Registration Statement No.
333-199966; Rule 433
July
30, 2015
JPMorgan
Chase & Co.
Structured Investments
Review Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index due August 26, 2019
| · | The notes are designed for investors who seek early
exit prior to maturity at a premium if, on any Review Date, the closing level of each of the S&P 500® Index
and the Russell 2000® Index is at or above its Call Level. |
| · | The notes are also designed for investors who seek
a fixed return at maturity equal to the Contingent Minimum Return of 10.00% if the notes have not been automatically called and
the Final Value of each Index is greater than or equal to 70.00% of its Initial Value. |
| · | Investors in the notes should be willing to accept
the risk of losing some or all of their principal. |
| · | The notes are unsecured and unsubordinated obligations
of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. |
| · | Payments on the notes are not linked to a basket composed
of the Indices. Payments on the notes are linked to the performance of each of the Indices individually, as described below. |
| · | Minimum denominations of $10,000 and integral multiples
of $1,000 in excess thereof |
| · | The notes are expected to price on or about August
21, 2015 and are expected to settle on or about August 28, 2015. |
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-I, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement no. 1a-I and “Selected Risk Considerations” beginning on page
TS-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, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds”
in this term sheet for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to other
affiliated or unaffiliated dealers. If the notes priced today, the selling commissions would be $21.50 per $1,000 principal amount
note and in no event will these selling commissions exceed $24.00 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 $938.20 per $1,000 principal amount note. JPMS’s estimated value of the
notes, when the terms of the notes are set, will be provided by JPMS in the pricing supplement and will not be less than $920.00
per $1,000 principal amount note. See “JPMS’s Estimated Value of the Notes” in this term sheet for additional
information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Term sheet to product supplement no. 4a-I dated
November 7, 2014, underlying supplement no. 1a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Key
Terms
Indices: The S&P 500® Index (Bloomberg ticker: SPX) and the Russell 2000® Index (Bloomberg ticker: RTY) |
Call Premium
Amount: The Call Premium Amount with respect to each Review Date is
set forth below:
·
first Review Date: between
8.50% and 9.00% × $1,000
·
second Review Date: between 17.00% and 18.00% × $1,000
·
third Review Date: between 25.50% and 27.00% × $1,000
·
final Review Date: between 34.00% and 36.00% × $1,000
(in each case, to be provided in the pricing supplement) |
Call
Value: With respect to each Index, 100.00% of its Initial
Value |
Contingent
Minimum Return: 10.00%. |
Trigger
Value: With respect to each Index, 70.00% of its Initial
Value |
Pricing
Date: On or about August 21, 2015 |
Original Issue Date (Settlement Date):
On or about August 28, 2015 |
Review
Dates*: September
8, 2016, August 21, 2017, August 21, 2018 and August 21, 2019 (final Review Date) |
Call
Settlement Dates*: If the notes are automatically called
on any Review Date, the third business day after that Review Date, except that the final Call Settlement Date is the Maturity
Date |
Maturity
Date*: August 26, 2019 |
*
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 |
Lesser
Performing Index: The Index with the Lesser Performing
Index Return |
Lesser
Performing Index Return: The lower of the Index Returns
of the Indices |
Automatic Call:
If the closing level of each Index on any Review Date is greater
than or equal to its Call 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 Call Premium Amount 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 Index is greater than or equal to its Trigger Value, your payment at maturity per $1,000 principal amount note will
be calculated as follows:
$1,000 + ($1,000 × Contingent Minimum
Return)
If the notes
have not been automatically called and the Final Value of either Index is less than its Trigger Value, your
payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing
Index Return)
If the notes have not been
automatically called and the Final Value of either Index is less than its 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.
Index Return:
With Respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Index, the closing level of that Index on the
Pricing Date
Final Value:
With respect to each Index, the closing level of that Index on the
final Review Date
|
TS-1 | Structured Investments
Review Notes Linked to the Lesser Performing of the S&P
500® Index and the Russell 2000® Index |
|
How
the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not
Been Automatically Called
Call Premium Amount
The table below illustrates the hypothetical Call
Premium Amount per $1,000 principal amount note for each Review Date and assumes that the call premiums used to calculate the call
premium amount applicable to the first, second, third and final Review Dates are 8.50%, 17.00%, 25.50% and 34.00%, respectively.
The actual Call Premium Amounts applicable to the first, second, third and final Review Dates will be provided in the pricing supplement
and will be not less than 8.50%, 17.00%, 25.50% and 34.00%, respectively, or greater than 9.00%, 18.00%, 27.00% and 36.00%, respectively.
Review Date |
Call Premium Amount |
First |
$85.00 |
Second |
$170.00 |
Third |
$255.00 |
Final |
$340.00 |
TS-2 | Structured Investments
Review Notes Linked to the Lesser Performing of the S&P
500® Index and the Russell 2000® Index |
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Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Indices, assuming a range of performances for the hypothetical Lesser Performing Index on
the Review Dates. Each hypothetical payment set forth below assumes that the closing level of the Index that is not the Lesser
Performing Index on each Review Date is greater than or equal to its Call Value (and therefore its Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
·
an Initial Value for the Lesser Performing Index of 100;
·
a Call Value for the Lesser Performing Index of 100 (equal to 100% of the hypothetical Initial Value);
·
a Trigger Value for the Lesser Performing Index of 70 (equal to 70% of the hypothetical Initial Value); and
·
the lower range of the call premiums set forth under “Key Terms — Call Premium Amount” above.
The hypothetical Initial Value of the Lesser Performing
Index of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Index.
The actual Initial Value of each Index will be the closing level of that Index on the Pricing Date and will be provided in the
pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical information
set forth under “The Indices” in this term sheet.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following
examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Review Date.
Date |
Closing Level of Lesser Performing Index |
|
First Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,085.00 (8.50% return) |
Because the closing level of each Index on the
first Review Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, of $1,085.00 (or $1,000 plus the Call Premium Amount applicable to the first Review Date),
payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes are automatically
called on the final Review Date.
Date |
Closing Level of Lesser Performing Index |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Third Review Date |
95.00 |
Notes NOT automatically called |
Final Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,340.00 (34.00% return) |
Because the closing level of each Index on the
final Review Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, of $1,340.00 (or $1,000 plus the Call Premium Amount applicable to the final Review Date),
payable on the applicable Call Settlement Date. No further payments will be made on the notes.
TS-3 | Structured Investments
Review Notes Linked to the Lesser Performing of the S&P
500® Index and the Russell 2000® Index |
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Example 3 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Index is greater than or equal to its Trigger Value.
Date |
Closing Level of Lesser Performing Index |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Third Review Date |
80.00 |
Notes NOT automatically called |
Final Review Date |
75.00 |
Notes NOT automatically called; Final Value of Lesser Performing Index is greater than or equal to Trigger Value |
|
Total Payment |
$1,100.00 (10.00% return) |
Because the notes
have not been automatically called and the Final Value of the Lesser Performing Index
is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,100.00,
calculated as follows:
$1,000 + ($1,000 × Contingent Minimum Return)
= $1,100.00
Example 4 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Index is less than its Trigger Value.
Date |
Closing Level of Lesser Performing Index |
|
First Review Date |
80.00 |
Notes NOT automatically called |
Second Review Date |
70.00 |
Notes NOT automatically called |
Third Review Date |
60.00 |
Notes NOT automatically called |
Final Review Date |
50.00 |
Notes NOT automatically called; Final Value of Lesser Performing Index is less than Trigger Value |
|
Total Payment |
$500.00 (-50.00% return) |
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Index is less than its Trigger Value and the Lesser Performing Index 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%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An
investment in the notes involves significant risks. These risks are explained in more detail in the “Risk Factors”
sections of the accompanying product supplement and underlying supplement.
| · | YOUR INVESTMENT IN THE NOTES
MAY RESULT IN A LOSS — |
The
notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value of either
Index is less than its Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value
of the Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose more than
30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | CREDIT RISK OF JPMORGAN CHASE
& CO. — |
Investors
are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change
in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect
the value
TS-4 | Structured Investments
Review Notes Linked to the Lesser Performing of the S&P
500® Index and the Russell 2000® Index |
|
of
the notes. If we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you
could lose your entire investment.
| · | THE APPRECIATION POTENTIAL OF
THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES, |
regardless
of any appreciation in the value of either Index, which may be significant. You will not participate in any appreciation in the
value of either Index.
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.
| · | WE ARE CURRENTLY ONE OF THE
COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but
we will not have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P
500® Index.
| · | YOU ARE EXPOSED TO THE RISK
OF DECLINE IN THE LEVEL OF EACH INDEX — |
Payments
on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual Index.
Poor performance by either of the Indices over the term of the notes may result in the notes not being automatically called on
a Review Date, may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the
other Index.
| · | YOUR PAYMENT AT MATURITY MAY
BE DETERMINED BY THE LESSER PERFORMING INDEX. |
| · | THE BENEFIT PROVIDED BY THE
TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If
the Final Value of either Index 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 level of the Lesser Performing
Index.
| · | 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 approximately one year. There is no guarantee
that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of
risk.
| · | AN INVESTMENT
IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX — |
Small
capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to
larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure under adverse market conditions.
| · | YOU WILL NOT
RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL
OF AN INDEX FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE VALUE OF THAT INDEX IS VOLATILE. |
The
notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are
not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
| · | THE FINAL TERMS AND VALUATION
OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You
should consider your potential investment in the notes based on the minimums for JPMS’s estimated value and the Call Premium
Amounts.
TS-5 | Structured Investments
Review Notes Linked to the Lesser Performing of the S&P
500® Index and the Russell 2000® Index |
|
| · | JPMS’S ESTIMATED VALUE
OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
JPMS’s
estimated value is only an estimate using several factors. The original issue price of the notes will exceed JPMS’s estimated
value because costs associated with selling, structuring and hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See
“JPMS’s Estimated Value of the Notes” in this term sheet.
| · | JPMS’S ESTIMATED VALUE
DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — |
See
“JPMS’s Estimated Value of the Notes” in this term sheet.
| · | JPMS’S ESTIMATED VALUE
IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — |
The
internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit
spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the
notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs
for our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads,
we would expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate
would have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated
Value of the Notes” in this term sheet.
| · | THE VALUE OF THE NOTES AS PUBLISHED
BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE
OF THE NOTES FOR A LIMITED TIME PERIOD — |
We
generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this term sheet for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as
published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE
NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any
secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our secondary market credit spreads for structured debt issuances and, also, because
secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the notes. As a result, the price if any, at which JPMS will be willing
to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any
sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE
NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The
secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either
offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and
the levels of the Indices. 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
Indices
The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the S&P 500® Index, see “Equity Index Descriptions — The S&P 500® Index”
in the accompanying underlying supplement.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index
is
TS-6 | Structured Investments
Review Notes Linked to the Lesser Performing of the S&P
500® Index and the Russell 2000® Index |
|
designed to track the performance of the small
capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index, see
“Equity Index Descriptions — The Russell 2000® Index” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 8, 2010 through July 24, 2015. The closing
level of the S&P 500® Index on July 29, 2015 was 2,108.57. The closing level of the Russell 2000®
Index on July 29, 2015 was 1,229.600. We obtained the closing levels below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification. Although Russell Investments publishes the official closing levels
of the Russell 2000® Index to six decimal places, Bloomberg publishes the closing levels of the Russell 2000®
Index to only three decimal places.
The historical closing levels of each Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index on the
Pricing Date or any Review Date. We cannot give you assurance that the performance of the Indices will result in the return of
any of your principal amount.
TS-7 | Structured Investments
Review Notes Linked to the Lesser Performing of the S&P
500® Index and the Russell 2000® Index |
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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. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the
opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax
Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement no. 4a-I. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term
capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or a court may not respect this treatment, 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 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;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. 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 and adversely 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.
Withholding under legislation commonly referred
to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the notes, as well as to the payment of gross proceeds of a sale of a note occurring after December 31, 2016 (including
an automatic call or redemption at maturity). You should consult your tax adviser regarding the potential application of FATCA
to the notes.
JPMS’s
Estimated Value of the Notes
JPMS’s estimated value of the notes
set forth on the cover of this term sheet is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using our internal funding rate for structured debt described below,
and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value does not represent
a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal
funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.”
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from JPMS’s internal pricing models. These models are dependent on
inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, JPMS’s estimated value of the notes is determined when the terms of the notes are
set based on market conditions and other relevant factors and assumptions existing at that time.
JPMS’s estimated value does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide
valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes
could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
JPMS’s estimated value of the notes
will be lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes
are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations
entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that
TS-8 | Structured Investments
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500® Index and the Russell 2000® Index |
|
is more or less than expected, or it may
result in a loss. A portion of the profits realized in hedging our obligations under the notes may be allowed to other affiliated
or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — JPMS’s Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public)
of the Notes” in this term sheet.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our secondary market credit spreads for structured debt issuances. This initial predetermined time
period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations
— The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
JPMS’s Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this term sheet for an illustration of the risk-return profile of the notes and
“The Indices” in this term sheet for a description of the market exposure provided by the notes.
The original issue price of the notes is
equal to JPMS’s estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be made
against payment for the notes on or about the settlement date set forth on the front cover of this term sheet, which will be the
fifth business day following the expected pricing date of the notes (this settlement cycle being referred to as T+5). Under Rule
15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in
three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on the pricing date or the succeeding business day will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Additional
Terms Specific to the Notes
JPMorgan Chase & Co. has filed a registration
statement (including a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should
read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase &
Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents
without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer
participating in this offering will arrange to send you the prospectus, the prospectus supplement, product supplement no. 4a-I,
underlying supplement no. 1a-I and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
You should read this term sheet together with
the prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014, relating to our Series E medium-term
notes of which these notes are a part, and the more detailed information contained in product supplement no. 4a-I dated November
7, 2014 and underlying supplement no. 1a-I dated November 7, 2014. This term sheet, together with the documents listed below, contains
the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set
forth in “Risk Factors” in the accompanying product supplement no. 4a-I and “Risk
TS-9 | Structured Investments
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Factors” in the accompanying underlying
supplement no. 1a-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 19617. As used in this term sheet, “we,” “us” and “our” refer to JPMorgan Chase & Co.
TS-10 | Structured Investments
Review Notes Linked to the Lesser Performing of the S&P
500® Index and the Russell 2000® Index |
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