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August 2015
Preliminary Terms No. 433 Registration Statement No.
333-199966 Dated July 30, 2015 Filed pursuant to
Rule 433 |
STRUCTURED INVESTMENTS
Opportunities in U.S. and International Equities
Trigger PLUS Based on the Performance of an Equally Weighted Basket
of Three Indices due September 6, 2018
Performance Leveraged Upside
SecuritiesSM
Principal at Risk Securities
The Trigger PLUS offered are unsecured and unsubordinated obligations of JPMorgan Chase & Co., will pay no interest, do not guarantee any return of your
principal at maturity and have the terms described in the accompanying product supplement no. 4a-I, underlying supplement no. 1a-I, the prospectus supplement and the prospectus, as supplemented or modified by this document. At maturity, if the
basket has appreciated in value, investors will receive the stated principal amount of their investment plus leveraged upside performance of the basket, subject to a maximum payment at maturity. If the basket has declined in value but the final
basket value is greater than or equal to the trigger level, investors will receive the stated principal amount of the Trigger PLUS at maturity. However, if the basket has declined in value so that the final basket value is less than the trigger
level, at maturity investors will lose a significant portion or all of their investment, resulting in a 1% loss for every 1% decline in the basket value over the term of the Trigger PLUS. The Trigger PLUS are for investors who seek exposure to an
equally weighted basket of the three indices specified below and who are willing to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange for the leverage feature that applies to a limited range
of positive performance of the basket. At maturity, an investor will receive an amount in cash that may be greater than, equal to, or less than the stated principal amount based upon the closing value of the basket on the valuation date. All
payments on the Trigger PLUS are subject to the credit risk of JPMorgan Chase & Co. The investor may lose some or all of the stated principal amount of the Trigger PLUS.
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SUMMARY TERMS |
Issuer: |
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JPMorgan Chase & Co. |
Basket: |
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Underlying indices |
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Bloomberg ticker symbol |
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Basket weighting |
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S&P 500® Index (the SPX Index) |
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SPX |
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1/3 |
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EURO STOXX 50® Index (the SX5E Index) |
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SX5E |
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1/3 |
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TOPIX® Index (the TPX Index) |
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TPX |
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1/3 |
We refer to the SPX Index, the SX5E Index and the TPX Index as the underlying indices. |
Aggregate principal amount: |
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$ |
Payment at maturity: |
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If the final basket value is greater than the initial basket value, for each $10 stated principal amount Trigger PLUS, |
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$10 + leveraged upside payment |
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In no event will the payment at maturity exceed the maximum payment at maturity. |
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If the final basket value is less than or equal to the initial basket value but is greater than or equal to the trigger level, for each $10 stated principal amount Trigger PLUS, |
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$10 |
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If the final basket value is less than the trigger level, for each $10 stated principal amount Trigger PLUS |
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$10 × basket performance factor |
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This amount will be less than the stated principal amount of $10 per Trigger PLUS and will represent a loss of more than 15% and possibly all of your investment. |
Leveraged upside payment: |
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$10 × leverage factor × basket percent increase |
Basket percent increase: |
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(final basket value initial basket value) / initial basket value |
Initial basket value: |
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Set equal to 100 on the pricing date |
Final basket value: |
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The closing value of the basket on the valuation date |
Trigger level: |
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85% of the initial basket value |
Leverage factor: |
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200% |
Basket performance factor: |
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final basket value / initial basket value |
Maximum payment at maturity: |
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At least $13.50 (at least 135.00% of the stated principal amount) per Trigger PLUS. The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $13.50 per Trigger
PLUS. |
Stated principal amount: |
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$10 per Trigger PLUS |
Issue price: |
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$10 per Trigger PLUS (see Commissions and issue price below) |
Pricing date: |
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August , 2015 (expected to price on or about August 31, 2015) |
Original issue date (settlement date): |
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September , 2015 (3 business days after the pricing date) |
Valuation date: |
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August 31, 2018, 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 in the accompanying product supplement no. 4a-I |
Maturity date: |
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September 6, 2018, subject to postponement in the event of certain market disruption events and as described under General Terms of Notes Postponement of a Payment Date in the accompanying product
supplement no. 4a-I |
CUSIP / ISIN: |
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48127V710 / US48127V7102 |
Listing: |
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The Trigger PLUS will not be listed on any securities exchange. |
Agent: |
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J.P. Morgan Securities LLC (JPMS) |
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Terms continued on the following page |
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Commissions and issue price: |
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Price to public(1) |
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Fees and commissions |
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Proceeds to issuer |
Per Trigger PLUS |
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$10.00 |
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$0.25(2) |
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$9.70 |
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$0.05(3) |
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Total |
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$ |
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$ |
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$ |
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(1) |
See Additional Information about the Trigger PLUS Supplemental use of proceeds and hedging in this document for information about the components of the price to public of the Trigger PLUS.
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(2) |
JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to Morgan Stanley Smith Barney LLC (Morgan Stanley Wealth Management). In no event will
these selling commissions exceed $0.30 per $10 stated principal amount Trigger PLUS. See Plan of Distribution (Conflicts of Interest) beginning on page PS-87 of the accompanying product supplement no. 4a-I. |
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(3) |
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each $10 stated principal amount Trigger PLUS |
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If the Trigger PLUS priced today and assuming a maximum payment at maturity equal to the minimum listed above, the estimated
value of the Trigger PLUS as determined by JPMS would be approximately $9.635 per $10 stated principal amount Trigger PLUS. JPMSs estimated value of the Trigger PLUS on the pricing date will be provided by JPMS in the pricing supplement and
will not be less than $9.50 per $10 stated principal amount Trigger PLUS. See Additional Information about the Trigger PLUS JPMSs estimated value of the Trigger PLUS in this document for additional information.
Investing in the Trigger PLUS 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 Risk Factors beginning on page 5 of this document.
Neither the Securities and Exchange Commission (the SEC) nor any state securities commission has approved or disapproved of the Trigger PLUS or passed upon
the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
The Trigger PLUS 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.
You should read this document together with the related product supplement no. 4a-I, underlying supplement no. 1a-I,
prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see Additional Information about the Trigger PLUS at the end of this document.
Product supplement no. 4a-I dated November
7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
Underlying supplement no. 1a-I dated November
7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_424b2.pdf
Prospectus supplement and prospectus, each dated November
7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Terms continued from previous page:
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Closing value of the basket: |
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The closing value of the basket on the valuation date will be calculated as follows:
100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)] |
Index return: |
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With respect to each underlying index:
(final index value initial index value)
initial index value |
Initial index value: |
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With respect to each underlying index, the closing level of that underlying index on the pricing date |
Final index value: |
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With respect to each underlying index, the closing level of that underlying index on the valuation date |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Performance Leveraged Upside Securities
The
Trigger PLUS Based on the Performance of an Equally Weighted Basket of Three Indices due September 6, 2018 (the Trigger PLUS) can be used:
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As an alternative to direct exposure to the underlying indices that enhances returns for a limited range of positive performance of the basket. |
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To enhance returns and potentially outperform the basket in a moderately bullish scenario. |
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To potentially achieve similar levels of upside exposure to the basket as a direct investment, subject to the maximum payment at maturity, while using fewer dollars by taking advantage of the leverage factor.
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To provide limited market downside protection against a loss of principal in the event of a decline of the basket but only if the final basket value is greater than or equal to the trigger level.
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Maturity: |
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Approximately 3 years |
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Leverage factor: |
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200% |
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Trigger level: |
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85% of the initial basket value |
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Maximum payment at maturity: |
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At least $13.50 (at least 135.00% of the stated principal amount) per Trigger PLUS (to be provided in the pricing supplement) |
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Minimum payment at maturity: |
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None. Investors may lose their entire initial investment in the Trigger PLUS. |
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Basket weightings: |
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1/3 for each of the underlying indices |
Supplemental Terms of the Trigger PLUS
For purposes of the accompanying product supplement, each underlying index is an Index.
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Trigger PLUS offer leveraged
exposure to an underlying asset, which may be equities, commodities and/or currencies. In exchange for enhanced returns from a limited range of positive performance of the asset, investors are exposed to the risk of loss of some or all of their
investment due to the trigger feature. At maturity, if the asset has appreciated, investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying asset, subject to the maximum payment at
maturity. At maturity, if the asset has depreciated but is at or above the trigger level, investors will receive the stated principal amount of their investment. At maturity, if the asset has depreciated below the trigger level, investors are fully
exposed to the negative performance of the asset. Investors may lose some or all of the stated principal amount of the Trigger PLUS.
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Leveraged Performance |
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The Trigger PLUS offer investors an opportunity to capture enhanced returns for a limited range of positive performance relative to a direct investment in the basket. |
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Trigger Feature |
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At maturity, even if the basket has declined over the term of the Trigger PLUS, investors will receive their stated principal amount but only if the final basket value is greater than or equal to the trigger
level. |
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Upside Scenario |
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The final basket value is greater than the initial basket value. At maturity, the Trigger PLUS pay the stated principal amount of $10 plus a return equal to 200% of the basket percent increase, subject to the maximum payment at
maturity of at least $13.50 (at least 135.00% of the stated principal amount) per Trigger PLUS. The actual maximum payment at maturity will be provided in the pricing supplement. |
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Par Scenario |
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The final basket value is less than or equal to the initial basket value but is greater than or equal to the trigger level. In this case, the Trigger PLUS pay the stated principal amount of $10 per Trigger PLUS at maturity even
though the basket has depreciated. |
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Downside Scenario |
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The final basket value is less than the trigger level. In this case, the Trigger PLUS pay an amount that is over 15% less than the stated principal amount and this decrease will be by an amount that is proportionate to the
percentage decline of the final basket value from the initial basket value. (Example: if the basket decreases in value by 15%, the Trigger PLUS will pay an amount that is less than the stated principal amount by 15%, or $8.50 per Trigger
PLUS). |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Trigger PLUS Work
Payoff Diagram
The payoff diagram below
illustrates the payment at maturity on the Trigger PLUS based on the following terms:
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Stated principal amount: |
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$10 per Trigger PLUS |
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Leverage factor: |
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200% |
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Trigger level: |
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85% of the initial basket value |
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Hypothetical maximum payment at maturity: |
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$13.50 (135.00% of the stated principal amount) per Trigger PLUS (which represents the lowest hypothetical maximum payment at maturity)* |
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The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $13.50 per Trigger PLUS. |
How it works
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Upside Scenario. If the final basket value is greater than the initial basket value, for each $10 principal amount Trigger PLUS, investors will receive the $10 stated principal amount
plus a return equal to 200% of the appreciation of the basket over the term of the Trigger PLUS, subject to the maximum payment at maturity. Under the hypothetical terms of the Trigger PLUS, an investor will realize the hypothetical maximum
payment at maturity at a final basket value of 117.50% of the initial basket value. |
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For example, if the basket appreciates 5%, investors will receive a 10% return, or $11 per Trigger PLUS |
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Par Scenario. If the final basket value is less than or equal to the initial basket value but is greater than or equal to the trigger level, investors will receive the stated
principal amount of $10 per Trigger PLUS. |
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For example, if the basket depreciates 5%, investors will receive the $10 stated principal amount |
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Downside Scenario. If the final basket value is less than the trigger level, investors will receive an amount that is significantly less than the stated principal amount by an amount
proportionate to the percentage decrease of the final basket value from the initial basket value. |
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For example, if the basket depreciates 50%, investors will lose 50% of their principal and receive only $5 per Trigger PLUS at maturity, or 50% of the stated principal amount. |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The hypothetical returns and hypothetical payments on the Trigger PLUS shown above apply only if you hold the Trigger PLUS for their entire term. 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 returns and hypothetical payments shown above would likely be lower.
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Hypothetical Payouts on the Trigger PLUS at Maturity
Below are four examples of how to calculate the payment at maturity based on the hypothetical closing values of the underlying indices in the respective tables below.
The following hypothetical examples are provided for illustrative purposes only.
Example 1: The final basket value is
greater than the initial basket value, and the payment at maturity is less than the hypothetical maximum payment at maturity.
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Underlying Index |
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Weight in
Basket |
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Hypothetical
initial index value |
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Hypothetical
final index value |
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Index return |
SPX Index |
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1/3 |
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2,100.00 |
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2,152.50 |
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+2.50% |
SX5E Index |
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1/3 |
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3,600.00 |
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3,690.00 |
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+2.50% |
TPX Index |
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1/3 |
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1,600.00 |
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1,640.00 |
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+2.50% |
Basket percent increase = (final basket value initial basket value) / initial basket
value
Initial basket value = 100
Final basket level = 100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying
index)]
Using the hypothetical values above, the sum of the index return of each underlying index times the
basket weighting of that underlying index:
[(2,152.50 2,100.00) / 2,100.00] × 1/3 = 0.83333%
[(3,690.00 3,600.00) / 3,600.00] × 1/3 = 0.83333%
[(1,640.00 1,600.00) / 1,600.00] × 1/3 = 0.83333%
0.83333% + 0.83333% + 0.83333% = 2.50%
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Final basket value |
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= |
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100 × (1 + 2.50%), which equals 102.50 |
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Basket percent increase |
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(102.50 100) / 100, which equals 2.50% |
The payment at maturity per Trigger PLUS will equal $10 plus the leveraged upside payment, subject to the maximum payment
at maturity. The leveraged upside payment will equal (i) $10 times (ii) the basket percent increase times (iii) the leverage factor, or:
$10 × 2.5% × 200% = $0.50
Because this amount
would not result in a payment at maturity that would exceed the hypothetical maximum payment at maturity of $13.50 per Trigger PLUS, the payment at maturity will equal $10 plus the leveraged upside payment, or:
$10 + $0.50 = $10.50
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Example 2: The final basket value is greater than the initial basket value, and the payment at maturity is equal
to the hypothetical maximum payment at maturity.
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Underlying Index |
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Weight in Basket |
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Hypothetical
initial index value |
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Hypothetical
final index value |
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Index return |
SPX Index |
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1/3 |
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2,100.00 |
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2,730.00 |
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+30.00% |
SX5E Index |
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1/3 |
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3,600.00 |
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4,680.00 |
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+30.00% |
TPX Index |
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1/3 |
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1,600.00 |
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2,080.00 |
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+30.00% |
Basket percent increase = (final basket value initial basket value) / initial basket
value
Initial basket value = 100
Final basket level = 100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying
index)]
Using the hypothetical values above, the sum of the index return of each underlying index times the
basket weighting of that underlying index:
[(2,730.00 2,100.00) / 2,100.00] × 1/3 = 10%
[(4,680.00 3,600.00) / 3,600.00] × 1/3 = 10%
[(2,080.00 1,600.00) / 1,600.00] × 1/3 = 10%
10% + 10% + 10% = 30%
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Final basket value |
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100 × (1 + 30%), which equals 130 |
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Basket percent increase |
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(130 100) / 100, which equals 30% |
The payment at maturity per Trigger PLUS will equal $10 plus the leveraged upside payment, subject to the maximum payment
at maturity. The leveraged upside payment will equal (i) $10 times (ii) the basket percent increase times (iii) the leverage factor, or:
$10 × 30% × 200% = $6.00
Because this amount would
result in a payment at maturity that would exceed the hypothetical maximum payment at maturity of $13.50 per Trigger PLUS, the payment at maturity will equal the hypothetical maximum payment at maturity of $13.50 per Trigger PLUS.
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Example 3: The final basket value is less than the initial basket value but greater than or equal to the trigger level.
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Underlying Index |
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Weight in Basket |
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Hypothetical
initial index value |
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Hypothetical
final index value |
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Index return |
SPX Index |
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1/3 |
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2,100.00 |
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1,890.00 |
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-10.00% |
SX5E Index |
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1/3 |
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3,600.00 |
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3,240.00 |
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-10.00% |
TPX Index |
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1/3 |
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1,600.00 |
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1,440.00 |
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-10.00% |
Basket percent increase = (final basket value initial basket value) / initial basket
value
Initial basket value = 100
Final basket level = 100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying
index)]
Using the hypothetical values above, the sum of the index return of each underlying index times the
basket weighting of that underlying index:
[(1,890.00 2,100.00) / 2,100.00] × 1/3 = -3.333%
[(3,240.00 3,600.00) / 3,600.00] × 1/3 = -3.333%
[(1,440.00 1,600.00) / 1,600.00] × 1/3 = -3.333%
(-3.333%) + (-3.333%) + (-3.333%) = -10%
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Final basket value |
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= |
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100 × (1 + (-10%)), which equals 90 |
In the above example, although the final basket value is less than the initial basket value, because the final basket value represents
a decline from the initial basket value of 10%, and therefore is greater than or equal to the trigger level of 85, the payment at maturity per Trigger PLUS will equal the stated principal amount of $10.
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Example 4: The final basket value is less than the trigger level.
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Underlying Index |
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Weight in Basket |
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Hypothetical initial index value |
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Hypothetical final index value |
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Index return |
SPX Index |
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1/3 |
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2,100.00 |
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420.00 |
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-80.00% |
SX5E Index |
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1/3 |
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3,600.00 |
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3,690.00 |
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+2.50% |
TPX Index |
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1/3 |
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1,600.00 |
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1,640.00 |
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+2.50% |
Basket percent increase = (final basket value initial basket value) / initial basket
value
Initial basket value = 100
Final basket level = 100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying
index)]
Using the hypothetical values above, the sum of the index return of each underlying index times the
basket weighting of that underlying index:
[(420.00 2,100.00) / 2,100.00] × 1/3 = -26.66667%
[(3,690.00 3,600.00) / 3,600.00] × 1/3 = 0.83333%
[(1,640.00 1,600.00) / 1,600.00] × 1/3 = 0.83333%
(-26.66667)% + 0.83333% + 0.83333% = -25%
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Final basket value |
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= |
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100 × (1 + (-25%)), which equals 75 |
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Basket performance factor |
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= |
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75 / 100, which equals 75% |
In the above example, the final index values of all the underlying indices except for the SPX Index (with a combined weighting of 2/3
of the basket) are each higher than their respective initial index values, but the final index value of the SPX Index (with a weighting of 1/3 of the basket) is lower than its initial index value. Accordingly, although the final index values of 2/3
of the underlying indices (by weight) have increased in value over their respective initial index values, the final index value of the other 1/3 (by weight) of the basket has declined and, because it has declined significantly, its decline more than
offsets the increases in the other underlying indices and, consequently, the basket performance factor is less than 100%.
Because the final basket value is
less than the trigger level in this example, the payment at maturity per Trigger PLUS will equal $10 times the basket performance factor; or
($10 × 75%) = $7.50
The payment at maturity per
Trigger PLUS will be $7.50, which is less than the stated principal amount by an amount that is proportionate to the percentage decline in the basket.
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list
of certain key risk factors for investors in the Trigger PLUS. For further discussion of these and other risks, you should read the sections entitled Risk Factors beginning on page PS-8 of the accompanying product supplement no. 4a-I and
Risk Factors beginning on page US-2 of the accompanying underlying supplement no. 1a-I. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the Trigger PLUS.
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The Trigger PLUS do not pay interest or guarantee the return of any principal and your investment in the Trigger PLUS may result in a loss. The terms of the Trigger PLUS differ from those of ordinary debt
securities in that the Trigger PLUS do not pay interest or guarantee the payment of any principal amount at maturity. If the final basket value is less than the trigger level (which is 85% of the initial basket value), the payment at maturity will
be an amount in cash that is over 15% less than the stated principal amount of each Trigger PLUS and this decrease will be by an amount that is proportionate to the decrease in the value of the basket and may be zero. There is no minimum payment at
maturity on the Trigger PLUS, and, accordingly, you could lose your entire initial investment in the Trigger PLUS. |
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The appreciation potential of the Trigger PLUS is limited by the maximum payment at maturity. The appreciation potential of the Trigger PLUS is limited by the maximum payment at maturity of at least $13.50 (at
least 135.00% of the stated principal amount) per Trigger PLUS. The actual maximum payment at maturity will be provided in the pricing supplement. Because the maximum payment at maturity will be limited to at least 135.00% of the stated principal
amount for the Trigger PLUS, any increase in the final basket value by more than 17.50% (if the maximum payment at maturity is set at 135.00% of the stated principal amount) will not further increase the return on the Trigger PLUS.
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The Trigger PLUS are subject to the credit risk of JPMorgan Chase & Co., and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the Trigger
PLUS. Investors are dependent on JPMorgan Chase & Co.s ability to pay all amounts due on the Trigger PLUS. Any actual or anticipated decline in our credit ratings or increase in the credit spreads determined by the market for
taking our credit risk is likely to adversely affect the market value of the Trigger PLUS. If we were to default on our payment obligations, you may not receive any amounts owed to you under the Trigger PLUS and you could lose your entire
investment. |
§ |
|
Economic interests of the issuer, the calculation agent, the agent of the offering of the Trigger PLUS and other affiliates of the issuer may be different from those of investors. We and our affiliates play a
variety of roles in connection with the issuance of the Trigger PLUS, including acting as calculation agent and as an agent of the offering of the Trigger PLUS, hedging our obligations under the Trigger PLUS and making the assumptions used to
determine the pricing of the Trigger PLUS and the estimated value of the Trigger PLUS, which we refer to as JPMSs 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 Trigger PLUS. The calculation agent will determine the final basket value and will calculate the amount of payment you will receive at maturity, if any.
Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor to any underlying index, calculation of the final index value of any underlying index
in the event of a discontinuation or material change in method of calculation of that underlying index, may affect the payment to you at maturity. In addition, we are currently one of the companies that make up the SPX Index. We will not have any
obligation to consider your interests as a holder of the Trigger PLUS in taking any corporate action that might affect the value of the SPX Index or the Trigger PLUS. |
Moreover, 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 Trigger PLUS and the value of the Trigger PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with the Trigger PLUS could result in substantial returns for us or our
affiliates while the value of the Trigger PLUS 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.
§ |
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Correlation (or lack of correlation) of performances among the underlying indices may reduce the performance of the basket, and changes in the values of the
underlying indices may offset each other. The Trigger PLUS are linked to an equally weighted basket consisting of the underlying indices. Movements and performances of the underlying indices may or may not be correlated with each other. At a
time when the value of one or more of the underlying indices increases, the values of the other underlying indices may not increase as much or may decline. Therefore, in calculating the final basket
|
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
value, increases in the value of one or more of the underlying indices may be moderated, or more than offset, by the lesser increases or declines in the values of the other underlying indices. High correlation of movements in the
values of the underlying indices during periods of negative returns could have an adverse effect on your return on your investment. There can be no assurance that the final basket value will be greater than the initial basket value.
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JPMSs estimated value of the Trigger PLUS will be lower than the original issue price (price to public) of the Trigger PLUS. JPMSs estimated value is only an estimate using several factors. The
original issue price of the Trigger PLUS will exceed JPMSs estimated value because costs associated with selling, structuring and hedging the Trigger PLUS are included in the original issue price of the Trigger PLUS. These costs include the
selling commissions, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Trigger PLUS and the estimated cost of hedging our obligations under the
Trigger PLUS. See Additional Information about the Trigger PLUS JPMSs estimated value of the Trigger PLUS in this document. |
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JPMSs estimated value does not represent future values of the Trigger PLUS and may differ from others estimates. JPMSs estimated value of the Trigger PLUS is determined by reference to
JPMSs internal pricing models. This estimated value is based on market conditions and other relevant factors existing at the time of pricing and JPMSs assumptions about market parameters, which can include volatility, dividend rates,
interest rates and other factors. Different pricing models and assumptions could provide valuations for Trigger PLUS that are greater than or less than JPMSs 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 Trigger PLUS 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 Trigger PLUS from you in secondary market transactions. See Additional Information about the Trigger PLUS JPMSs estimated value of
the Trigger PLUS in this document. |
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JPMSs 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 JPMSs 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 Trigger PLUS as well as the higher issuance, operational and ongoing liability
management costs of the Trigger PLUS 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 Trigger
PLUS to be more favorable to you. In addition, JPMSs estimated value might be lower if it were based on the interest rate implied by our conventional fixed-rate credit spreads. Consequently, our use of an internal funding rate would have an
adverse effect on the terms of the Trigger PLUS and any secondary market prices of the Trigger PLUS. See Additional Information about the Trigger PLUS JPMSs estimated value of the Trigger PLUS in this document.
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The value of the Trigger PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than JPMSs then-current estimated value of the Trigger PLUS for a limited time
period. We generally expect that some of the costs included in the original issue price of the Trigger PLUS will be partially paid back to you in connection with any repurchases of your Trigger PLUS by JPMS in an amount that will decline to zero
over an initial predetermined period. These costs can include selling commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured
debt issuances. See Additional Information about the Trigger PLUS Secondary market prices of the Trigger PLUS in this document for additional information relating to this initial period. Accordingly, the estimated value of your
Trigger PLUS during this initial period may be lower than the value of the Trigger PLUS as published by JPMS (and which may be shown on your customer account statements). |
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Secondary market prices of the Trigger PLUS will likely be lower than the original issue price of the Trigger PLUS. Any secondary market prices of the
Trigger PLUS will likely be lower than the original issue price of the Trigger PLUS 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 the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the Trigger PLUS. As a result, the
price, if any, at which JPMS will be willing to buy Trigger PLUS 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
|
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
maturity date could result in a substantial loss to you. See the immediately following risk factor for information about additional factors that will
impact any secondary market prices of the Trigger PLUS.
The Trigger PLUS are not designed to be short-term trading instruments. Accordingly, you
should be able and willing to hold your Trigger PLUS to maturity. See Secondary trading may be limited below.
§ |
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Secondary market prices of the Trigger PLUS will be impacted by many economic and market factors. The secondary market price of the Trigger PLUS 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the values of the underlying indices, including: |
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any actual or potential change in our creditworthiness or credit spreads; |
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customary bid-ask spreads for similarly sized trades; |
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secondary market credit spreads for structured debt issuances; |
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the actual and expected volatility of the underlying indices; |
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the time to maturity of the Trigger PLUS; |
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dividend rates on the equity securities included in the underlying indices; |
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the actual and expected positive or negative correlation among the underlying indices, or the actual and expected absence of any such correlation; |
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interest and yield rates in the market generally; |
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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 underlying indices trade and the correlation among those
rates and the values of the underlying indices; and |
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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 Trigger PLUS, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the Trigger PLUS, if
any, at which JPMS may be willing to purchase your Trigger PLUS in the secondary market.
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Investing in the Trigger PLUS is not equivalent to investing in the basket or the underlying indices. Investing in the Trigger PLUS is not equivalent to investing in the basket, the underlying indices or
their component stocks. Investors in the Trigger PLUS will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the stocks that constitute any underlying index. |
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Adjustments to any underlying index could adversely affect the value of the Trigger PLUS. The publisher for any underlying index may discontinue or suspend calculation or publication of that underlying index at
any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to any discontinued underlying index and is not precluded from considering indices that are calculated and
published by the calculation agent or any of its affiliates. |
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The Trigger PLUS are subject to risks associated with securities issued by non-U.S. companies with respect to the SX5E Index and the TPX Index. The equity securities included in the SX5E Index and the TPX Index
have been issued by non-U.S. companies. Investments in Trigger PLUS 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, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities
trading rules different from those applicable to U.S. reporting companies. |
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The Trigger PLUS are not directly exposed to fluctuations in foreign exchange rates with respect to the SX5E Index and the TPX Index. The value of your
Trigger PLUS will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
the SX5E Index and the TPX Index are based, although any currency fluctuations could affect the performance of the SX5E Index and the TPX Index.
Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the Trigger PLUS, you will not receive any additional payment or incur any reduction in any payment on the Trigger PLUS.
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Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the Trigger PLUS. The hedging or trading activities of the issuers affiliates and of any other hedging
counterparty with respect to the Trigger PLUS on or prior to the pricing date and prior to maturity could adversely affect the values of the underlying indices and, as a result, could decrease the amount an investor may receive on the Trigger PLUS
at maturity, if any. Any of these hedging or trading activities on or prior to the pricing date could potentially affect the initial index value of an underlying index and, therefore, could potentially increase the level that the final index value
of an underlying index must reach before you receive a payment at maturity that exceeds the issue price of the Trigger PLUS or so that you do not suffer a loss on your initial investment in the Trigger PLUS. Additionally, these hedging or trading
activities during the term of the Trigger PLUS, including on the valuation date, could adversely affect the final basket value and, accordingly, the amount of cash an investor will receive at maturity. It is possible that these hedging or trading
activities could result in substantial returns for us or our affiliates while the value of the Trigger PLUS declines. |
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Secondary trading may be limited. The Trigger PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Trigger PLUS. Even if there is a secondary market, it may
not provide enough liquidity to allow you to trade or sell the Trigger PLUS easily. JPMS may act as a market maker for the Trigger PLUS, but is not required to do so. Because we do not expect that other market makers will participate significantly
in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely to depend on the price, if any, at which JPMS is willing to buy the Trigger PLUS. If at any time JPMS or another agent does not act
as a market maker, it is likely that there would be little or no secondary market for the Trigger PLUS. |
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The final terms and valuation of the Trigger PLUS will be provided in the pricing supplement. The final terms of the Trigger PLUS will be provided in the pricing supplement. In particular, each of
JPMSs estimated value and the maximum payment at maturity will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this document. Accordingly, you should consider your potential
investment in the Trigger PLUS based on the minimums for JPMSs estimated value and the maximum payment at maturity. |
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The tax consequences of an investment in the Trigger PLUS are uncertain. There is no direct legal authority as to the proper U.S. federal income tax
characterization of the Trigger PLUS, and we do not intend to request a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of the Trigger PLUS described in Additional Information about the Trigger PLUS
Additional Provisions Tax considerations in this document and in Material U.S. Federal Income Tax Consequences in the accompanying product supplement no. 4a-I. If the IRS were successful in asserting an alternative
treatment for the Trigger PLUS, the timing and character of any income or loss on the Trigger PLUS could differ materially and adversely from our description herein. In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if
any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime, which very generally
can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Trigger PLUS, possibly with retroactive effect. You should review carefully the section entitled Material U.S.
Federal Income Tax Consequences in the accompanying |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
product supplement no. 4a-I and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Trigger PLUS, including possible alternative treatments and the issues presented by this notice.
|
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Basket Overview
The basket is an equally weighted
basket composed of three indices.
Underlying indices
The S&P 500® Index. The S&P 500® Index,
which is calculated, maintained and published by S&P Dow Jones Indices LLC, consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based on the relative value of the float adjusted aggregate market capitalization of 500 component companies as of a particular time as compared to the aggregate average market
capitalization of the 500 similar companies during the base period of the years 1941 through 1943. For additional information on 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. The EURO STOXX 50®
Index consists of 50 component stocks of market sector leaders from within the Eurozone. For additional information on 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.
The TOPIX® Index. The TOPIX® Index, also known
as the Tokyo Stock Price Index, is a capitalization weighted index of all the Japanese common stocks listed on the First Section of the Tokyo Stock Exchange, Inc., which we refer to as the TSE. Japanese stocks admitted to the TSE are
assigned either to the TSE First Section, the TSE Second Section or the TSE Mothers. Stocks listed in the First Section, which number approximately 1,800, are among the most actively traded stocks on the TSE. For additional information about the
TOPIX® Index, see Equity Index Descriptions The TOPIX® Index in the accompanying underlying supplement no 1a-I.
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Underlying index information as of July 29, 2015
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Bloomberg Ticker Symbol |
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Current Closing Level |
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52 Weeks Ago |
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52 Week High |
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52 Week Low |
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Basket weighting |
The S&P 500® Index |
|
SPX |
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2,108.57 |
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1,969.95 (on 7/29/2014) |
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2,130.82 (on 5/21/2015) |
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1,862.49 (on 10/15/2014) |
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1/3 |
The EURO STOXX® 50 Index |
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SX5E |
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3,575.53 |
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3,190.54 (on 7/29/2014) |
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3,828.78 (on 4/13/2015) |
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2,874.65 (on 10/16/2014) |
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1/3 |
The TOPIX® Index |
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TPX |
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1,633.94 |
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1,290.41 (on 7/29/2014) |
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1,679.89 (on 6/24/2015) |
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1,177.22 (on 10/17/2014) |
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1/3 |
The following graph is calculated to show the performance of the basket during the period from January 4, 2010 through
July 29, 2015, assuming the underlying indices are weighted as set out above such that the initial basket value was 100 on January 4, 2010 and illustrates the effect of the offset and/or correlation among the underlying indices during that
period. The graph does not take into account the leverage factor on the Trigger PLUS or the maximum payment at maturity, nor does it attempt to show your expected return on an investment in the Trigger PLUS. You cannot predict the future performance
of any underlying index or of the basket as a whole, or whether increases in the value of any underlying index will be offset by decreases in the values of the other underlying indices. The historical value performance of the basket and the degree
of correlation between the value trends of the underlying indices (or lack thereof) should not be taken as an indication of its future performance.
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The following graphs set forth the official daily values, for each of the underlying indices for the period from January 4,
2010 through July 29, 2015. The related tables set forth the published high and low, as well as end-of-quarter, closing levels for each underlying index for each quarter in the same period. The closing levels on July 29, 2015 were, in the
case of the SPX Index, 2,108.57, in the case of the SX5E Index, 3,575.53 and in the case of the TPX Index, 1,633.94. We obtained the closing level information above and the information in the tables and graphs from Bloomberg Professional® service (Bloomberg), without independent verification. The historical values and historical performance of the underlying indices should not be taken as an indication of future
performance, and no assurance can be given as to the closing levels of the underlying indices and the closing value of the basket on the valuation date. We cannot give you any assurance that the basket will appreciate over the term of the Trigger
PLUS so that you do not suffer a loss on your initial investment in the Trigger PLUS.
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
License Agreement between S&P Dow Jones Indices LLC and JPMorgan Chase & Co. Standard &
Poors®, S&P®, S&P 500® and
Standard & Poors 500 are trademarks of Standard & Poors Financial Services LLC and have been licensed for use by JPMorgan Chase & Co. and its affiliates. See Equity Index Descriptions
The S&P 500® Index License Agreement with S&P Dow Jones Indices LLC in the accompanying underlying supplement no. 1a-I.
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S&P 500® Index |
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High |
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Low |
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Period End |
2010 |
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First
Quarter |
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1,174.17 |
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1,056.74 |
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1,169.43 |
Second
Quarter |
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1,217.28 |
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1,030.71 |
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1,030.71 |
Third
Quarter |
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1,148.67 |
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1,022.58 |
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1,141.20 |
Fourth
Quarter |
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1,259.78 |
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1,137.03 |
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1,257.64 |
2011 |
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First
Quarter |
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1,343.01 |
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1,256.88 |
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1,325.83 |
Second
Quarter |
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1,363.61 |
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1,265.42 |
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1,320.64 |
Third
Quarter |
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1,353.22 |
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1,119.46 |
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1,131.42 |
Fourth
Quarter |
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1,285.09 |
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1,099.23 |
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1,257.60 |
2012 |
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First
Quarter |
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1,416.51 |
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1,277.06 |
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1,408.47 |
Second
Quarter |
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1,419.04 |
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1,278.04 |
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1,362.16 |
Third
Quarter |
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1,465.77 |
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1,334.76 |
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1,440.67 |
Fourth
Quarter |
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1,461.40 |
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1,353.33 |
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1,426.19 |
2013 |
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First
Quarter |
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1,569.19 |
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1,457.15 |
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1,569.19 |
Second
Quarter |
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1,669.16 |
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1,541.61 |
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1,606.28 |
Third
Quarter |
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1,725.52 |
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1,614.08 |
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1,681.55 |
Fourth
Quarter |
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1,848.36 |
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1,655.45 |
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1,848.36 |
2014 |
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First
Quarter |
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1,878.04 |
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1,741.89 |
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1,872.34 |
Second
Quarter |
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1,962.87 |
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1,815.69 |
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1,960.23 |
Third
Quarter |
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2,011.36 |
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1,909.57 |
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1,972.29 |
Fourth
Quarter |
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2,090.57 |
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1,862.49 |
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2,058.90 |
2015 |
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First
Quarter |
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2,117.39 |
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1,992.67 |
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2,067.89 |
Second
Quarter |
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2,130.82 |
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2,057.64 |
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2,063.11 |
Third Quarter
(through July 29, 2015) |
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2,128.28 |
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2,046.68 |
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2,108.57 |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
License Agreement between STOXX Limited and an affiliate of J.P. Morgan Chase & Co. 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 securities 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. See Equity Index Descriptions The EURO STOXX 50® Index
License Agreement with STOXX Limited in the accompanying underlying supplement no. 1a-I.
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EURO STOXX 50® Index |
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High |
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Low |
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Period End |
2010 |
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First
Quarter |
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3,017.85 |
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2,631.64 |
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2,931.16 |
Second
Quarter |
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3,012.65 |
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2,488.50 |
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2,573.32 |
Third
Quarter |
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2,827.27 |
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2,507.83 |
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2,747.90 |
Fourth
Quarter |
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2,890.64 |
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2,650.99 |
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2,792.82 |
2011 |
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First
Quarter |
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3,068.00 |
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2,721.24 |
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2,910.91 |
Second
Quarter |
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3,011.25 |
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2,715.88 |
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2,848.53 |
Third
Quarter |
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2,875.67 |
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1,995.01 |
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2,179.66 |
Fourth
Quarter |
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2,476.92 |
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2,090.25 |
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2,316.55 |
2012 |
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First
Quarter |
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2,608.42 |
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2,286.45 |
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2,477.28 |
Second
Quarter |
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2,501.18 |
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2,068.66 |
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2,264.72 |
Third
Quarter |
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2,594.56 |
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2,151.54 |
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2,454.26 |
Fourth
Quarter |
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2,659.95 |
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2,427.32 |
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2,635.93 |
2013 |
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First
Quarter |
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2,749.27 |
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2,570.52 |
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2,624.02 |
Second
Quarter |
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2,835.87 |
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2,511.83 |
|
2,602.59 |
Third
Quarter |
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2,936.20 |
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2,570.76 |
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2,893.15 |
Fourth
Quarter |
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3,111.37 |
|
2,902.12 |
|
3,109.00 |
2014 |
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First
Quarter |
|
3,172.43 |
|
2,962.49 |
|
3,161.60 |
Second
Quarter |
|
3,314.80 |
|
3,091.52 |
|
3,228.24 |
Third
Quarter |
|
3,289.75 |
|
3,006.83 |
|
3,225.93 |
Fourth
Quarter |
|
3,277.38 |
|
2,874.65 |
|
3,146.43 |
2015 |
|
|
|
|
|
|
First
Quarter |
|
3,731.35 |
|
3,007.91 |
|
3,697.38 |
Second
Quarter |
|
3,828.78 |
|
3,424.30 |
|
3,424.30 |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
|
|
|
|
|
EURO STOXX 50® Index |
|
High |
|
Low |
|
Period End |
Third Quarter
(through July 29, 2015) |
|
3,686.58 |
|
3,294.19 |
|
3,575.53 |
|
|
|
|
|
|
|
TOPIX® Index |
|
High |
|
Low |
|
Period End |
2010 |
|
|
|
|
|
|
First
Quarter |
|
979.58 |
|
881.57 |
|
978.81 |
Second
Quarter |
|
998.90 |
|
841.42 |
|
841.42 |
Third
Quarter |
|
870.73 |
|
804.67 |
|
829.51 |
Fourth
Quarter |
|
908.01 |
|
803.12 |
|
898.80 |
2011 |
|
|
|
|
|
|
First
Quarter |
|
974.63 |
|
766.73 |
|
869.38 |
Second
Quarter |
|
865.55 |
|
805.34 |
|
849.22 |
Third
Quarter |
|
874.34 |
|
728.85 |
|
761.17 |
Fourth
Quarter |
|
771.43 |
|
706.08 |
|
728.61 |
2012 |
|
|
|
|
|
|
First
Quarter |
|
872.42 |
|
725.24 |
|
854.35 |
Second
Quarter |
|
856.05 |
|
695.51 |
|
770.08 |
Third
Quarter |
|
778.70 |
|
706.46 |
|
737.42 |
Fourth
Quarter |
|
859.80 |
|
713.95 |
|
859.80 |
2013 |
|
|
|
|
|
|
First
Quarter |
|
1,058.10 |
|
871.88 |
|
1,034.71 |
Second
Quarter |
|
1,276.03 |
|
991.34 |
|
1,133.84 |
Third
Quarter |
|
1,222.72 |
|
1,106.05 |
|
1,194.10 |
Fourth
Quarter |
|
1,302.29 |
|
1,147.58 |
|
1,302.29 |
2014 |
|
|
|
|
|
|
First
Quarter |
|
1,306.23 |
|
1,139.27 |
|
1,202.89 |
Second
Quarter |
|
1,269.04 |
|
1,132.76 |
|
1,262.56 |
Third
Quarter |
|
1,346.43 |
|
1,228.26 |
|
1,326.29 |
Fourth
Quarter |
|
1,447.58 |
|
1,177.22 |
|
1,407.51 |
2015 |
|
|
|
|
|
|
First
Quarter |
|
1,592.25 |
|
1,357.98 |
|
1,543.11 |
Second
Quarter |
|
1,679.89 |
|
1,528.99 |
|
1,630.40 |
Third Quarter
(through July 29, 2015) |
|
1,673.88 |
|
1,579.89 |
|
1,633.94 |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the Trigger PLUS
Please
read this information in conjunction with the summary terms on the front cover of this document.
|
|
|
Additional Provisions: |
|
|
Postponement of maturity date: |
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is
not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the
third business day following the valuation date as postponed. |
Minimum ticketing size: |
|
$1,000 / 100 Trigger PLUS |
Trustee: |
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation agent: |
|
JPMS |
JPMSs estimated value of the Trigger PLUS: |
|
JPMSs estimated value of the Trigger PLUS set forth on the cover of this document 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 Trigger PLUS, valued using our internal funding rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of
the Trigger PLUS. JPMSs estimated value does not represent a minimum price at which JPMS would be willing to buy your Trigger PLUS in any secondary market (if any exists) at any time. The internal funding rate used in the determination of
JPMSs estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. For additional information, see Risk Factors JPMSs 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 Trigger PLUS is derived from JPMSs 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, JPMSs estimated value of the Trigger PLUS on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See Risk Factors
JPMSs estimated value does not represent future values of the Trigger PLUS and may differ from others estimates.
JPMSs estimated value of the Trigger PLUS will be lower than the original issue price of the Trigger PLUS because costs associated with selling, structuring and
hedging the Trigger PLUS are included in the original issue price of the Trigger PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring fee, the projected profits, if any, that
our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Trigger PLUS and the estimated cost of hedging our obligations under the Trigger PLUS. 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 Trigger PLUS. See Risk Factors JPMSs estimated value of the Trigger PLUS will be lower than the original issue price (price to public) of the Trigger PLUS in this document.
|
Secondary market prices of the Trigger PLUS: |
|
For information about factors that will impact any secondary market prices of the Trigger PLUS, see Risk Factors Secondary market prices
of the Trigger PLUS will be impacted by many economic and market factors in this document. In addition, we generally expect that some of the costs included in the original issue price of the Trigger PLUS will be partially paid back to you in
connection with any repurchases of your Trigger PLUS 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 Trigger PLUS. The length
of any such initial period reflects the structure of the Trigger PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Trigger PLUS and when these costs are incurred, as
determined by JPMS. See Risk Factors The value of the Trigger PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than JPMSs then-current estimated value of the Trigger PLUS for a
limited time period. |
Tax considerations: |
|
You should review carefully the section entitled Material U.S. Federal Income Tax Consequences in the accompanying product supplement
no. 4a-I. The following discussion, when read in combination with that section, constitutes the full opinion of our |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
|
|
|
special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the
Trigger PLUS. Based on current market conditions, in the opinion of our special tax counsel,
your Trigger PLUS should be treated as open transactions that are not debt instruments for U.S. federal income tax purposes, as more fully described in Material U.S. Federal Income Tax Consequences Tax Consequences to U.S.
Holders Notes Treated as Open Transactions That Are Not Debt Instruments in the accompanying product supplement no. 4a-I. Assuming this treatment is respected, the gain or loss on your Trigger PLUS should be treated as long-term capital
gain or loss if you hold your Trigger PLUS for more than a year, whether or not you are an initial purchaser of Trigger PLUS at the issue price. However, the IRS or a court may not respect this treatment of the Trigger PLUS, in which case the timing
and character of any income or loss on the Trigger PLUS could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of prepaid forward
contracts and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the
character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized
by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime, which very generally can operate to recharacterize certain long-term capital gain as
ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could
materially and adversely affect the tax consequences of an investment in the Trigger PLUS, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Trigger PLUS,
including possible alternative treatments and the issues presented by this notice. Withholding
under legislation commonly referred to as FATCA may (if the Trigger PLUS are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the Trigger PLUS, as well as to the payment of gross proceeds of
a sale of a Trigger PLUS occurring after December 31, 2016 (including redemption at maturity). You should consult your tax adviser regarding the potential application of FATCA to the Trigger PLUS.
|
Supplemental use of proceeds and hedging: |
|
The Trigger PLUS are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the Trigger
PLUS. See How the Trigger PLUS Work in this document for an illustration of the risk-return profile of the Trigger PLUS and Basket Overview in this document for a description of the market exposure provided by the Trigger
PLUS. The original issue price of the Trigger PLUS is equal to JPMSs estimated value of
the Trigger PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the Trigger PLUS, plus the estimated cost of hedging our obligations under the Trigger PLUS. |
Benefit plan investor considerations: |
|
See Benefit Plan Investor Considerations in the accompanying product supplement no. 4a-I.
|
Supplemental plan of distribution: |
|
Subject to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase the Trigger PLUS in the secondary market, but is
not required to do so. JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth Management will receive a structuring fee
as set forth on the cover of this document for each Trigger PLUS. We or our affiliate may enter
into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Trigger PLUS and JPMS and/or an affiliate may earn additional income as a result of payments
pursuant to the swap or related hedge transactions. See Supplemental Use of proceeds and hedging above and Use of Proceeds and Hedging on page PS-42 of the accompanying product supplement no. 4a-I.
|
Contact: |
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanleys principal executive offices
at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326). |
Trigger
PLUS Based on the Performance of an Equally Weighted Basket of Two Indices and an Exchange-Traded Fund due September 6, 2018
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
|
Where you can find more information: |
|
JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the SEC for the offering to which these preliminary terms
relate. 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 communication if you so request by calling toll-free (800)-869-3326.
You may revoke your offer to purchase the Trigger PLUS 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 Trigger PLUS prior to their issuance. In the event of any changes to the terms of the Trigger PLUS, 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 document 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 Trigger PLUS 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 document, together with the documents listed below, contains the terms of the Trigger PLUS 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, stand-alone 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 Trigger PLUS 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 Trigger
PLUS. 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
Underlying supplement no. 1a-I dated November 7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008410/e61337_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 document, we, us, and our refer to JPMorgan
Chase & Co. Performance Leveraged Upside SecuritiesSM and PLUSSM are service marks of Morgan Stanley. |
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