July
31, 2015
JPMorgan Chase & Co.
Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index due August 19, 2025
| · | The notes are designed for investors who seek a Contingent
Interest Payment with respect to each Review Date for which the closing level of each of the EURO STOXX 50® Index
and the Russell 2000® Index, which we refer to as the Indices, is greater than or equal to 70.00% of its Initial
Value, which we refer to as an Interest Barrier. |
| · | The notes will be automatically called if the closing
level of each Index on any Review Date (other than the first, second, third and final Review Dates) is greater than or equal to
its Initial Value. |
| · | 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 Review Dates. |
| · | Investors should also be willing to forgo fixed interest
and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments. |
| · | 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 $1,000 and integral multiples
thereof |
| · | The notes are expected to price on or about August
14, 2015 and are expected to settle on or about August 19, 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-6 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. In no event will these selling commissions exceed $33.50 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 $947.70 per $1,000 principal amount note. JPMS’s estimated value of the
notes, when the terms of the notes are set, will be provided by JPMS in the pricing supplement and will not be less than $930.00
per $1,000 principal amount note. See “JPMS’s Estimated Value of the Notes” in this term sheet for additional
information.
The notes are not bank deposits, are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Term sheet to product supplement no. 4a-I dated
November 7, 2014, underlying supplement no. 1a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Registration Statement No. 333-199966; Rule 433
Key
Terms
Indices:
The EURO STOXX 50® Index (Bloomberg ticker: SX5E) and
the Russell 2000® Index (Bloomberg ticker: RTY)
Contingent Interest Payments:
If the notes have not been automatically called and the closing
level of each Index on any Review Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest
Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $21.50 (equivalent to a Contingent
Interest Rate of at least 8.60% per annum, payable at a rate of at least 2.15% per quarter) (to be provided in the pricing supplement).
If the closing level of either Index on any Review Date
is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: At least 8.60% per annum, payable at a rate of at least
2.15% per quarter (to be provided in the pricing supplement)
Interest
Barrier: With respect to each Index, 70.00% of its Initial Value
Trigger
Value: With respect to each Index, 50.00% of its Initial Value
Pricing
Date: On or about August 14, 2015
Original
Issue Date (Settlement Date): On or about August 19, 2015
Review Dates*:
November 16, 2015, February 16, 2016, May 16, 2016, August 15, 2016,
November 14, 2016, February 14, 2017, May 15, 2017, August 14, 2017, November 14, 2017, February 14, 2018, May 14, 2018, August
14, 2018, November 14, 2018, February 14, 2019, May 14, 2019, August 14, 2019, November 14, 2019, February 14, 2020, May 14, 2020,
August 14, 2020, November 16, 2020, February 16, 2021, May 14, 2021, August 16, 2021, November 15, 2021, February 14, 2022, May
16, 2022, August 15, 2022, November 14, 2022, February 14, 2023, May 15, 2023, August 14, 2023, November 14, 2023, February 14,
2024, May 14, 2024, August 14, 2024, November 14, 2024, February 14, 2025, May 14, 2025 and August 14, 2025 (final Review Date)
Interest
Payment Dates*: November 19, 2015, February 19, 2016, May 19, 2016,
August 18, 2016, November 17, 2016, February 17, 2017, May 18, 2017, August 17, 2017, November 17, 2017, February 20, 2018, May
17, 2018, August 17, 2018, November 19, 2018, February 20, 2019, May 17, 2019, August 19, 2019, November 19, 2019, February 20,
2020, May 19, 2020, August 19, 2020, November 19, 2020, February 19, 2021, May 19, 2021, August 19, 2021, November 18, 2021, February
17, 2022, May 19, 2022, August 18, 2022, November 17, 2022, February 17, 2023, May 18, 2023, August 17, 2023, November 17, 2023,
February 20, 2024, May 17, 2024, August 19, 2024, November 19, 2024, February 20, 2025, May 19, 2025 and the Maturity Date
Maturity
Date*: August 19, 2025
Call
Settlement Date*:
If the notes are automatically called on any Review Date (other than the
first, second, third and final Review Dates), the first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement no. 4a-I |
Automatic Call:
If the closing level of each Index on any Review Date (other
than the first, second, third and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment
applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value of each Index is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review
Date.
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 50.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
Lesser
Performing Index: The Index with the Lesser Performing Index Return
Lesser Performing
Index Return: The lower of the Index Returns of the Indices
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
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index |
|
How
the Notes Work
Payment in Connection with the First, Second
and Third Review Dates
Payments in Connection with Review Dates
(Other than the First, Second, Third and Final Review Dates)
TS-2 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index |
|
Payment at Maturity If the Notes Have Not
Been Automatically Called
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 8.60% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual
Contingent Interest Rate will be provided in the pricing supplement and will be at least 8.60% per annum.
Number of Contingent
Interest Payments |
Total Contingent Interest Payments |
40 |
$860.00 |
39 |
$838.50 |
38 |
$817.00 |
37 |
$795.50 |
36 |
$774.00 |
35 |
$752.50 |
34 |
$731.00 |
33 |
$709.50 |
32 |
$688.00 |
31 |
$666.50 |
30 |
$645.00 |
29 |
$623.50 |
28 |
$602.00 |
27 |
$580.50 |
26 |
$559.00 |
25 |
$537.50 |
24 |
$516.00 |
23 |
$494.50 |
22 |
$473.00 |
21 |
$451.50 |
20 |
$430.00 |
19 |
$408.50 |
18 |
$387.00 |
17 |
$365.50 |
16 |
$344.00 |
15 |
$322.50 |
14 |
$301.00 |
13 |
$279.50 |
12 |
$258.00 |
11 |
$236.50 |
10 |
$215.00 |
9 |
$193.50 |
8 |
$172.00 |
TS-3 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index |
|
Number of Contingent
Interest Payments |
Total Contingent Interest Payments |
7 |
$150.50 |
6 |
$129.00 |
5 |
$107.50 |
4 |
$86.00 |
3 |
$64.50 |
2 |
$43.00 |
1 |
$21.50 |
0 |
$0.00 |
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 Initial Value (and therefore its Interest Barrier and Trigger
Value).
In addition, the hypothetical payments set forth
below assume the following:
| · | An Initial Value for the Lesser Performing Index of 100.00; |
| · | An Interest Barrier for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value); |
| · | A Trigger Value for the Lesser Performing Index of 50.00 (equal to 50.00% of its hypothetical Initial Value); and |
| · | A Contingent Interest Rate of 8.60% per annum (payable at a rate of 2.15% per quarter). |
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 fourth Review Date.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
105.00 |
$21.50 |
Second Review Date |
110.00 |
$21.50 |
Third Review Date |
105.00 |
$21.50 |
Fourth Review Date |
105.00 |
$1,021.50 |
|
Total Payment |
$1,086.00 (8.60% return) |
Because the closing level of each Index on the
fourth Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,021.50 (or $1,000 plus the Contingent Interest Payment applicable to the fourth
Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the fourth Review
Date, even though the closing level of each Index on each of the first, second and third Review Dates is greater than its Initial
Value. When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for
each $1,000 principal amount note, is $1,086.00. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Index is greater than or equal to its Trigger Value and its Interest Barrier.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$21.50 |
Second Review Date |
85.00 |
$21.50 |
TS-4 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index |
|
Third through Thirty-Ninth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
90.00 |
$1,021.50 |
|
Total Payment |
$1,064.50 (6.45% 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 and its Interest Barrier,
the payment at maturity, for each $1,000 principal amount note, will be $1,021.50 (or $1,000 plus the Contingent Interest
Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with respect to the prior
Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,064.50.
Example 3 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Index is Less than its Interest Barrier but is greater than or equal to its
Trigger Value.
Date |
Closing Level of Lesser Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$21.50 |
Second Review Date |
85.00 |
$21.50 |
Third through Thirty-Ninth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
60.00 |
$1,000.00 |
|
Total Payment |
$1,043.00 (4.30% return) |
Because the notes have not been automatically
called and the Final Value of the Lesser Performing Index is less than its Interest Barrier but is greater than or equal to its
Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00. When added to the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note,
is $1,043.00.
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 |
Payment (per $1,000 principal amount note) |
First Review Date |
60.00 |
$0 |
Second Review Date |
55.00 |
$0 |
Third through Thirty-Ninth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
40.00 |
$400.00 |
|
Total Payment |
$400.00 (-60.00% 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
-60.00%, the payment at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
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.
TS-5 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index |
|
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 50.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing level of each Index on that
Review Date is greater than or equal to its Interest Barrier. If the closing level of either Index on that Review Date is less
than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing
level of either Index on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the
term of the notes.
| · | CREDIT RISK OF JPMORGAN CHASE & CO. — |
Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or
credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If
we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your
entire investment.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation in the
level of either Index, which may be significant. You will not participate in any appreciation in the level 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.
| · | 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 negatively affect whether you will receive a Contingent Interest Payment on any Interest
Payment Date, and 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 one year and you will not receive any Contingent Interest Payments after the
applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the
notes at a comparable return and/or with a comparable interest rate for a similar level of risk.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES. |
TS-6 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index |
|
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50® INDEX — |
The equity securities included in the
EURO STOXX 50® Index have been issued by non-U.S. companies. Investments in securities linked to the value of such
non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S.
equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
| · | NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50®
INDEX — |
The value of your notes will not be
adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in
the EURO STOXX 50® Index are based, although any currency fluctuations could affect the performance of the EURO
STOXX 50® Index.
| · | 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.
| · | THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE
IS GREATER IF THE LEVEL 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 Contingent Interest Rate.
| · | JPMS’S ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO
PUBLIC) OF THE NOTES — |
JPMS’s estimated value is only
an estimate using several factors. The original issue price of the notes will exceed JPMS’s estimated value because costs
associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s Estimated
Value of the Notes” in this term sheet.
| · | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM
OTHERS’ ESTIMATES — |
See “JPMS’s Estimated Value
of the Notes” in this term sheet.
| · | 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.
TS-7 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index |
|
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 values 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.
TS-8 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the EURO STOXX 50® Index and the Russell 2000® Index |
|
The
Indices
The EURO STOXX 50® Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The Index and STOXX are the intellectual property (including
registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used
under license. The notes based on the Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors
and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about
the EURO STOXX 50® Index, see “Equity Index Descriptions — The EURO STOXX 50® 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 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
Indices” 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 June 26, 2015. The closing
level of the EURO STOXX 50® Index on July 30, 2015 was 3,583.79. The closing level of the Russell 2000®
Index on July 30, 2015 was 1,232.071. We obtained the closing levels above and 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 or the payment of any interest.
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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 automatic call 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.
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
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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 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 — 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.
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
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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 Factors” in the accompanying
underlying supplement no. 1a-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 19617. As used in this term sheet, “we,” “us” and “our” refer to JPMorgan Chase & Co.
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