Term sheet
To prospectus dated November
7, 2014,
prospectus supplement dated
November 7, 2014 and product supplement no. 1a-I dated November 7, 2014 |
Term
sheet to
Product
Supplement No. 1a-I
Registration
Statement No. 333-199966
Dated
May 28, 2015; Rule 433 |
|
Structured
Investments |
|
Fixed to
Floating Rate Notes Linked to 10-Year Constant Maturity Swap Rate due June 12, 2025 $
|
General
| · | Unsecured and unsubordinated obligations of JPMorgan Chase & Co. maturing
June 12, 2025. |
| · | The notes are designed for investors who
seek periodic interest payments that (a) for the Initial Interest Periods, are fixed at 3.00% per annum, and then for each Interest
Period (other than the Initial Interest Periods) are linked to the 10-Year Constant Maturity Swap Rate as determined on each Determination
Date multiplied by 90.00%, provided that such rate will not be less than the Minimum Interest Rate of 0.00% per annum, and (b)
the return of their initial investment at maturity. Any payment on the notes is subject to the credit risk of JPMorgan Chase
& Co. |
| · | These notes have a relatively long maturity
relative to other fixed income products. Longer dated notes may be more risky than shorter dated notes. See “Selected Risk
Considerations” in this term sheet. |
| · | The notes may be purchased in minimum denominations
of $1,000 and in integral multiples of $1,000 thereafter. |
| · | The notes are expected to price on or about June 10, 2015 and are expected
to settle on or about June 12, 2015. |
Key
Terms
Payment at Maturity: |
On the Maturity Date, we will pay you the outstanding principal amount of your notes plus any accrued and unpaid interest. |
Interest: |
We will pay you interest on each Interest Payment Date based on the applicable Day Count Fraction and subject to the Interest Accrual Convention described below and in the accompanying product supplement. |
Initial Interest Period(s): |
The Interest Periods beginning on and including the Original Issue Date of the notes and ending on but excluding June 12, 2019. |
Initial Interest Rate: |
3.00% per annum |
Interest Periods: |
The period beginning on and including the Original Issue Date of the notes and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date, subject to the Interest Accrual Convention described below and in the accompanying product supplement. |
Interest Payment Dates: |
Interest on the notes will be payable in arrears on the 12th day of June, September, December and March of each year, commencing on September 12, 2015, to and including the Maturity Date, subject to the Business Day Convention and Interest Accrual Convention described below and in the accompanying product supplement. |
Interest Rate: |
With respect to each Initial Interest Period, a rate per annum equal to 3.00% per annum, and with respect to each Interest Period thereafter, a rate per annum equal to the 10-Year CMS Rate multiplied by 90.00%, as determined on each applicable Determination Date, provided that such rate will not be less than the Minimum Interest Rate. |
Minimum Interest Rate: |
0.00% per annum |
10-Year CMS Rate: |
The 10-Year Constant Maturity Swap Rate, which is the rate for U.S. dollar swap with a designated maturity of 10 years that appears on Reuters page “ISDAFIX1” (or any successor page) at approximately 11:00 a.m., New York City time, on the Determination Date, as determined by the calculation agent. On the Determination Date, if the 10-Year CMS Rate cannot be determined by reference to Reuters page “ISDAFIX1” (or any successor page), then the calculation agent will determine the 10-Year CMS Rate in accordance with the procedures set forth under “What is the 10-Year CMS Rate?” below. |
Determination Date: |
For each Interest Period, two U.S. Government Securities Business Days immediately prior to the beginning of the applicable Interest Period. |
U.S. Government Securities Business Day: |
Any day, other than a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association (“SIFMA”) recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities. |
Pricing Date: |
June 10, 2015, subject to the Business Day Convention. |
Original Issue Date (Settlement Date): |
June 12, 2015, subject to the Business Day Convention. |
Maturity Date: |
June 12, 2025, subject to the Business Day Convention. |
Business Day Convention: |
Following |
Interest Accrual Convention: |
Unadjusted |
Day Count Fraction: |
30/360 |
CUSIP: |
48125USZ6 |
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-18 of the accompanying product supplement no. 1a-I and “Selected Risk Considerations”
beginning on page TS-2 of this term sheet.
Neither the U.S. Securities and Exchange Commission, or SEC, nor
any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is
a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) The price to the public includes the estimated cost of
hedging our obligations under the notes through one or more of our affiliates.
(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 $14.00 per $1,000 principal amount
note and in no event will these selling commissions exceed $17.50 per $1,000 principal amount note. See “Plan of Distribution
(Conflicts of Interest)” beginning on page PS-60 of the accompanying product supplement no. 1a-I.
The notes are not bank deposits and are not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed
by, a bank.
June , 2015
Additional
Terms Specific to the Notes
JPMorgan
Chase & Co. has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (“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.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.
You should
read this term sheet together with the prospectus dated November 7, 2014, as supplemented by the prospectus supplement 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. 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, 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):
·
Product supplement no. 1a-I dated November 7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008402/e61380_424b2.htm
·
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, the “Company,” “we,” “us”
or “our” refers to JPMorgan Chase & Co.
Selected
Purchase Considerations
| · | PRESERVATION
OF CAPITAL AT MATURITY – Regardless of the performance of the 10-Year CMS Rate, we will pay you at least the principal
amount of your notes if you hold the notes to maturity. Because the notes are our unsecured and unsubordinated obligations, payment
of any amount at maturity is subject to our ability to pay our obligations as they become due. |
| · | PERIODIC
INTEREST PAYMENTS – The notes offer periodic interest payments on each Interest Payment Date. With respect to the Initial
Interest Periods, your notes will pay an annual interest rate equal to the Initial Interest Rate, and for the applicable Interest
Periods thereafter, your notes will pay an interest rate per annum equal to the 10-Year CMS Rate multiplied by 95.00%, provided
that such rate will not be less than the Minimum Interest Rate. The yield on the notes may be less than the overall return you
would receive from a conventional debt security that you could purchase today with the same maturity as the notes. |
| · | TREATED
AS VARIABLE RATE DEBT INSTRUMENTS – You should review carefully the section entitled “Material U.S. Federal Income
Tax Consequences” in the accompanying product supplement no. 1a-I. You and we agree to treat the notes as “variable
rate debt instruments” for U.S. federal income tax purposes. Assuming this characterization is respected, interest paid
on the notes will generally be taxable to you as ordinary interest income at the time it accrues or is received in accordance
with your method of accounting for U.S. federal income tax purposes, except to the extent of original discount issue, if any.
In addition, a U.S. Holder (as defined in the accompanying product supplement) must include original issue discount, if any, in
income as ordinary interest as it accrues, generally in advance of receipt of cash attributable to such income. In general, gain
or loss realized on the sale, exchange or other disposition of the notes will be capital gain or loss. Prospective purchasers
are urged to consult their own tax advisers regarding the U.S. federal income tax consequences of an investment in the notes.
Purchasers who are not initial purchasers of notes at their issue price on the Original Issue Date should consult their tax advisers
with respect to the tax consequences of an investment in the notes, and the potential application of special rules. |
Non-U.S. Holders should 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-Tax Consequences to Non-U.S.
Holders” in the accompanying product supplement. 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. The withholding tax described above will not apply to payments of gross proceeds from the sale, exchange or other disposition
of the notes made before January 1, 2017.
Subject to certain assumptions and representations received from us, the
discussion in this section entitled “Treated As Variable Rate Debt Instruments”, when read in combination with the
section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement, constitutes
the full opinion of Sidley Austin LLP regarding the material U.S. federal income tax treatment of owning and disposing of the
notes.
Selected
Risk Considerations
| · | THE
NOTES ARE NOT ORDINARY DEBT SECURITIES BECAUSE, OTHER THAN DURING THE INITIAL INTEREST PERIODS, THE INTEREST RATE ON THE NOTES
IS A FLOATING RATE AND MAY BE EQUAL TO THE MINIMUM INTEREST RATE – With respect to the Initial Interest Periods, your
notes will pay a rate equal to the Initial Interest Rate, and for the applicable Interest periods thereafter, your notes will
pay a rate per annum equal to the 10-Year CMS Rate multiplied by 90.00%, provided that such rate will not be less than the Minimum
Interest Rate. |
JPMorgan
Structured Investments | TS-1 |
Floating
Rate Notes Linked to 10-Year Constant Maturity Swap Rate |
| · | AFTER
THE INITIAL INTEREST PERIODS, THE INTEREST RATE ON THE NOTES IS BASED ON THE 10-Year CMS
Rate OVER WHICH WE HAVE NO SUBSTANTIVE CONTROL – The amount of interest, if any, payable on the notes will depend
on a number of factors that could affect the levels of the 10-Year CMS Rate, and in turn, could affect the value of the notes.
These factors include (but are not limited to) the expected volatility of the 10-Year CMS Rate, interest and yield rates in the
market generally, the performance of capital markets, monetary policies, fiscal policies, regulatory or judicial events, inflation,
general economic conditions, and public expectations with respect to such factors. These and other factors may have a negative
impact on the Interest Rate and on the value of the notes in the secondary market. The effect that any single factor may have
on the 10-Year CMS Rate may be partially offset by other factors. We cannot predict the factors that may cause the 10-Year CMS
Rate, and consequently the Interest Rate for an Interest Period, to increase or decrease. A decrease in the 10-Year CMS Rate will
result in a reduction of the applicable Interest Rate used to calculate the Interest for any Interest Period. |
| · | FLOATING
RATE NOTES DIFFER FROM FIXED RATE NOTES – After the Initial Interest Period, the rate of interest on your notes will
be variable and determined based on the 10-Year CMS Rate multiplied by 95.00%, provided that such rate will not be less than the
Minimum Interest Rate, which may be less than returns otherwise payable on notes issued by us with similar maturities. You should
consider, among other things, the overall potential annual percentage rate of interest to maturity of the notes as compared to
other investment alternatives. |
| · | LONGER
DATED NOTES MAY BE MORE RISKY THAN SHORTER DATED NOTES – By purchasing a note with a longer tenor, you are more exposed
to fluctuations in interest rates than if you purchased a note with a shorter tenor. Specifically, you may be negatively affected
if certain interest rate scenarios occur. The applicable discount rate, which is the prevailing rate in the market for notes of
the same tenor, will likely be higher for notes with longer tenors than if you had purchased a note with a shorter tenor. Therefore,
assuming that short term rates rise, the market value of a longer dated note will be lower than the market value of a comparable
short term note with similar terms. |
| · | CREDIT
RISK OF JPMORGAN CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit
ratings and credit spreads may adversely affect the market value of the notes. 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. |
| · | POTENTIAL
CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting
as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we
refer to as JPMS’s estimated value. In performing these duties, our economic interests and the economic interests of the
calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition,
our business activities, including hedging and trading activities as well as modeling and structuring the economic terms of the
notes, could cause our economic interests to be adverse to yours and could adversely affect any payment on the notes and the value
of 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 the Notes Generally” in the accompanying product supplement no. 1a-I for additional information about
these risks. |
| · | THE
10-Year CMS Rate will be affected by a number of factors —
The amount of interest payable on the notes (after the Initial Interest Period) will depend on the 10-Year CMS Rate. A number
of factors can affect the 10-Year CMS Rate by causing changes in the value of the 10-Year CMS Rate including, but not limited
to: |
| · | changes
in, or perceptions, about future 10-Year CMS Rate levels; |
| · | general
economic conditions in the United States; |
| · | prevailing
interest rates; and |
| · | policies
of the Federal Reserve Board regarding interest rates. |
These
and other factors may have a negative impact on the payment of interest on the notes and on the value of the notes in the secondary
market.
| · | The
10-Year CMS Rate may be volatile — The 10-Year CMS Rate
is subject to volatility due to a variety of factors affecting interest rates generally, including but not limited to: |
| · | sentiment
regarding the U.S. and global economies; |
| · | expectation
regarding the level of price inflation; |
| · | sentiment
regarding credit quality in U.S. and global credit markets; |
| · | central
bank policy regarding interest rates; and |
| · | performance
of capital markets. |
| · | LACK OF LIQUIDITY
—
The notes will not be listed on any securities exchange. JPMS intends to offer to purchase
the notes in the secondary market but is not required to do so. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the notes easily.
Because other dealers are not likely to make a secondary market for the notes, 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. |
| · | MANY
ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES
— In addition to the 10-Year CMS Rate on any day, the value of the notes will be affected by a number of economic and market
factors that may either offset or magnify each other, including: |
| · | the
expected volatility of the 10-Year CMS Rate; |
| · | the
time to maturity of the notes; |
| · | interest
and yield rates in the market generally, as well as the volatility of those rates; |
| · | a
variety of economic, financial, political, regulatory or judicial events; and |
| · | our
creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| · | TAX
DISCLOSURE – The information under “Treated as Variable Rate Debt
Instruments "in this term sheet remains subject to confirmation by our tax counsel. We will notify you of any revisions to
the information under “Treated as Variable Rate Debt Instruments" in a supplement to this term sheet on or before the
business day immediately preceding the Original Issue Date, or if the information cannot be confirmed by our tax counsel, we may
terminate this offering of Notes. |
JPMorgan
Structured Investments | TS-2 |
Floating
Rate Notes Linked to 10-Year Constant Maturity Swap Rate |
Hypothetical
Interest Rate for an Interest Period (other than an Initial Interest Period)
The following
table illustrates the Interest Rate determination for an Interest Period (other than an Initial Interest Period) for a hypothetical
range of performance of the 10-Year CMS Rate and reflects the Minimum Interest Rate set forth on the cover of this term sheet.
The hypothetical the 10-Year CMS Rate and interest payments set forth in the following examples are for illustrative purposes
only and may not be the actual the 10-Year CMS Rate or interest payment applicable to a purchaser of the notes.
Hypothetical
10-Year CMS Rate |
|
|
|
Multiplier |
|
|
|
Hypothetical
Interest Rate |
9.00% |
|
* |
|
90.00% |
|
= |
|
8.10% |
8.00% |
|
* |
|
90.00% |
|
= |
|
7.20% |
7.00% |
|
* |
|
90.00% |
|
= |
|
6.30% |
6.00% |
|
* |
|
90.00% |
|
= |
|
5.40% |
5.00% |
|
* |
|
90.00% |
|
= |
|
4.50% |
4.00% |
|
* |
|
90.00% |
|
= |
|
3.60% |
3.00% |
|
* |
|
90.00% |
|
= |
|
2.70% |
2.00% |
|
* |
|
90.00% |
|
= |
|
1.80% |
1.00% |
|
* |
|
90.00% |
|
= |
|
0.90% |
0.00% |
|
* |
|
90.00% |
|
= |
|
0.00% |
-1.00% |
|
* |
|
90.00% |
|
= |
|
0.00%* |
-2.00% |
|
* |
|
90.00% |
|
= |
|
0.00%* |
*The Interest Rate cannot be less than the
Minimum Interest Rate of 0.00% per annum.
These returns
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical total returns shown above would be lower.
Hypothetical
Examples of Interest Rate Calculation
The following
examples illustrate how the hypothetical Interest Rates set forth in the table above are calculated for a particular Interest
Period occurring after the Initial Interest Periods and assume that that the actual number of calendar days in the applicable
Interest Period is 90. The hypothetical Interest Rates in the following examples are for illustrative purposes only and may not
correspond to the actual Interest Rates for any Interest Period applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example
1: After the Initial Interest Periods, with respect to a particular Interest Period, the 10-Year CMS Rate is 3.00% on the applicable
Determination Date. The Interest Rate applicable to such Interest Period is 2.70% per annum calculated as follows:
3.00% *
90.00%= 2.70%
The corresponding
interest payment per $1,000 principal amount note is calculated as follows:
$1,000
× 2.70% × (90/360) = $6.75
Example
2: After the Initial Interest Periods, with respect to a particular Interest Period, the 10-Year CMS Rate is -2.00% on the applicable
Determination Date. Because 10-Year CMS Rate of -2.00% multiplied by 90.00% is less than the Minimum Interest Rate of 0.00%
per annum, the Interest Rate is the Minimum Interest Rate of 0.00% per annum and no interest payment is made.
JPMorgan
Structured Investments | TS-3 |
Floating
Rate Notes Linked to 10-Year Constant Maturity Swap Rate |
What
is the 10-Year CMS Rate?
The 10-Year
CMS Rate is the rate for U.S. dollar swap with a designated maturity of 10 years that appears on Reuters page “ISDAFIX1”
(or any successor page) at approximately 11:00 a.m., New York City time, on the Determination Date, as determined by the Calculation
Agent.
On the
Determination Date, if the 10-Year CMS Rate cannot be determined by reference to Reuters page “ISDAFIX1” (or any successor
page), then the Calculation Agent will determine the 10-Year CMS Rate, as applicable, for such day on the basis of the mid-market
semi-annual swap rate quotations to the Calculation Agent provided by five leading swap dealers in the New York City interbank
market (the “Reference Banks”) at approximately 11:00 a.m., New York City time, on such Determination Date, and, for
this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg,
calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate swap transaction with a term equal to
the applicable 10 year maturity commencing on such Determination Date and in a Representative Amount with an acknowledged dealer
of good credit in the swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to 3- Month
USD-LIBOR-BBA with a designated maturity of three months. The Calculation Agent will request the principal New York City office
of each of the Reference Banks to provide a quotation of its rate. If at least three quotations are provided, the rate for that
day will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the
highest) and the lowest quotation (or, in the event of equality, one of the lowest). If fewer than three quotations are provided
as requested, the rate will be determined by the Calculation Agent in good faith and in a commercially reasonable manner. Representative
Amount means, as determined by the Calculation Agent, an amount that is representative for a single transaction in the relevant
market at the relevant time.
Historical
Information
The following
graph sets forth the weekly historical performance of the 10-Year CMS Rate from January 8, 2010 through May 22, 2015. We obtained
the rates used to construct the graph below from Bloomberg Financial Markets. We make no representation or warranty as to the
accuracy or completeness of the information obtained from Bloomberg Financial Markets.
The 10-Year
CMS Rate, as it appeared on Reuters page “ISDAFIX1” on May 27, 2015 was 2.242%.
The historical
rates should not be taken as an indication of future performance, and no assurance can be given as to the 10-Year CMS Rate on
any Determination Date. We cannot give you assurance that the performance of the 10-Year CMS Rate will result in an Interest Rate
for any Interest Period that is greater than the Minimum Interest Rate.
JPMorgan
Structured Investments | TS-4 |
Floating
Rate Notes Linked to 10-Year Constant Maturity Swap Rate |
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024