal places, Bloomberg publishes
the closing levels of the Russell 2000® Index to only three decimal places.
The historical closing levels and closing prices
of each Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing
level or closing price, as applicable, of any Underlying on the Pricing Date or any Review Date. We cannot give you assurance that
the performance of the Underlyings will result in the return of any of your principal amount or the payment of any interest. We
make no representation as to the amount of dividends, if any, that the Funds or the equity securities held by the Funds will pay
in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable
on the Funds or the equity securities held by the Funds.
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Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. Based on the advice
of Sidley Austin llp, our special tax counsel, and 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, in circumstances where
the payment due at maturity is less than $1,000 (excluding accrued and unpaid interest), requires you to pay us an amount equal
to $1,000 multiplied by the absolute value of the Least Performing Underlying Return and (y) a Deposit of $1,000 per $1,000 principal
amount note to secure your potential obligation under the Put Option. By purchasing 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 Internal Revenue Service (the “IRS”) or a court
may adopt, in which case the timing and character of
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any income or loss on the notes could be significantly
and adversely affected. In addition, in 2007, the Treasury Department and the IRS released a notice requesting comments on the
U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. 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. The notice focuses on a number of issues, the most relevant of
which for holders of 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. Holders should be subject to withholding tax.
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 April 23, 2015, we would have allocated approximately 15.17%
of each interest payment to interest on the Deposit and approximately 84.83% of each interest payment 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.
Non-U.S. Holders – Additional Tax
Consideration
Non-U.S. Holders should note that recently
proposed Treasury regulations, if finalized in their current form, could impose a withholding tax at a rate of 30% (subject to
reduction under an applicable income tax treaty) on amounts attributable to U.S.-source dividends that are paid or “deemed
paid” after December 31, 2015 under certain financial instruments, if certain other conditions are met. However, in a recently
published notice, the IRS and the Treasury Department announced their intent that the proposed regulations, if finalized, would
only apply to certain financial instruments (such as the notes) that are issued on or after 90 days after the date of publication
of final regulations. Accordingly, the proposed regulations, if finalized, generally should not apply to the notes. As significant
aspects of the application of these proposed regulations to the notes are uncertain, depending on the exact content of any final
regulations, we (or other withholding agents) might determine that withholding is required with respect to notes held by a Non-U.S.
Holder or that the Non-U.S. Holder must provide information to establish that withholding is not required. Non-U.S. Holders should
consult their tax advisers regarding the potential application of these proposed regulations. If withholding is so required, we
will not be required to pay any additional amounts with respect to amounts so withheld.
Non-U.S. Holders should also note that final
Treasury regulations were released on legislation that imposes a withholding tax of 30% on payments to certain foreign entities
unless information reporting and diligence requirements are met, as described in “Material U.S. Federal Income Tax Consequences-FATCA”
in the accompanying product supplement no. 4a-I. Pursuant to the final regulations, such withholding tax will generally apply to
obligations that are issued on or after July 1, 2014; therefore, the notes will generally be subject to this withholding tax. However,
the withholding tax described above will not apply to payments of gross proceeds from the sale, exchange or other disposition (including
upon maturity) of the notes made before January 1, 2017.
Both U.S. and Non-U.S. Holders should consult
their tax advisers 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
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Auto Callable Yield Notes Linked to the Least Performing
of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
2000® Index |
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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 structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions
paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging
our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our
control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of
the profits, if any, 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, if any. 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 Underlyings” 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,
underlying supplement no. 1a-I and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
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of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
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You should read this term sheet together with
the prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014, relating to our Series E medium-term
notes of which these notes are a part, and the more detailed information contained in product supplement no. 4a-I dated November
7, 2014 and underlying supplement no. 1a-I dated November 7, 2014. This term sheet, together with the documents listed below, contains
the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set
forth in “Risk Factors” in the accompanying product supplement no. 4a-I and “Risk Factors” in the accompanying
underlying supplement no. 1a-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 19617. As used in this term sheet, “we,” “us” and “our” refer to JPMorgan Chase & Co.
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of the iShares® MSCI Emerging Markets ETF, the Financial Select Sector SPDR® Fund and the Russell
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