October 12, 2015 |
Registration Statement
No. 333-199966; Rule 433 |
JPMorgan
Chase & Co.
Structured
Investments |
Auto
Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. due October 25, 2016 |
|
● |
The
notes are designed for investors who seek a higher interest rate than either the current dividend yield on the Reference Stock
or the yield on a conventional debt security with the same maturity issued by us. The notes will pay between 8.00%
and 10.00% per annum interest over the term of the notes, assuming no automatic call, payable at a rate of between 0.6667%
and 0.8333% per month. |
|
● |
The notes
will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the final
Review Date) is greater than or equal to the Initial Value. |
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● |
The first
date on which the notes can be automatically called is April 20, 2016. |
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● |
Investors
in the notes should be willing to accept the risks of owning equities in general and the Class A common stock of Facebook,
Inc. in particular, and the risk of losing some or all of their principal. |
|
● |
Investors
should also be willing to forgo dividend payments, in exchange for Interest Payments. |
|
● |
The notes
are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is
subject to the credit risk of JPMorgan Chase & Co. |
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● |
Minimum denominations
of $1,000 and integral multiples thereof |
|
● |
The notes
are expected to price on or about October 20, 2015 and are expected to settle on or about October
23, 2015. |
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● |
CUSIP:
46625HNV8 |
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 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, prospectus
supplement and prospectus. Any representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See
“Supplemental Use of Proceeds” in this term sheet for information about the components of the price to public
of the notes.
(2) J.P.
Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling
commissions it receives from us to other affiliated or unaffiliated dealers. If the notes priced today, the selling commissions
would be $15.00 per $1,000 principal amount note and in no event will these selling commissions exceed $19.00 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 $958.80 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 $940.00 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
and the prospectus and prospectus supplement, each dated November 7, 2014
Key
Terms
Reference Stock: The
Class A common stock, par value $0.000006 per share, of Facebook, Inc. (Bloomberg ticker: FB). We refer to Facebook, Inc. as “Facebook.”
Interest Rate: Between
8.00% and 10.00% per annum, payable at a rate of between 0.6667% and 0.8333% per month (to be provided in the pricing supplement)
Interest Payments: If
the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000 principal amount note
an Interest Payment between $6.6667 and $8.3333 (equivalent to an Interest Rate of between 8.00% and 10.00% per annum, payable
at a rate of between 0.6667% and 0.8333% per month).
Trigger Value: 65.00%
of the Initial Value
Trigger Event: A
Trigger Event occurs if, on any day during the Monitoring Period, the closing price of one share of the Reference Stock is less
than the Trigger Value.
Pricing Date: On
or about October 20, 2015
Original Issue Date (Settlement Date):
On or about October 23, 2015
Review Dates*: April
20, 2016, July 20, 2016 and October 20, 2016 (final Review Date)
Interest Payment Dates*: November
25, 2015, December 24, 2015, January 25, 2016, February 25, 2016, March 24, 2016, April 24, 2016, May 25, 2016, June 23, 2016,
July 25, 2016, August 25, 2016, September 23, 2016 and the Maturity Date
Call Settlement Dates: 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*: October
25, 2016
* 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 a Single Underlying” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement no. 4a-I
|
|
Automatic Call: If
the closing price of one share of the Reference Stock on any Review Date (other than the final Review Date) is greater than or
equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No
further payments will be made on the notes.
Payment at Maturity: If
the notes have not been automatically called and (i) the Final Value is greater than or equal to the Initial Value or (ii) 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 Interest Payment applicable to the Maturity Date.
If the
notes have not been automatically called and (i) the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred,
you will receive at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable to the Maturity Date,
the number of shares of the Reference Stock equal to the Physical Delivery Amount (or, at our election, the Cash Value). Fractional
shares will be paid in cash.
The market value of the
Physical Delivery Amount or the Cash Value will most likely be substantially less than the principal amount of your notes, and
may be zero.
Monitoring
Period: The period from but
excluding the Pricing Date to and including the final Review Date
Physical Delivery Amount: The
number of shares of the Reference Stock, per $1,000 principal amount note, equal to $1,000 times the Stock Adjustment Factor,
divided by the Initial Value
Cash Value: For
each $1,000 principal amount note, $1,000 times the Final Value, divided by the Initial Value
Initial Value: The
closing price of one share of the Reference Stock on the Pricing Date
Final Value: The
closing price of one share of the Reference Stock on the final Review Date
Stock Adjustment Factor:
The
Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to
1.0 on the pricing date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events
affecting the Reference Stock. See “The Underlyings —Reference Stocks— Anti-Dilution Adjustments” and
“The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement no.
4a-1 for further information. |
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|
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TS 1| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
How
the Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
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 8.00% per annum, depending on how many Interest Payments are made prior to automatic call or
maturity. If the notes have not been automatically called, 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 8.00% and 10.00% per annum.
Number of Interest Payments |
Total Interest Payments |
12 |
$80.000 |
9 |
$60.000 |
6 |
$40.000 |
TS 2| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes, assuming a range of performances linked to a hypothetical Reference Stock on the Review Dates. The hypothetical payments
set forth below assume the following:
| ● | an Initial Value of $100; |
| ● | a Trigger Value of $65.00 (equal to 65.00% of the hypothetical Initial Value); and |
| ● | an Interest Rate of 8.00% per annum (payable at
a rate of 0.6667% per month). |
The hypothetical Initial Value of $100.00 has
been chosen for illustrative purposes only and may not represent the actual Initial Value. The actual Initial Value is the closing
price of one share of the Reference Stock on the Pricing Date and will be provided in the pricing supplement. For historical data
regarding the actual closing prices of one share of the Reference Stock, please see the historical information set forth under
“The Reference Stock” in this term
sheet.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 – Notes are automatically
called on the first Review Date
Date |
Closing Price |
|
First Review Date |
$105.00 |
Notes are automatically called |
|
Total Payments |
$1,040.00 (4.00% return) |
Because the closing price of one share of the
Reference Stock on the first Review Date is greater than or equal to the Initial Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, of $1,006.6667 (or $1,000 plus the Interest Payment applicable
to the corresponding Interest Payment Date), payable on the applicable Call Settlement 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 $1,040.00.
No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called, the Final Value is greater than or equal to the Initial Value and a Trigger Event has occurred
Date |
Closing Price |
|
First Review Date |
$95.00 |
Notes NOT automatically called |
Second Review Date |
$85.00 |
Notes NOT automatically called |
Final Review Date |
$105.00 |
Final Value is greater than or equal to Initial Value |
|
Total Payment |
$1,080.00 (8.00% return) |
Because the notes have not been automatically
called and the Final Value is greater than or equal to the Initial Value, even though a Trigger Event has occurred, the payment
at maturity, for each $1,000 principal amount note, will be $1,006.6667 (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 $1,080.00.
Example 3 — Notes have NOT been automatically
called, the Final Value is less than the Initial Value and a Trigger Event has NOT occurred
Date |
Closing Price |
|
First Review Date |
$90.00 |
Notes NOT automatically called |
Second Review Date |
$80.00 |
Notes NOT automatically called |
Final Review Date |
$70.00 |
Final Value is less than Initial Value |
|
Total Payment |
$1,080.00 (8.00% return) |
Because the notes have not been automatically
called and a Trigger Event has not occurred, even though the Final Value is less than the Initial Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,006.6667 (or $1,000 plus the Interest
TS 3| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
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 $1,080.00.
Example 4 — Notes have NOT been automatically
called, the Final Value is less than the Initial Value and a Trigger Event has occurred
Date |
Closing Price |
|
First Review Date |
$65.00 |
Notes NOT automatically called |
Second Review Date |
$55.00 |
Notes NOT automatically called |
Final Review Date |
$50.00 |
Final Value is less than Initial Value |
|
Total Payment |
$580.00 (-42.00% return) |
Because the notes have not been automatically
called, the Final Value is less than the Initial Value and a Trigger Event has occurred, you will receive at maturity, in addition
to the Interest Payment applicable to the Maturity Date, the number of shares of the Reference Stock equal to the Physical Delivery
Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash. Assuming that the value of the Physical Delivery
Amount on the Maturity Date is equal to the Cash Value, the value of the payment at maturity will be $506.6667 per $1,000 principal
amount note, calculated as follows.
[$1,000 × $50.00 / $100] + $6.6667 = $506.6667
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 $580.00. The
actual value of the Physical Delivery Amount will be less than the Cash Value if the price of the Reference Stock on the Maturity
Date is less than the Final Value.
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These
hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees
and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
| ● | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the notes have not been automatically called and (i) the Final Value is
less than the Initial Value and (ii) a Trigger Event has occurred, you will receive at maturity a predetermined number of shares
of the Reference Stock (or, at our election, the Cash Value), the market value of which will most likely be substantially less
than the principal amount of your notes, and may be zero. |
| ● | CREDIT RISK OF JPMORGAN CHASE & CO. —
Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential
change in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely to adversely
affect the value of the notes. If we were to default on our payment obligations, you may not receive any amounts owed to you under
the notes and you could lose your entire investment. |
| ● | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES
regardless of any appreciation in the price of the Reference Stock, which may be significant. You will not participate in any appreciation
in the price of the Reference Stock. |
| ● | POTENTIAL CONFLICTS —
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. |
| ● | IF YOU RECEIVE THE PHYSICAL DELIVERY AMOUNT AT MATURITY, THE VALUE OF THE SHARES OF THE REFERENCE STOCK YOU RECEIVE MAY
BE LESS ON THE MATURITY DATE THAN ON THE FINAL REVIEW DATE —
We will make no adjustments to the Physical Delivery Amount to account for any fluctuations in the value of the shares of the Reference
Stock to be delivered at maturity. You will bear the risk of any decrease in the value of those shares between the
Final Review Date and the Maturity Date. |
TS 4| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
| ● | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
If, on any day during the Monitoring Period, the closing price of one share of the Reference Stock is less than the Trigger Value
(i.e., a Trigger Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Value
will terminate and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock. You
will be subject to this potential loss of principal even if the Reference Stock subsequently recovers such that the closing price
of one share of the Reference Stock is greater than or equal to the Trigger Value. |
| ● | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as six months and you will not receive
any Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds
from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. |
| ● | YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
| ● | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We have not independently verified any of the information about the Reference Stock issuer contained in this term sheet. You should
undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s
public disclosure of information, whether contained in SEC filings or otherwise. |
| ● | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
The calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. The calculation
agent may make adjustments in response to events that are not described in the accompanying product supplement to account for any
diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a
holder of the notes in making these determinations. |
| ● | THE RISK OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE PRICE OF THE REFERENCE
STOCK IS VOLATILE. |
| ● | LACK OF LIQUIDITY—
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. |
| ● | 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). |
TS 5| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
| ● | 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 price of the Reference Stock. 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
Reference Stock
All information contained herein on the Reference
Stock and on Facebook is derived from publicly available sources, without independent verification. According to its publicly available
filings with the SEC, Facebook builds products for users, developers and advertisers. The products allow (i) users to stay connected
with friends and family as well as share information, (ii) developers to build applications and websites that integrate with Facebook
and (iii) advertisers to have access to information users have shared. The Class A common stock of Facebook, par value $0.000006
per share, is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed
on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Facebook in the accompanying product supplement
no. 4a-I. Information provided to or filed with the SEC by Facebook pursuant to the Exchange Act can be located by reference to
SEC file number 001-35551, and can be accessed through www.sec.gov. We do not make any representation that these publicly available
documents are accurate or complete.
Historical Information
The following graph sets forth the historical
performance of the Class A common stock of Facebook based on the weekly historical closing prices of one share of the Reference
Stock from May 18, 2012 through October 9, 2015. The closing price of one share of the Reference Stock on October 9, 2015 was $93.24.
We obtained the closing prices below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification. The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of
the Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing
price of one share of the Reference Stock on the Pricing Date, any Review Date or any day during the Monitoring Period. We cannot
give you assurance that the performance of the Reference Stock will result in the return of any of your principal amount.
Historical Performance
of the Class A Common Stock of Facebook, Inc.
Source: Bloomberg |
|
TS 6| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
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 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 Automatic Call occurs and that, if not terminated,
requires you to purchase the Reference Stock (or, at our option, receive the Cash Value thereof) from us at maturity for an amount
equal to the Deposit under circumstances where the payment due at maturity is the Physical Delivery Amount (or the Cash Value thereof)
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 Not 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 12, 2015, we would have allocated 15.00% 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 attributable to 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 Automatic Call.
Withholding under legislation commonly referred
to as “FATCA” will apply to amounts treated as interest or other “fixed or determinable annual or periodical”
income for U.S. federal income tax purposes paid with respect to the notes.
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.
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.
Non-U.S. Holders – Additional Tax Consideration
Non-U.S. Holders should note that recently proposed
Treasury regulations could impose a 30% (or lower treaty rate) withholding tax on amounts paid or deemed paid after December 31,
2015 that are treated as attributable to U.S.-source dividends on equities underlying financial instruments such as the notes.
While it is not clear whether or in what form these regulations will be finalized, under recent Treasury guidance, these regulations
would not apply to the notes. Non-U.S. Holders should consult their tax advisers regarding the potential application of these proposed
regulations.
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.”
TS 7| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
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 realized in hedging our obligations under the notes may be
allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See “Selected Risk Considerations — JPMS’s Estimated Value of the Notes Will Be Lower Than the Original
Issue Price (Price to Public) of the Notes” in this term sheet.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our secondary market credit spreads for structured debt issuances. This initial predetermined time
period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations
— The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
JPMS’s Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this term sheet for an illustration of the risk-return profile of the notes and
“The Reference Stock” 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
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.
TS 8| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
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. 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, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| ● | Product supplement no. 4a-I dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
| ● | Prospectus supplement and prospectus, each dated November 7, 2014: |
http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Our Central Index Key, or CIK, on the SEC website
is 19617. As used in this term sheet, “we,” “us” and “our” refer to JPMorgan Chase & Co.
TS 9| Structured Investments Auto Callable Reverse Exchangeable Notes Linked to the Class A Common Stock of Facebook, Inc. | |
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