October
6, 2015
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JPMorgan Chase & Co.
Structured Investments
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| Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, Russell 2000® Index and the iShares® MSCI EAFE ETF due October 17, 2017 |
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The notes are designed for investors who seek a higher interest rate than the yield on a conventional debt security with the same maturity issued by us. The notes will pay between 6.50% and 7.00% per annum interest over the term of the notes, assuming no early redemption, payable at a rate of between 1.625% and 1.75% per quarter. |
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The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the final Interest Payment Date). |
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Investors in the notes should be willing to accept the risk of losing some or all of their principal and be willing to forgo dividend payments, in exchange for Interest Payments. |
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. |
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Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance of each of the Underlyings individually, as described below. |
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Minimum denominations of $1,000 and integral multiples thereof |
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The notes are expected to price on or about October 7, 2015 and are expected to settle on or about October 13, 2015 |
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CUSIP: 48128GAA8 |
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.
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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 $15.00 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.
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If the notes priced today, the estimated value of the notes
as determined by JPMS would be approximately $972.40 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 $960.00 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
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Underlyings:
The S&P 500® Index (Bloomberg ticker: SPX) and the
Russell 2000® Index (Bloomberg ticker: RTY) (each, an “Index” and collectively, the “Indices”)
and the iShares® MSCI EAFE ETF (Bloomberg ticker: EFA) (the “Fund”) (each of the Indices and the Fund,
an “Underlying” and collectively, the “Underlyings”)
Interest Payments:
If the notes have not been previously redeemed early, you will
receive on the applicable Interest Payment Date for each $1,000 principal amount note an Interest Payment equal to between $16.25
and $17.50 (equivalent to an Interest Rate of between 6.50% and 7.00% per annum, payable at a rate of between 1.625% and 1.75%
per quarter) (to be provided in the pricing supplement).
Interest Rate:
Between 6.50% and 7.00% per annum, payable at a rate of between 1.625%
and 1.75% per quarter (to be provided in the pricing supplement)
Trigger
Value: With respect to each Underlying, 60.00% of its Initial Value
Pricing
Date: On or about October 7, 2015
Original Issue
Date (Settlement Date): On or about October 13, 2015
Observation
Date*: October 10, 2017
Interest Payment
Dates*: January 14, 2016, April 14, 2016, July 14, 2016, October 17,
2016, January 17, 2017, April 17, 2017, July 14, 2017 and the Maturity Date
Maturity Date*:
October 17, 2017
* Subject to
postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to Multiple Underlyings” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement no. 4a-I
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Early Redemption:
We, at our election, may redeem the notes early, in whole but
not in part, on any of the Interest Payment Dates (other than the final Interest Payment Date) at a price, for each $1,000 principal
amount note, equal to $1,000 plus the Interest Payment applicable to that Interest Payment Date. If we intend to redeem
your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before the applicable
Interest Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value
of each Underlying 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 Interest Payment applicable to the Maturity Date.
If the notes
have not been redeemed early and the Final Value of any Underlying is less than its Trigger Value, your
payment at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable to the Maturity Date, will
be calculated as follows:
$1,000 + ($1,000 × Least Performing
Underlying Return)
If the notes have not been
redeemed early and the Final Value of any Underlying is less than its Trigger Value, you will lose more than 40.00% of your principal
amount at maturity and could lose all of your principal amount at maturity.
Least Performing
Underlying: The Underlying with the Least Performing Underlying Return
Least Performing
Underlying Return: The lowest of the Underlying Returns of the Underlyings
Underlying
Return: With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Underlying, the closing value of that Underlying
on the Pricing Date
Final Value:
With respect to each Underlying, the closing value of that Underlying
on the Observation Date
Share Adjustment
Factor: The Share Adjustment Factor is referenced in determining the
closing value of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon
the occurrence of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement no. 4a-I for further information.
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Supplemental
Terms of the Notes
All references in this term sheet to the closing
value of each Index mean the closing level of that Index as defined in the accompanying product supplement, and all references
in this term sheet to the closing value of the Fund mean the closing price of one share of the Fund as defined in the accompanying
product supplement.
How
the Notes Work
Payment at Maturity If the Notes Have Not
Been Redeemed Early
Total Interest Payments
The table below illustrates the hypothetical
total Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Interest Rate of 6.50%
per annum, depending on how many Interest Payments are made prior to early redemption or maturity. If the notes have not been redeemed
early, the hypothetical total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the
maximum amount shown in the table below. The actual Interest Rate will be provided in the pricing supplement and will be between
6.50% and 7.00% per annum.
| Number of Interest Payments |
Total Interest Payments |
| 8 |
$130.00 |
| 7 |
$113.75 |
| 6 |
$97.50 |
| 5 |
$81.25 |
| 4 |
$65.00 |
| 3 |
$48.75 |
| 2 |
$32.50 |
| 1 |
$16.25 |
| 0 |
$0.00 |
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical underlyings, assuming a range of performances for the Least Performing Underlying on the
Observation Date.
In addition, the hypothetical payments set forth
below assume the following:
| · | the notes have not been redeemed early; |
| · | an Initial Value for the Least Performing Underlying of 100.00; |
| · | a Trigger Value for the Least Performing Underlying of 60.00 (equal to 60.00% of its hypothetical Initial Value); and |
| · | an Interest Rate of 6.50% per annum (payable at a rate of 1.625% per quarter). |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and may not
represent a likely actual Initial Value of any
Underlying. The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will
be provided in the pricing supplement. For historical data regarding the actual closing values of each Underlying, please see the
historical information set forth under “The Underlyings” in this term sheet.
TS-2 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes have NOT been redeemed
early and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value.
| Date |
Closing Value of Least Performing Underlying |
Payment (per $1,000 principal amount note) |
| Observation Date |
80.00 |
Final Value of Least Performing Underlying is greater than or equal to its Trigger Value |
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Total Payment |
$1,130.00 (13.00% return) |
Because the notes have not been redeemed early
and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,016.25 (or $1,000 plus the Interest Payment applicable to the Maturity
Date). When added to the Interest Payments received with respect to the prior Interest Payment Dates, the total amount paid,
for each $1,000 principal amount note, is $1,130.00.
Example 2 — Notes have NOT been redeemed
early and the Final Value of the Least Performing Underlying is less than its Trigger Value.
| Date |
Closing Value of Least Performing Underlying |
Payment (per $1,000 principal amount note) |
| Observation Date |
50.00 |
Final Value of Least Performing Underlying is less than its Trigger Value |
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Total Payment |
$630.00 (-37.00% return) |
Because the notes have not been redeemed early,
the Final Value of the Least Performing Underlying is less than its Trigger Value and the Least Performing Underlying Return is
-50.00%, the payment at maturity will be $516.25 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)]+ $16.25 =
$516.25
When added to the Interest Payments received
with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $630.00.
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” 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 redeemed early and the Final Value of any Underlying 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 Least Performing Underlying is less
than its Initial Value. Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount and at
maturity and could lose all of your principal amount at maturity.
| · | CREDIT RISK OF JPMORGAN CHASE & CO. — |
Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or
credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value 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.
TS-3 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation in
the value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying.
| · | WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but
we will not have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P
500® Index.
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 VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by any of the Underlyings over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated
by positive performance by the other Underlying.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE OBSERVATION DATE — |
If
the Final Value of any Underlying is less than its Trigger Value and the notes have not been redeemed early, the benefit provided
by the Trigger Value will terminate and you will be fully exposed to any depreciation in the closing value of the Lesser Performing
Underlying.
| · | THE EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are redeemed early,
the term of the notes may be reduced to as short as approximately three months and you will not receive any Interest Payments after
the applicable Interest Payment Date. There is no guarantee that you would be able to reinvest the proceeds from an investment
in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH
RESPECT TO THE FUND OR THOSE SECURITIES. |
| · | 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.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management
risk, which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate
its Underlying Index and may hold securities different from those included in the Underlying Index. In addition, the performance
of the Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying Index.
All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Index. In addition,
corporate actions with respect to the equity securities underlying the Fund (such as mergers and
TS-4 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
spin-offs) may impact the variance
between the performances of the Fund and its Underlying Index. Finally, because the shares in the Fund are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net
asset value per share of the Fund.
During periods of market volatility,
securities underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares in the Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result,
under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of
the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying
Index as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes
in the secondary market and/or reduce your payment at maturity.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUND — |
The equity securities held by the
Fund 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.
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND — |
Because the prices of the equity securities
held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the notes
will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the
Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar
and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account
the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected
and any payment on the notes may be reduced.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make
an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
| · | THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE VALUE OF THAT UNDERLYING 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 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.
TS-5 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
| · | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — |
The internal funding rate used in
the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional
fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher
issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate
debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic
terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect
on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes”
in this term sheet.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this term sheet for additional information relating to this initial period. Accordingly, the estimated value
of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown
on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude
selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the
original issue price of the notes. As a result, the price if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date
could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the
notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings.
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be
reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value of Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic
and market factors” in the accompanying product supplement.
The
Underlyings
The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the S&P 500® Index, see “Equity Index Descriptions — The S&P 500® Index”
in the accompanying underlying supplement.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index
is 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.
The Fund is an exchange-traded fund of iShares®
Trust, a registered investment company, which seeks to track the investment results, before fees and expenses, of an index composed
of large and mid-capitalization developed market equities, excluding the United States and Canada, which we refer to as the Underlying
Index with respect to the Fund. The Underlying Index for the Fund is currently the MSCI EAFE® Index. The MSCI EAFE®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of the developed equity
markets in Europe, Asia, Australia and New Zealand. For additional information about the Fund, see “Fund Descriptions —
The iShares® MSCI EAFE ETF” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 8, 2010 through October 2, 2015. The
closing value of the S&P 500® Index on October 5, 2015 was 1,987.05. The closing value of
TS-6 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
the Russell 2000® Index on October
5, 2015 was 1,141.637. The closing value of the Fund on October 5, 2015 was $59.64. We obtained the closing values 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 closing values of the Fund above
and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying
on the Pricing Date or the Observation Date. We cannot give you assurance that the performance of the Underlyings will result in
the return of any of your principal amount.
TS-7 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining our reporting responsibilities
we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x) a Put Option written by you that
is terminated if an early redemption occurs and that, if not terminated, in circumstances where the payment due at maturity is
less than $1,000 (excluding accrued and unpaid interest), requires you to pay us an amount equal to $1,000 multiplied by the absolute
value of the Least Performing Underlying Return and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential
obligation under the Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying product supplement
no. 4a-I, and in particular in the subsection thereof entitled “— Notes with a Term of More than One Year.” By
purchasing the notes, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to follow
this treatment and the allocation described in the following paragraph. However, 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 and adversely
affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses on a number of issues, the most relevant
of which for investors in the notes are the character of income or loss (including whether the Put Premium might be currently included
as ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax.
While it is not clear whether the notes would be viewed as similar to the typical prepaid forward contract described in the notice,
it is possible that any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
We will determine the portion of each interest
payment on the notes that we will allocate to interest on the Deposit and to Put Premium, respectively, and will provide that allocation
in the pricing supplement for the notes. If the notes had priced on October 6, 2015, we would have allocated approximately 26.62%
of each interest payment to interest on the Deposit and the remainder to Put Premium. The actual allocation that we will determine
for the notes may differ from this hypothetical allocation, and will depend upon a variety of factors, including actual market
conditions and our borrowing costs for debt instruments of comparable maturities on the Pricing Date. Assuming that the treatment
of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the Deposit will
be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement, including a settlement
following an early redemption.
Non-U.S. holders should also note that, notwithstanding
anything to the contrary in the accompanying product supplement no. 4a-I, recently promulgated Treasury regulations imposing a
withholding tax on certain “dividend equivalents” under certain “equity linked instruments” generally will
not apply to the notes.
FATCA. Withholding under legislation commonly
referred to as “FATCA” will apply to amounts treated as interest or other “fixed or determinable annual or periodical”
income (“FDAP Income”) for U.S. federal income tax purposes paid with respect to the notes. Under
TS-8 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
a recent IRS notice, withholding under FATCA
will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including
an early redemption or redemption at maturity, of a note occurring before January 1, 2019. You should consult your tax adviser
regarding the potential application of FATCA to the notes.
You should consult your tax adviser regarding
all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the issue price should also
consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible alternative treatments,
as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
JPMS’s
Estimated Value of the Notes
JPMS’s estimated value of the notes set
forth on the cover of this term sheet is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using our internal funding rate for structured debt described below,
and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value does not represent
a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal
funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.”
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from JPMS’s internal pricing models. These models are dependent on inputs such
as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, JPMS’s estimated value of the notes is determined when the terms of the notes are
set based on market conditions and other relevant factors and assumptions existing at that time.
JPMS’s estimated value does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide
valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes
could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
JPMS’s estimated value of the notes will
be lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations
entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that 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.”
TS-9 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
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 Underlyings” 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 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.
TS-10 | Structured Investments Callable Yield Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE ETF | |
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