Term
Sheet
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014,
product supplement no.
4a-I dated November 7, 2014 and
underlying supplement no. 1a-I dated November 7, 2014 |
Term Sheet to
Product Supplement No. 4a-I
Registration Statement No. 333-199966
Dated August 26, 2015; Rule 433 |
Structured
Investments |
|
$
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the
EURO STOXX 50® Index due August 30, 2018
|
General
· | | 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 S&P
500® Index and the EURO STOXX 50® Index is greater than or equal to 70% of its Initial Index Level,
which we refer to as an Interest Barrier. Investors should be willing to forgo fixed interest and dividend payments, in exchange
for the opportunity to receive Contingent Interest Payments. |
· | | Investors in the notes should
be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined below) has occurred and
the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. |
· | | The notes will be automatically
called if the closing level of each Index on any Review Date (other than the final Review Date) is greater than or equal to its
Initial Index Level. The earliest date on which an automatic call may be initiated is September 9, 2016. |
· | | 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. |
· | | The payment at maturity is
not linked to a basket composed of the Indices. The payment at maturity is 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 |
Key
Terms
Indices: |
The S&P 500® Index (Bloomberg ticker: SPX) and the EURO STOXX 50® Index (Bloomberg ticker: SX5E) (each, an “Index” and collectively, the “Indices”) |
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 $90.00 (equivalent to an interest rate
of 9.00% per annum).
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. |
Interest Barrier / Trigger Level: |
With respect to each Index, an amount that represents 70% of its Initial Index Level |
Contingent Interest Rate: |
9.00% per annum, if applicable
|
Automatic Call: |
If the closing level of each Index on any Review Date (other than the final Review Date) is greater than or equal to its Initial Index Level, 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. |
Payment at Maturity:
|
If the notes have not been automatically called and a Trigger
Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and a Trigger
Event has occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending
Index Level of the Lesser Performing Index is less than its Initial Index Level. Under these circumstances, 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 a Trigger
Event has occurred, you will lose more than 30% of your principal amount at maturity and could lose up to the entire principal
amount of your notes at maturity. |
Trigger Event: |
A Trigger Event occurs if the Ending Index Level (i.e., the closing level on the final Review Date) of either Index is less than its Trigger Level. |
Pricing Date: |
On or about August 26, 2015 |
Original Issue Date (Settlement Date): |
On or about August 31, 2015 |
Review Dates†: |
September 9, 2016, August 25, 2017 and August 27, 2018 (the “final Review Date”) |
Interest Payment Dates†: |
September 14, 2016, August 30, 2017 and the Maturity Date |
Call Settlement Date†: |
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date |
Maturity Date†: |
August 30, 2018 |
CUSIP: |
48125UT77 |
Other Key Terms: |
See “Additional Key Terms” in this term sheet |
| † | Subject to postponement in the event of certain market disruption
events 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 |
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. In no
event will these selling commissions exceed $16.00 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 $975.20 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 $965.20 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.
August 26, 2015
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
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.
Additional
Key Terms
Index Return: |
With respect to each Index:
(Ending Index Level – Initial
Index Level)
Initial Index Level |
Initial Index Level: |
With respect to each Index, the closing level of that Index on the Pricing Date |
Ending Index Level: |
With respect to each Index, the closing level of that Index on the final Review Date |
Lesser Performing Index: |
The Index with the Lesser Performing Index Return |
Lesser Performing Index Return: |
The lower of the Index Returns of the Indices |
JPMorgan Structured Investments
|
TS-1 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
What
Are the Payments on the Notes, Assuming a Range of Performances for the Lesser Performing Index?
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 $90.00 (equivalent to an interest rate of 9.00% per annum). 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. We refer
to the Interest Payment Date immediately following any Review Date on which the closing level of either Index is less than its
Interest Barrier as a “No-Coupon Date.” The following table reflects the Contingent Interest Rate of 9.00% per annum
and illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term of the notes
depending on how many No-Coupon Dates occur.
Number of
No-Coupon Dates |
Total Contingent
Coupon Payments |
0 No-Coupon Dates |
$270.00 |
1 No-Coupon Date |
$180.00 |
2 No-Coupon Dates |
$90.00 |
3 No-Coupon Dates |
$0.00 |
The following
table illustrates the hypothetical payments on the notes in different hypothetical scenarios. Each hypothetical payment set
forth below assumes that the Lesser Performing Index is the EURO STOXX 50® Index and that the closing level of
the other Index on each Review Date is greater than or equal to its Initial Index Level (and therefore its Interest Barrier and
Trigger Level). We make no representation or warranty as to which of the Indices will be the Lesser Performing Index for purposes
of calculating your actual payment at maturity, if any, or as to what the closing level of either Index will be on any
Review Date. In addition, the following table and examples assume an Initial Index Level for the Lesser Performing Index of
3,200, an Interest Barrier and a Trigger Level for the Lesser Performing Index of 2,240 (equal to 70% of the hypothetical Initial
Index Level) and reflect the Contingent Interest Rate of 9.00% per annum. 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
table and examples have been rounded for ease of analysis.
|
Review Dates Prior to the Final Review Date |
Final Review Date |
Closing Level
of the Lesser
Performing
Index |
Lesser
Performing
Index
Appreciation /
Depreciation
at Review
Date |
Payment on
Interest
Payment Date
or Call
Settlement
Date (1)(2) |
Lesser
Performing
Index Return |
Payment at
Maturity If a
Trigger Event
Has Not
Occurred
(2)(3) |
Payment at
Maturity If a
Trigger Event
Has Occurred
(3) |
5,760.00 |
80.00% |
$1,090.00 |
80.00% |
$1,090.00 |
N/A |
5,440.00 |
70.00% |
$1,090.00 |
70.00% |
$1,090.00 |
N/A |
5,120.00 |
60.00% |
$1,090.00 |
60.00% |
$1,090.00 |
N/A |
4,800.00 |
50.00% |
$1,090.00 |
50.00% |
$1,090.00 |
N/A |
4,480.00 |
40.00% |
$1,090.00 |
40.00% |
$1,090.00 |
N/A |
4,160.00 |
30.00% |
$1,090.00 |
30.00% |
$1,090.00 |
N/A |
3,840.00 |
20.00% |
$1,090.00 |
20.00% |
$1,090.00 |
N/A |
3,680.00 |
15.00% |
$1,090.00 |
15.00% |
$1,090.00 |
N/A |
3,520.00 |
10.00% |
$1,090.00 |
10.00% |
$1,090.00 |
N/A |
3,360.00 |
5.00% |
$1,090.00 |
5.00% |
$1,090.00 |
N/A |
3,200.00 |
0.00% |
$1,090.00 |
0.00% |
$1,090.00 |
N/A |
3,040.00 |
-5.00% |
$90.00 |
-5.00% |
$1,090.00 |
N/A |
2,880.00 |
-10.00% |
$90.00 |
-10.00% |
$1,090.00 |
N/A |
2,560.00 |
-20.00% |
$90.00 |
-20.00% |
$1,090.00 |
N/A |
2,240.00 |
-30.00% |
$90.00 |
-30.00% |
$1,090.00 |
N/A |
2,239.68 |
-30.01% |
N/A |
-30.01% |
N/A |
$699.90 |
1,920.00 |
-40.00% |
N/A |
-40.00% |
N/A |
$600.00 |
1,600.00 |
-50.00% |
N/A |
-50.00% |
N/A |
$500.00 |
1,280.00 |
-60.00% |
N/A |
-60.00% |
N/A |
$400.00 |
960.00 |
-70.00% |
N/A |
-70.00% |
N/A |
$300.00 |
640.00 |
-80.00% |
N/A |
-80.00% |
N/A |
$200.00 |
320.00 |
-90.00% |
N/A |
-90.00% |
N/A |
$100.00 |
0.00 |
-100.00% |
N/A |
-100.00% |
N/A |
$0.00 |
(1) The notes will be automatically called if the
closing level of each Index on any Review Date (other than the final Review Date) is greater than or equal to its Initial Index
Level.
(2) You will receive a Contingent Interest Payment
in connection with a Review Date if the closing level of each Index on that Review Date is greater than or equal to its Interest
Barrier.
JPMorgan Structured Investments
|
TS-2 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
(3) A Trigger Event occurs if the Ending Index Level
(i.e., the closing level on the final Review Date) of either Index is less than its Trigger Level.
Hypothetical Examples of Amounts Payable
on the Notes
The following examples illustrate how payments on the notes in
different hypothetical scenarios are calculated.
Example 1: The closing level of the Lesser Performing Index
increases from the Initial Index Level of 3,200 to a closing level of 3,840 on the first Review Date. Because the closing level
of each Index on the first Review Date is greater than its Interest Barrier, the investor is entitled to receive a Contingent Interest
Payment in connection with the first Review Date. In addition, because the closing level of each Index on the first Review Date
is greater than its Initial Index Level, the notes are automatically called. Accordingly, the investor receives a payment of $1,090
per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $90 per $1,000
principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the
notes over the term of the notes is $1,090 per $1,000 principal amount note.
Example 2: The notes have not been automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date
and the closing level of the Lesser Performing Index increases from the Initial Index Level of 3,200 to an Ending Index Level of
3,840 — A Trigger Event has not occurred. The investor receives a payment of $90 per $1,000 principal amount note in
connection with each of the Review Dates preceding the final Review Date. Because the notes have not been automatically called
prior to maturity, a Trigger Event has not occurred and the Ending Index Level of each Index is greater than its Interest Barrier,
the investor receives at maturity a payment of $1,090 per $1,000 principal amount note. This payment consists of a Contingent Interest
Payment of $90 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The
total amount paid on the notes over the term of the notes is $1,270 per $1,000 principal amount note. This represents the
maximum total payment an investor may receive over the term of the notes.
Example 3: The notes have not been automatically called prior
to maturity, Contingent Interest Payments are paid in connection with one of the Review Dates preceding the final Review Date and
the closing level of the Lesser Performing Index decreases from the Initial Index Level of 3,200 to an Ending Index Level of 2,240
— A Trigger Event has not occurred. The investor receives a payment of $90 per $1,000 principal amount note in connection
with one of the Review Dates preceding the final Review Date. Because the notes have not been automatically called prior to maturity,
a Trigger Event has not occurred and the Ending Index Level of the Lesser Performing Index is equal to its Interest Barrier, even
though the Ending Index Level of the Lesser Performing Index is less than its Initial Index Level, the investor receives at maturity
a payment of $1,090 per $1,000 principal amount note. This payment consists of a Contingent Interest Payment of $90 per $1,000
principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the
notes over the term of the notes is $1,180 per $1,000 principal amount note.
Example 4: The notes have not been automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date
and the closing level of the Lesser Performing Index decreases from the Initial Index Level of 3,200 to an Ending Index Level of
1,280 — A Trigger Event has occurred. The investor receives a payment of $90 per $1,000 principal amount note in connection
with each of the Review Dates preceding the final Review Date. Because the notes have not been automatically called prior to maturity,
a Trigger Event has occurred and the Lesser Performing Index Return is -60%, the investor receives at maturity a payment of $400
per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -60%) = $400
The total amount paid on the notes over the term of the notes
is $580 per $1,000 principal amount note.
Example 5: The notes have not been automatically called prior
to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the
closing level of the Lesser Performing Index decreases from the Initial Index Level of 3,200 to an Ending Index Level of 960 —
A Trigger Event has occurred. Because the notes have not been automatically called prior to maturity, no Contingent Interest
Payments are paid in connection with the Review Dates preceding the final Review Date, a Trigger Event has occurred and the Lesser
Performing Index Return is -70%, the investor receives no payments over the term of the notes, other than a payment at maturity
of $300 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -70%) = $300
The 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 fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical payments
shown above would likely be lower.
JPMorgan Structured Investments
|
TS-3 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
Selected
Purchase Considerations
· | | ANNUAL CONTINGENT INTEREST
PAYMENTS — The notes offer the potential to earn a Contingent Interest Payment in connection with each annual Review
Date of $90.00 per $1,000 principal amount note equivalent to an interest rate of 9.00% per annum). 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 a Contingent Interest Payment on the applicable Interest Payment Date. 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.
If payable, a Contingent Interest Payment will be made to the holders of record at the close of business on the business day immediately
preceding the applicable Interest Payment Date. Because the notes are our unsecured and unsubordinated obligations, payment
of any amount on the notes is subject to our ability to pay our obligations as they become due. |
· | | POTENTIAL EARLY EXIT AS
A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing level of each Index on any Review Date (other than the
final Review Date) is greater than or equal to its Initial Index Level, your notes will be automatically called prior to the Maturity
Date. Under these circumstances, you will receive 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. |
· | | THE NOTES DO NOT GUARANTEE
THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically
called, we will pay you your principal back at maturity only if a Trigger Event has not occurred. However, if the notes have
not been automatically called and a Trigger Event has occurred, you will lose more than 30% of your principal amount and could
lose up to the entire principal amount of your notes at maturity. |
· | | EXPOSURE TO EACH OF THE
INDICES — The return on the notes is linked to the Lesser Performing Index, which will be either the S&P 500®
Index or the EURO STOXX 50® Index. |
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 the information set forth under “Equity
Index Descriptions — The S&P 500® Index” in the accompanying underlying supplement no. 1a-I.
The
EURO STOXX 50® Index consists of 50 component stocks of market sector leaders from within the Eurozone. The EURO
STOXX 50® 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 EURO STOXX 50® 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 the information set forth under “Equity Index Descriptions — The EURO
STOXX 50® Index” in the accompanying underlying supplement no. 1a-I.
· | | TAX TREATMENT —
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement no. 4a-I. In determining our reporting responsibilities we intend to treat (i) the Notes for U.S. federal income
tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary
income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying
product supplement no. 4a-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this
is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which case the
timing and character of any income or loss on the Notes could be materially affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and
similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss
with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments
are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or
other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in
the Notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the Notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S. Holders — Tax Considerations. The U.S. federal income
tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position that Contingent
Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent
may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an
applicable income tax treaty), unless income from your Notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States).
If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the Notes in light of your particular circumstances. |
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments on the notes, and (if they
are recharacterized, in whole or in part, as debt instruments) could also apply to the payment of gross proceeds of a sale of
a note occurring after December 31, 2016 (including an early redemption or redemption at maturity). You should consult your tax
adviser regarding the potential application of FATCA to the notes.
JPMorgan Structured Investments
|
TS-4 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
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.
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in either or both of the
Indices or any of the equity securities included in the Indices. These risks are explained in more detail in the “Risk Factors”
section of the accompanying product supplement no. 4a-I and in the “Risk Factors” section of the accompanying underlying
supplement no. 1a-I.
· | | 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 a Trigger Event has occurred, you will lose 1% of your principal amount at maturity for every 1% that the Ending Index
Level of the Lesser Performing Index is less than its Initial Index Level. Accordingly, under these circumstances, you will
lose more than 30% of your principal amount at maturity and could lose up to the entire principal amount of your notes at maturity. |
· | | THE NOTES DO NOT GUARANTEE
THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ from those of conventional
debt securities in that, among other things, whether we pay interest is linked to the performance of each Index. 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, and the Contingent Interest Payment that would otherwise have been payable with respect to that Review Date will not be
accrued and subsequently paid. 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. — 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. |
· | | THE AUTOMATIC CALL FEATURE
MAY FORCE A POTENTIAL EARLY EXIT — If the notes are automatically called, the amount of Contingent Interest Payments
made on the notes may be less than the amount of Contingent Interest Payments that might have been payable if the notes were held
to maturity, and, for each $1,000 principal amount note, you will receive on the applicable Call Settlement Date $1,000 plus
the Contingent Interest Payment applicable to the relevant Review Date. |
· | | REINVESTMENT RISK —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately 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 in the event the notes are automatically called prior to the Maturity Date. |
· | | THE APPRECIATION POTENTIAL
OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE VALUE OF EITHER INDEX — 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 value of either Index, which may be significant. You will not participate in any appreciation
in the value of either Index. Accordingly, the return on the notes may be significantly less than the return on a direct investment
in either Index during the term of the notes. |
· | | 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, 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 Conflicts of Interest” in the accompanying product supplement
no. 4a-I for additional information about these risks. |
In
addition, we are currently one of the companies that make up the S&P 500® Index.
We will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might
affect the value of the S&P 500® Index and the notes.
· | | YOU ARE EXPOSED TO THE
RISK OF DECLINE IN THE VALUE OF EACH INDEX — Your return on the notes and your payment at maturity, if any, is not linked
to a basket consisting of the Indices. If the notes have not been automatically called, your payment at maturity is contingent
upon the performance of each individual Index such that you will be equally exposed to the risks related to either
of the Indices. The performance of the Indices may not be correlated. 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 |
JPMorgan Structured Investments
|
TS-5 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
be
offset or mitigated by positive performance by the other Index. Accordingly, your investment is subject to the risk of decline
in the value of each Index.
· | | THE
BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL REVIEW DATE — If the Ending Index Level of either Index
is less than its Trigger Level (i.e., a Trigger Event occurs) and the notes have not been automatically called, the benefit
provided by the Trigger Level will terminate and you will be fully exposed to any depreciation in the Lesser Performing Index. |
· | | YOUR PAYMENT AT MATURITY
MAY BE DETERMINED BY THE LESSER PERFORMING INDEX — Because the payment at maturity will be determined based on the performance
of the Lesser Performing Index, you will not benefit from the performance of the other Index. Accordingly, if the notes
have not been automatically called and a Trigger Event has occurred, you will lose some or all of your principal amount at maturity,
even if the Ending Index Level of the other Index is greater than or equal to its Initial Index Level. |
· | | 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 — JPMS’s estimated
value of the notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are set. This
estimated value is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions about
market parameters, which can include volatility, dividend rates, interest rates and other factors. 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. 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. 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.
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 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. See the immediately following risk consideration for information about additional factors
that will impact any secondary market prices of the 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. See “— Lack of Liquidity” below.
· | | 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, including: |
· | | any actual or potential change
in our creditworthiness or credit spreads; |
· | | customary bid-ask spreads
for similarly sized trades; |
· | | secondary market credit spreads
for structured debt issuances; |
· | | the actual and expected volatility
in the levels of the Indices; |
JPMorgan Structured Investments
|
TS-6 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
· | | the time to maturity of the
notes; |
· | | whether the closing level
of either Index has been, or is expected to be, less than its Interest Barrier on any Review Date and whether a Trigger Event
is expected to occur; |
· | | the likelihood of an automatic
call being triggered; |
· | | the dividend rates on the
equity securities included in the Indices; |
· | | the actual and expected positive
or negative correlation between the Indices, or the actual or expected absence of any such correlation; |
· | | interest and yield rates in
the market generally; |
· | | the exchange rates and the
volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity securities included in
the EURO STOXX 50® Index trade and the correlation among those rates and the levels of the EURO STOXX 50®
Index; and |
· | | a variety of other economic,
financial, political, regulatory and judicial events. |
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.
· | | NO DIVIDENDS OR VOTING
RIGHTS — As a holder of the notes, you will not have voting rights or rights to receive cash dividends or other distributions
or other rights that holders of the securities included in the Indices would have. |
· | | VOLATILITY RISK —
Greater expected volatility with respect to an Index indicates a greater likelihood as of the Pricing Date that the closing level
of that Index could be less than its Interest Barrier on a Review Date and/or that a Trigger Event could occur. An Index’s
volatility, however, can change significantly over the term of the notes. The closing level of an Index could fall sharply on
any day during the term of the notes, which could result in your not receiving any Contingent Interest Payment or a significant
loss of principal, or both. |
· | | 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,
including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies
in certain countries. 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 in which the equity securities included
in the EURO STOXX 50® Index are denominated, although any currency fluctuations could affect the performance of
the EURO STOXX 50® Index. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S.
dollar over the term of the notes, you will not receive any additional payment or incur any reduction in any payment on the notes. |
· | | 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. |
· | | THE FINAL TERMS AND VALUATION
OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market
conditions when the terms of the notes are set and will be provided in the pricing supplement. In particular, JPMS’s estimated
value will be provided in the pricing supplement and may be as low as the minimum for JPMS’s estimated value set forth on
the cover of this term sheet. Accordingly, you should consider your potential investment in the notes based on the minimum for
JPMS’s estimated value. |
JPMorgan Structured Investments
|
TS-7 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
Historical
Information
The following
graphs show the historical weekly performance of the S&P 500® Index and the EURO STOXX 50® Index
from January 8, 2010 through August 21, 2015. The closing level of the S&P 500® Index on August 25, 2015 was
1,867.61. The closing level of the EURO STOXX 50® Index on August 25, 2015 was 3,218.01.
We obtained
the various closing levels of the Indices 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 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, including the final 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.
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
JPMorgan Structured Investments
|
TS-8 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
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. See “Selected Risk Considerations — JPMS’s Estimated
Value Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates.”
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. We or one or more of our affiliates will retain
any profits realized in hedging our obligations under the notes. 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 “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this term sheet. 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 that 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 “What Are the Payments on the Notes, Assuming a Range of Performances for the Lesser Performing Index?” and “Hypothetical
Examples of Amounts Payable on the Notes” in this term sheet for an illustration of the risk-return profile of the notes
and “Selected Purchase Considerations — Exposure to Each of 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.
JPMorgan Structured Investments
|
TS-9 |
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500®
Index and the EURO STOXX 50® Index
|
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