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May 22, 2015 |
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Registration Statement No. 333-199966; Rule 433 |
JPMorgan Chase & Co.
Structured Investments
Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A Common Stock of Under Armour, Inc. due December 1, 2016
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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 8.00% per annum interest over the term of the notes, assuming no automatic call, payable at a rate of at least 0.6667% per month. |
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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. |
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The first date on which the notes can be automatically called is August 26, 2015. |
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Investors in the notes should be willing to accept the risks of owning equities in general and either Reference Stock, in particular, and the risk of losing some or all of their principal. |
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Investors should also be willing to forgo dividend payments, in exchange for Interest Payments. |
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. |
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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. |
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Minimum denominations of $1,000 and integral multiples thereof |
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The notes are expected to price on or about May 26, 2015 and are expected to settle on or about May 29, 2015. |
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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.
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Price to Public (1) |
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Fees and Commissions (2) |
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Proceeds to Issuer |
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Per note |
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$1,000 |
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$ |
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$ |
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Total |
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$ |
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$ |
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$ |
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(1) 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 $965.10 per
$1,000 principal amount note. JPMSs 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 JPMSs
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.
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Term sheet to product supplement no. 4a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
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Key Terms
Issuer: JPMorgan Chase & Co.
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 $6.6667 (equivalent to an Interest Rate of at least 8.00% per annum,
payable at a rate of at least 0.6667% (to be provided in the pricing supplement).
Interest Rate: At least 8.00% per annum, payable at a rate of at least 0.6667% (to be provided in the pricing supplement)
Trigger Value: 74.00% of the Initial Value
Pricing Date: On or about May 26, 2015
Original Issue Date (Settlement Date): On or about May 29, 2015
Review Dates*: August 26, 2015, November 27, 2015, February 26, 2016, May 26, 2016, August 26, 2016 and
November 28, 2016 (final Review Date)
Interest Payment
Dates*: 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, September 29,
2016, October 31, 2016 and the Maturity Date
Call Settlement Dates*: 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
Maturity Date*: December 1, 2016
* 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 Lesser 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 Lesser Performing Reference Stock
Lesser Performing Reference Stock: The Underlying with the Lesser Performing
Stock Return
Lesser Performing Stock Return: The lower of the
Stock Returns of the Reference Stocks
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
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TS-1 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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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
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Reference Stock |
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Ticker Symbol |
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Initial Value* |
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Trigger Value* |
Class B common stock of Nike, Inc., par value $1.00 per share |
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NKE |
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Class A common stock of Under Armour, Inc., par value $0.0003 1/3 per share |
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UA |
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* |
To be provided in the pricing supplement |
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TS-2 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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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
8.00% 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 8.00% per annum.
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Number of Interest Payments |
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Total Interest Payments |
18 |
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$120.000 |
15 |
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$100.000 |
12 |
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$80.000 |
9 |
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$60.000 |
6 |
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$40.000 |
3 |
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$20.000 |
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TS-3 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to two hypothetical Reference Stocks, assuming a range of performances for the hypothetical Lesser 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 Lesser 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:
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An Initial Value for the Lesser Performing Reference Stock of $100.00; |
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A Trigger Value for the Lesser Performing Reference Stock of $74.00 (equal to 74.00% of its hypothetical Initial Value); and |
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An Interest Rate of 8.00% per annum (payable at a rate of 0.6667% per month). |
The hypothetical Initial Value
of the Lesser Performing Reference Stock of $100.00 has been chosen for illustrative purposes only and may not represent a likely Initial Value of either 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
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Date |
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Closing Price of Lesser Performing Reference Stock |
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First Review Date |
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$105.00 |
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Notes are automatically called |
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Total Payment |
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$1,020.00 (2.00% 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 $1,006.6667 (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 $1,020.00. No further payments will be made on the notes.
Example 2 Notes have NOT been automatically called and the Final Value of the Lesser Performing Reference Stock is greater than or equal
to its Trigger Value
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Date |
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Closing Price of Lesser Performing Reference Stock |
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First Review Date |
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$95.00 |
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Notes NOT automatically called |
Second Review Date |
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$75.00 |
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Notes NOT automatically called |
Third Review Date |
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$85.00 |
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Notes NOT automatically called |
Fourth Review Date |
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$80.00 |
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Notes NOT automatically called |
Fifth Review Date |
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$75.00 |
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Notes NOT automatically called |
Final Review Date |
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$105.00 |
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Final Value of Lesser Performing Reference Stock is greater than or equal to Trigger Value |
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Total Payment |
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$1,120.00 (12.00% return) |
Because the notes have not been automatically called and the Final Value of the Lesser 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 $1,006.6667 (or $1,000 plus the
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TS-4 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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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 $1,120.00.
Example 3 Notes have NOT been automatically called and the Final Value of the Lesser Performing
Reference Stock is less than its Trigger Value
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Date |
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Closing Price of Lesser
Performing Reference Stock |
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First Review Date |
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$70.00 |
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Notes NOT automatically called |
Second Review Date |
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$60.00 |
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Notes NOT automatically called |
Third Review Date |
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$65.00 |
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Notes NOT automatically called |
Fourth Review Date |
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$60.00 |
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Notes NOT automatically called |
Fifth Review Date |
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$55.00 |
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Notes NOT automatically called |
Final Review Date |
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$60.00 |
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Final Value of Lesser Performing Reference Stock is less than Trigger Value |
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Total Payment |
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$720.00 (-28.00% return) |
Reflects the value of
the Physical Delivery Amount of the Lesser 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 Lesser 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 Lesser 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 Lesser Performing Reference Stock on the Maturity Date is equal to the Cash Value, the value of the payment at maturity will be $606.6667 per $1,000 principal amount note,
calculated as follows.
[($1,000 / $100.00) × $60.00] + $6.6667 = $606.6667
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 $720.00.
The actual value of the Physical Delivery Amount of the Lesser Performing Reference Stock will be less than the Cash Value if the price of the Lesser 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.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS |
The notes do not guarantee any return of
principal. If the notes have not been automatically called and the Final Value of either Reference Stock is less than its Trigger Value, you will receive at maturity a predetermined number of shares of the Lesser 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.
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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.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES
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TS-5 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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regardless of any appreciation in the price of either Reference Stock, which may be significant. You will not participate in any appreciation in the price of either Reference Stock.
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.
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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 either 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.
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YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING REFERENCE STOCK. |
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE |
If
the Final Value of either 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 Lesser Performing Reference Stock.
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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.
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YOU WILL NOT RECEIVE DIVIDENDS ON EITHER REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO EITHER REFERENCE STOCK. |
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NO AFFILIATION WITH EITHER REFERENCE STOCK ISSUER |
We have not independently
verified any of the information about either 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 either Reference Stock issuers
public disclosure of information, whether contained in SEC filings or otherwise.
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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.
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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.
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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 JPMSs estimated value and the Interest Rate.
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JPMSS ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES |
JPMSs estimated value is only an estimate using several factors. The original issue price of the notes will exceed JPMSs 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 JPMSs Estimated Value of the Notes in this term sheet.
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JPMSS ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS ESTIMATES |
See JPMSs Estimated Value of the Notes in this term sheet.
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JPMSS 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 JPMSs estimated value generally represents a discount from the credit
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TS-6 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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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 JPMSs Estimated Value of the Notes in this term
sheet.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMSS THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
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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).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES |
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market
prices take into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the notes. As a result, the price if any, at which JPMS will be willing to buy 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.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS |
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify
each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the 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.
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Reference Stock |
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Ticker Symbol |
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Relevant Exchange |
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SEC File Number |
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Closing Price on
May 21, 2015 |
Class B common stock of Nike, Inc., par value $1.00 per share |
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NKE |
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New York Stock Exchange (NYSE) |
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001-10635 |
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$104.40 |
Class A common stock of Under Armour, par value $0.0003 1/3 per share |
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UA |
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NYSE |
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001-33202 |
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$78.20 |
Both of the Reference Stocks are issued by companies whose primary line of business is directly associated with the apparel
industry. According to publicly available filings of the relevant Reference Stock issuer with the SEC:
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Nike, Inc.s principal business activity is the design, development and worldwide marketing and selling of high quality footwear, apparel, equipment, accessories and services. |
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Under Armour, Inc. develops, markets and distributes branded performance apparel, footwear and accessories for men, women and youth. |
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TS-7 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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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 May 15, 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 each 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 each 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.
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TS-8 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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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 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 Lesser 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 ConsequencesTax Consequences to U.S. HoldersNotes 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 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 May 21, 2015, we would have allocated 13.25% 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.
JPMSs Estimated Value of the Notes
JPMSs 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. JPMSs 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 JPMSs estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. For additional information, see Selected Risk
Considerations JPMSs 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 JPMSs 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, JPMSs 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.
JPMSs
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 JPMSs estimated value. In
addition, market
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TS-9 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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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.
JPMSs estimated value of the notes will be lower than the original issue price of the notes because costs associated with selling, structuring and hedging the
notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. 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 JPMSs 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 JPMSs 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 JPMSs 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
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TS-10 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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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.
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):
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Product supplement no. 4a-I dated November
7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
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Prospectus supplement and prospectus, each dated November
7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, we, us and our refer to
JPMorgan Chase & Co.
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TS-11 | Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Lesser Performing of the Class B Common Stock of Nike, Inc. and the Class A common stock of Under Armour, Inc. |
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