May 28, 2015
JPMorgan Chase & Co.
Structured Investments
Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. due June 22, 2017
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The Notes are designed for investors who seek a Contingent Interest Payment with respect to each Observation Date for which the closing price of one share of the Reference Stock is greater than or equal to 70.00% of the
Initial Value, which we refer to as the Coupon Barrier. |
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The Notes may be redeemed early, in whole but not in part, at our option on any of the Contingent Interest Payment Dates (other than the final Contingent Interest Payment Date). |
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Investors in the notes should be willing to accept the risks of exposure to equities in general and the Reference Stock in particular. |
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Investors in the Notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Observation Dates. |
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Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent 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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Minimum denominations of $1,000 and integral multiples thereof |
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The Notes are expected to price on or about June 18, 2015 and are expected to settle on or about June 23, 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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$ |
(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 $17.50 per $1,000 principal amount Note and in no event will these selling commissions exceed $22.50 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 $968.20 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 $950.00 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
Registration Statement No. 333-199966; Rule 433 |
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Key Terms
Reference Stock: The common
stock, par value $0.00001 per share, of Apple Inc. (Bloomberg ticker: AAPL). We refer to Apple Inc. as Apple.
Contingent
Interest Payments:
If the Notes have not been previously redeemed early and the closing price of one share of the Reference Stock on any Observation Date
is greater than or equal to the Coupon Barrier, you will receive on the applicable Contingent Interest Payment Date for each $1,000 principal amount Note a Contingent Interest Payment equal to at least $18.50 (equivalent to a Contingent Interest
Rate of at least 7.40% per annum, payable at a rate of at least 1.85% per quarter) (to be provided in the pricing supplement).
If the closing price of
one share of the Reference Stock on any Observation Date is less than the Coupon Barrier, no Contingent Interest Payment will be made with respect to that Observation Date.
Contingent Interest Rate: At least 7.40% per annum, payable at a rate
of at least 1.85% per quarter (to be provided in the pricing supplement)
Coupon Barrier / Trigger
Value: 70.00% of the Initial Value
Pricing Date: On or about June 18, 2015
Original Issue Date (Settlement Date): On or about June 23, 2015
Observation Dates*: September 18, 2015, December 18, 2015, March 18, 2016, June 20, 2016, September 19, 2016, December 19, 2016, March 20, 2017 and June 19, 2017 (the
Valuation Date)
Contingent Interest Payment Dates*:
September 25, 2015, December 28, 2015, March 28, 2016, June 27, 2016, September 26, 2016, December 27, 2016, March 27, 2017 and the Maturity Date
Maturity Date*: June 22, 2017
* 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 a Single Underlying Notes Linked to a Single Underlying (Other Than a Commodity Index) and General Terms of Notes Postponement of a Payment Date in the accompanying product supplement no. 4a-I
Early Redemption:
We, at our election, may redeem the Notes early, in whole but not in part, on any of the Contingent Interest Payment Dates (other than the final Contingent Interest
Payment Date) at a price, for each $1,000 principal amount Note, equal to $1,000 plus any accrued and unpaid Contingent Interest Payment. If we intend to redeem your Notes early, we will deliver notice to The Depository Trust Company, or DTC,
at least five business days before the applicable Contingent Interest Payment Dates on which the Notes are redeemed early.
Payment at
Maturity:
If the Notes have not been redeemed early and the Final Value is greater than or equal to the 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 Contingent Interest Payment applicable to the Valuation Date.
If
the Notes have not been redeemed early and the Final Value is less than the Trigger Value, your payment at maturity per $1,000 principal amount Note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the Notes have not been
redeemed early and the Final Value is less than the Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Stock Return:
(Final Value
Initial Value)
Initial Value
Initial Value: The closing price of one share of the Reference Stock on the Pricing Date
Final Value: The closing price of one share of the Reference Stock on the
Valuation Date
Stock Adjustment Factor: The Stock Adjustment
Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the
Reference Stock. See The Underlyings Reference Stocks Anti-Dilution Adjustments and The Reference Stocks Reference Stocks Reorganization Events in the accompanying product supplement no. 4a-I for
further information.
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TS-1 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. |
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How the Notes Work
Payments in Connection with
Observation Dates Preceding the Valuation Date
Payment at Maturity If the Notes Have Not Been Redeemed Early
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TS-2 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. |
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Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount Note over the term of the Notes based on a hypothetical
Contingent Interest Rate of 7.40% per annum, depending on how many Contingent Interest Payments are made prior to early redemption or maturity. The actual Contingent Interest Rate will be provided in the pricing supplement and will be at least
7.40% per annum.
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Number of Contingent
Interest Payments |
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Total Contingent Interest Payments |
8 |
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$148.00 |
7 |
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$129.50 |
6 |
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$111.00 |
5 |
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$92.50 |
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$74.00 |
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$55.50 |
2 |
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$37.00 |
1 |
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$18.50 |
0 |
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$0.00 |
Hypothetical Payout Examples
The following examples illustrate payments on the Notes linked
to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the Observation Dates. The hypothetical payments set forth below assume the following:
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the Notes have not been redeemed early; |
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an Initial Value of $100.00; |
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a Coupon Barrier and a Trigger Value of $70.00 (equal to 70.00% of the hypothetical Initial Value); and |
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a Contingent Interest Rate of 7.40% per annum (payable at a rate of 1.85% per quarter). |
The hypothetical
Initial Value of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing price of one share of the 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 the Reference Stock, please see the historical information set forth under The Reference Stock 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 have NOT been redeemed early and the
Final Value is greater than or equal to the Trigger Value.
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Closing Price |
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Payment (per $1,000 principal amount Note) |
First Observation Date |
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$95.00 |
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$18.50 |
Second Observation Date |
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$85.00 |
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$18.50 |
Third through Seventh Observation Dates |
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Less than Coupon Barrier |
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$0 |
Valuation Date |
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$90.00 |
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$1,018.50 |
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Total Payment |
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$1,055.50 (5.50% return) |
Because the Notes have not been redeemed early and the Final Value is greater than or equal to the Trigger Value, the payment at
maturity, for each $1,000 principal amount Note, will be $1,018.50 (or $1,000 plus the Contingent Interest Payment applicable to the Valuation Date). When added to the Contingent Interest Payments received with respect to the prior
Observation Dates, the total amount paid, for each $1,000 principal amount Note, is $1,055.50.
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TS-3 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. |
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Example 2 Notes have NOT been redeemed early and the Final Value is less than the Trigger
Value.
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Date |
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Closing Price |
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Payment (per $1,000 principal amount Note) |
First Observation Date |
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$60.00 |
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$0 |
Second Observation Date |
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$55.00 |
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$0 |
Third through Seventh Observation Dates |
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Less than Coupon Barrier |
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$0 |
Valuation Date |
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$50.00 |
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$500.00 |
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Total Payment |
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$500.00 (-50.00% return) |
Because the Notes have not been redeemed early and the Final Value is less than the Trigger Value and the Stock 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%)] = $500.00
The hypothetical returns and hypothetical payments on the Notes shown above apply only if you hold the Notes for their entire term. 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 redeemed early and the Final Value is less than the Trigger Value, you will lose 1% of the principal amount of your Notes for every 1% that the Final Value is less than the Initial Value. Accordingly,
under these circumstances, you will lose more than 30.00% of your principal amount and could lose all of your principal amount at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL |
If the Notes have not been redeemed early, we will make a Contingent Interest Payment with respect to an Observation Date only if the closing price of one
share of the Reference Stock on that Observation Date is greater than or equal to the Coupon Barrier. If the closing price of one share of the Reference Stock on that Observation Date is less than the Coupon Barrier, no Contingent Interest Payment
will be made with respect to that Observation Date. Accordingly, if the closing price of one share of the Reference Stock on each Observation Date is less than the Coupon Barrier, you will not receive any interest payments over the term of the
Notes.
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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 ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation in the price of the Reference Stock, which may be significant. You will not participate in any appreciation in the price of
the 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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TS-4 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. |
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE VALUATION DATE |
If the Final
Value is less than the Trigger Value and the Notes have not been redeemed early, 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 Reference Stock.
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THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT |
If your Notes are
redeemed early, the term of the Notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest Payments after the applicable Contingent Interest Payment 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 THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER |
We have not independently verified any of
the information about the Reference Stock issuer contained in this term sheet. You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the 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 STOCK IS LIMITED AND MAY BE DISCRETIONARY |
The calculation agent will not make an adjustment in response to all events that could affect the 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 THE REFERENCE STOCK FALLING BELOW THE COUPON BARRIER OR THE TRIGGER VALUE IS GREATER IF THE PRICE OF THE 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 Contingent 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 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
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TS-5 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. |
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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 price of the Reference Stock. 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 Stock
All information contained herein on the Reference Stock and on Apple is derived from publicly available sources, without independent verification. According to its
publicly available filings with the SEC, Apple designs, manufactures and markets mobile communication and media devices, personal computers and portable digital music players and sells a variety of related software, services, accessories, networking
solutions and third-party digital content and applications. The common stock, par value $0.00001 per share, of Apple (Bloomberg ticker: AAPL) is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act,
and is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Apple in the accompanying product supplement no. 4a-I. Information provided to or filed with the SEC by Apple pursuant to the Exchange Act can be
located by reference to SEC file number 000-10030, and can be accessed through www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets
forth the historical performance of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 8, 2010 through May 22, 2015. The closing price of one share of the Reference Stock on
May 27, 2015 was $132.045. We obtained the closing prices above and 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 the 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 the Reference Stock on the Pricing Date or any Observation Date. We cannot give you assurance that the performance of the Reference Stock will result in the return of any of your principal amount or the payment of any
interest.
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TS-6 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple 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. In determining our reporting responsibilities we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward
contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled Material U.S. Federal Income Tax Consequences Tax Consequences to U.S. Holders
Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons in the accompanying product supplement no. 4a-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a
reasonable treatment, but that 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 affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to
which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax
consequences of an investment in the Notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the
issues presented by this notice.
Non-U.S. Holders Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is
uncertain, and although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these
payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your Notes is effectively connected with your conduct of a trade or business in the United States (and,
if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an
investment in the Notes in light of your particular circumstances.
FATCA. Withholding under legislation commonly referred to as FATCA could apply
to payments on the Notes, and (if they are recharacterized, in whole or in part, as debt instruments) could also apply to the payment of gross proceeds of a sale of a Note occurring after December 31, 2016 (including an early redemption or
redemption at maturity). You should consult your tax adviser regarding the potential application of FATCA to the Notes.
In the event of any withholding on the
Notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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TS-7 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. |
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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 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, 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. 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 Stock 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.
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TS-8 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. |
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Additional Terms Specific to the Notes
JPMorgan Chase & Co. has filed a registration
statement (including a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan
Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan
Chase & Co., any agent or any dealer participating in this offering will arrange to send you the prospectus, the prospectus supplement, product supplement no. 4a-I and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the Notes at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right
to change the terms of, or reject any offer to purchase, the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You
may also choose to reject such changes, in which case we may reject your offer to purchase.
You should read this term sheet together with the prospectus, as
supplemented by the prospectus supplement, each dated November 7, 2014, relating to our Series E medium-term Notes of which these Notes are a part, and the more detailed information contained in product supplement no. 4a-I dated
November 7, 2014. This term sheet, together with the documents listed below, contains the terms of the Notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in
Risk Factors in the accompanying product supplement no. 4a-I, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you
invest in the Notes.
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-9 | Structured Investments Contingent Coupon Callable Yield Notes Linked to the Common Stock of Apple Inc. |
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