Term sheet
To prospectus dated November 7, 2014,
prospectus supplement dated November 7, 2014 and
product supplement no. 4a-I dated November 7, 2014 |
Term Sheet to
Product Supplement No. 4a-I
Registration Statement No.
333-199966
Dated November 27, 2015; Rule 433
|
Structured
Investments |
$
Digital Dual Directional Contingent Buffered
Notes Linked to the Common Stock of J.C. Penney Company, Inc. due December 14, 2016
|
General
| · | The
notes are designed for investors who seek a fixed return of 19.00% if the Final Stock Price is greater than or equal to the Initial
Stock Price or is less than the Initial Stock Price by up to 35%. |
| · | Investors
should be willing to forgo interest and dividend payments and, if the Final Stock Price is less than the Initial Stock Price by
more than 35%, be willing to lose some or all of their principal amount at maturity. |
| · | 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. |
| · | Minimum
denominations of $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
Reference Stock: |
The common stock of J.C. Penney Company, Inc., par value $0.50 per share (Bloomberg ticker: JCP). We refer to J.C. Penney Company, Inc. as “J.C. Penney.” |
Payment at Maturity:
|
If the Final Stock Price is greater than or equal to the Initial Stock Price or is less than the Initial Stock Price by up to the Contingent Buffer Amount, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Contingent Digital Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + ($1,000 × Contingent Digital Return) |
|
If the Final Stock Price is less than the Initial Stock Price by more than the Contingent Buffer Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Stock Price is less than the Initial Stock Price. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + ($1,000 × Stock Return) |
|
If the Final Stock Price is less than the Initial Stock Price by more than the Contingent Buffer Amount of 35%, you will lose more than 35% of your principal amount at maturity and may lose all of your principal amount at maturity. |
Contingent Digital Return: |
19.00%, which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity per $1,000 principal amount note is $1,190. |
Contingent Buffer Amount: |
35% |
Stock Return: |
(Final Stock Price – Initial
Stock Price)
Initial Stock Price |
Initial Stock Price: |
The closing price of one share of the Reference Stock on the Pricing Date |
|
Final Stock Price: |
The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates |
Stock Adjustment Factor: |
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 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-I for further information. |
Pricing Date |
On or about November 27, 2015 |
Original Issue Date (Settlement Date): |
On or about December 2, 2015 |
Ending Averaging Dates*: |
December 5, 2016, December 6, 2016, December 7, 2016, December 8, 2016 and December 9, 2016 |
Maturity Date*: |
December 14, 2016 |
CUSIP: |
48128GFD7 |
| * | 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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-I 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. In no event will these selling commissions exceed $10.00 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 $937.60 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 $927.60 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.
November 27, 2015
Additional Terms Specific
to the Notes
JPMorgan Chase & Co. has filed a registration
statement (including a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should
read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase &
Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents
without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer
participating in this offering will arrange to send you the prospectus, the prospectus supplement, product supplement no. 4a-I
and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the
notes at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change
the terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the
notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to
reject such changes, in which case we may reject your offer to purchase.
You should read this term sheet together with
the prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014 relating to our Series E medium-term
notes, of which these notes are a part, and the more detailed information contained in product supplement no. 4a-I dated November
7, 2014. 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):
| · | 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.
JPMorgan Structured Investments — | TS- 1 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, Inc. | |
What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock?
The following table and examples illustrate
the hypothetical total return and the hypothetical payment at maturity on the notes. The “total return” as used in
this term sheet is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal
amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes an Initial Stock Price of
$8.30 and reflects the Contingent Buffer Amount of 35% and the Contingent Digital Return of 19.00%. Each hypothetical total return
or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded
for ease of analysis.
Final
Stock Price |
Stock
Return |
Total
Return |
$14.94000 |
80.00% |
19.00% |
$13.69500 |
65.00% |
19.00% |
$12.45000 |
50.00% |
19.00% |
$11.62000 |
40.00% |
19.00% |
$10.79000 |
30.00% |
19.00% |
$9.96000 |
20.00% |
19.00% |
$9.54500 |
15.00% |
19.00% |
$9.13000 |
10.00% |
19.00% |
$8.71500 |
5.00% |
19.00% |
$8.50750 |
2.50% |
19.00% |
$8.30000 |
0.00% |
19.00% |
$8.09250 |
-2.50% |
19.00% |
$7.88500 |
-5.00% |
19.00% |
$7.47000 |
-10.00% |
19.00% |
$6.64000 |
-20.00% |
19.00% |
$6.22500 |
-25.00% |
19.00% |
$5.81000 |
-30.00% |
19.00% |
$5.39500 |
-35.00% |
19.00% |
$5.39417 |
-35.01% |
-35.01% |
$4.15000 |
-50.00% |
-50.00% |
$3.32000 |
-60.00% |
-60.00% |
$2.49000 |
-70.00% |
-70.00% |
$1.66000 |
-80.00% |
-80.00% |
$0.83000 |
-90.00% |
-90.00% |
$0.00000 |
-100.00% |
-100.00% |
JPMorgan Structured Investments — | TS- 2 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, Inc. | |
Hypothetical Examples of
Amount Payable at Maturity
The following examples illustrate how the total
payment at maturity in different hypothetical scenarios is calculated.
Example 1: The price of one share of the
Reference Stock increases from the Initial Stock Price of $8.30 to a Final Stock Price of $8.715.
Because the Final Stock Price of $8.715 is greater
than the Initial Stock Price of $8.30, regardless of the Stock Return, the investor receives a payment at maturity of $1,190 per
$1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
19.00%) = $1,190
Example 2: The price of one share of the
Reference Stock decreases from the Initial Stock Price of $8.30 to a Final Stock Price of $5.395.
Although the Stock Return is negative, because
the Final Stock Price of $5.395 is less than the Initial Stock Price of $8.30 by up to the Contingent Buffer Amount of 35%, the
investor receives a payment at maturity of $1,190 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
19.00%) = $1,190
Example 3: The price of one share of the
Reference Stock increases from the Initial Stock Price of $8.30 to a Final Stock Price of $11.62.
Because the Final Stock Price of $11.62 is greater
than the Initial Stock Price of $8.30 and although the Stock Return of 40% exceeds the Contingent Digital Return of 19.00%, the
investor is entitled to only the Contingent Digital Return and receives a payment at maturity of $1,190 per $1,000 principal amount
note, calculated as follows:
$1,000 + ($1,000 ×
19.00%) = $1,190
Example 4: The closing price of one share
of the Reference Stock decreases from the Initial Stock Price of $8.30 to a Final Stock Price of $4.15.
Because the Final Stock Price of $4.15 is less
than the Initial Stock Price of $8.30 by more than the Contingent Buffer Amount of 35% and the Stock Return is -50%, the investor
receives a payment at maturity of $500 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
-50%) = $500
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect 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.
JPMorgan Structured Investments — | TS- 3 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, Inc. | |
Selected Purchase Considerations
| · | FIXED
APPRECIATION POTENTIAL — If the Final Stock Price is greater than or equal to the Initial Stock Price or is less than
the Initial Stock Price by up to the Contingent Buffer Amount, you will receive a fixed return equal to the Contingent Digital
Return of 19.00% at maturity, which also reflects the maximum return on the notes at maturity. Because the notes are our unsecured
and unsubordinated obligations, payment of any amount on the notes is subject to our ability to pay our obligations as they become
due. |
| · | LIMITED
PROTECTION AGAINST LOSS — We will pay you your principal back at maturity if the Final Stock Price is greater than or
equal to the Initial Stock Price or is less than the Initial Stock Price by up to the Contingent Buffer Amount of 35%. If the
Final Stock Price is less than the Initial Stock Price by more than the Contingent Buffer Amount, for every 1% that the Final
Stock Price is less than the Initial Stock Price, you will lose an amount equal to 1% of the principal amount of your notes. Under
these circumstances, you will lose more than 35% of your principal amount at maturity and may lose all of your principal amount
at maturity. |
| · | RETURN
DEPENDENT ON A SINGLE REFERENCE STOCK — The return on the notes is linked to the performance of a single Reference Stock,
which is the common stock of J.C. Penney. For additional information see “The Reference Stock” in this term sheet. |
| · | TAX
TREATMENT — 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 special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences
of owning and disposing of notes. |
Based on current market conditions, in the opinion
of our special tax counsel it is reasonable to treat the notes 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 notes should be treated as long-term
capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or a court may not respect this treatment, 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 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 notes, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by this notice.
Withholding under legislation
commonly referred to as “FATCA” may apply to amounts treated as interest paid with respect to the notes, if they are
recharacterized as debt instruments. You should consult your tax adviser regarding the potential application of FATCA 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”
will not apply to the notes.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more
detail in the “Risk Factors” section of the accompanying product supplement no. 4a-I.
| · | YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the
notes at maturity is dependent on the performance of the Reference Stock and will depend on whether, and the extent to which,
the Final Stock Price is less than the Initial Stock Price. Your investment will be exposed to a loss if the Final Stock Price
is less than the Initial Stock Price by more than the Contingent Buffer Amount. In this case, for every 1% that the Final Stock
Price is less than the Initial Stock Price, you will lose an amount equal to 1% of the principal amount of your notes. Under these
circumstances, you will lose more than 35% of your principal amount at maturity and may lose all of your principal amount at maturity. |
| · | YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN — If
the Final Stock Price is greater than or equal to the Initial Stock Price or is less than the Initial Stock Price by up to the
Contingent Buffer Amount, for each $1,000 principal amount note, you will receive at maturity $1,000 plus an additional
return equal to the Contingent Digital Return of 19.00%, regardless of the appreciation in the Reference Stock, which may be significant. |
| · | YOUR
ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Final Stock
Price is less than the Initial Stock Price by more than the Contingent Buffer Amount, you will not be entitled to receive the
Contingent Digital Return at maturity. Under these circumstances, |
JPMorgan Structured Investments — | TS- 4 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, Inc. | |
you will lose more than 35% of your
principal amount at maturity and may lose all of your principal amount at maturity.
| · | CREDIT
RISK OF JPMORGAN CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit
ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on JPMorgan Chase &
Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or credit spreads,
as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If we were
to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire
investment. |
| · | POTENTIAL
CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting
as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we
refer to as JPMS’s estimated value. In performing these duties, our economic interests and the economic interests of the
calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition,
our business activities, including hedging and trading activities, could cause our economic interests to be adverse to yours and
could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the
accompanying product supplement no. 4a-I for additional information about these risks. |
We and/or our affiliates may
also currently or from time to time engage in business with J.C. Penney, including extending loans to, or making equity investments
in, J.C. Penney or providing advisory services to J.C. Penney. In addition, one or more of our affiliates may publish research
reports or otherwise express opinions with respect to J.C. Penney, and these reports may or may not recommend that investors buy
or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an independent investigation of the
Reference Stock issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.
| · | THE
BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE— If the Final Stock
Price is less than the Initial Stock Price by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer
Amount will terminate and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock. |
| · | JPMS’S
ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s
estimated value is only an estimate using several factors. The original issue price of the notes will exceed JPMS’s estimated
value because costs associated with selling, structuring and hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See
“JPMS’s Estimated Value of the Notes” in this term sheet. |
| · | JPMS’S
ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — JPMS’s
estimated value of the notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are
set. This estimated value is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions
about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models
and assumptions could provide valuations for notes that are greater than or less than JPMS’s estimated value. In addition,
market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy
notes from you in secondary market transactions. See “JPMS’s Estimated Value of the Notes” in this term sheet. |
| · | JPMS’S
ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal
funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes
as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for
our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads,
we would expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate
would have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated
Value of the Notes” in this term sheet. |
| · | THE
VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances.
See “Secondary Market Prices of the Notes” in this term sheet for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as
published by JPMS (and which may be shown on your customer account statements). |
JPMorgan Structured Investments — | TS- 5 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, 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 notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information about
additional factors that will impact any secondary market prices of the notes. |
The notes are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “—
Lack of Liquidity” below.
| · | SECONDARY
MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the
notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and price of one share of the Reference
Stock, including: |
| · | any
actual or potential change in our creditworthiness or credit spreads; |
| · | customary
bid-ask spreads for similarly sized trades; |
| · | secondary
market credit spreads for structured debt issuances; |
| · | the
actual and expected volatility in the closing price of the Reference Stock; |
| · | the
time to maturity of the notes; |
| · | the
dividend rate on the Reference Stock; |
| · | interest
and yield rates in the market generally; |
| · | the
occurrence of certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock
Adjustment Factor, including a merger or acquisition; and |
| · | a
variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market.
| · | NO
OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK — As a holder of the notes, you will not have any ownership interest
or rights in the Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock will
not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the
value of the Reference Stock and the notes. |
| · | NO
AFFILIATION WITH THE REFERENCE STOCK ISSUER — We are not affiliated with the issuer of the Reference Stock. We assume
no responsibility for the adequacy 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. |
| · | SINGLE
STOCK RISK — The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its
issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels,
interest rates and economic and political conditions. |
| · | NO
INTEREST PAYMENTS — As a holder of the notes, you will not receive any interest payments. |
| · | VOLATILITY
RISK — Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of the Pricing
Date that the Reference Stock could close below the Initial Stock Price by more than the Contingent Buffer Amount on one or more
Ending Averaging Dates. The Reference Stock’s volatility, however, can change significantly over the term of the notes.
The closing price of one share of the Reference Stock could fall sharply at any time during the term of the notes, which could
result in a significant loss of principal. |
| · | LACK
OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes
in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes,
the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy
the notes. |
| · | THE
ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make
adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation
agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does
not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You
should also be aware that 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
FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will
be based on relevant market conditions when the terms of the notes are set and will be provided in the pricing supplement. In
particular, JPMS’s estimated value will be provided in the pricing supplement and may be as low as the minimum for JPMS’s
estimated value set forth on |
JPMorgan Structured Investments — | TS- 6 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, Inc. | |
the cover of this term sheet.
Accordingly, you should consider your potential investment in the notes based on the minimum for JPMS’s estimated value.
JPMorgan Structured Investments — | TS- 7 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, Inc. | |
The Reference
Stock
Public Information
All information contained
herein on the Reference Stock and on J.C. Penney is derived from publicly available sources and is provided for informational purposes
only. According to its publicly available filings with the SEC, J.C. Penney is a retailer whose business consists of selling merchandise
and services to consumers through its department stores and through its website. The common stock of J.C. Penney, par value $0.50
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 New York Stock Exchange, which we refer to as the relevant exchange for purposes of J.C. Penney in the accompanying product
supplement no. 4a-I. Information provided to or filed with the SEC by J.C. Penney pursuant to the Exchange Act can be located by
reference to SEC file number 001-15274, 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 Regarding
the Reference Stock
The following graph sets forth
the historical performance of the common stock of J.C. Penney based on the weekly historical closing prices of one share of the
common stock of J.C. Penney from January 8, 2010 through November 20, 2015. The closing price of one share of the common stock
of J.C. Penney on November 25, 2015 was $8.27. The U.S. equity markets were closed on November 26, 2015 in observance of the Thanksgiving
holiday. We obtained the closing prices above and below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the Reference
Stock has experienced significant fluctuations. The historical performance 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 or any Ending Averaging Date. We cannot give you assurance that the performance of the Reference Stock will result in the
return of any of your principal amount.
JPMS’s Estimated Value
of the Notes
JPMS’s estimated value of the notes set
forth on the cover of this term sheet is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using our internal funding rate for structured debt described below,
and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value does not represent
a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal
funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.” The value of the
derivative or derivatives underlying the economic terms of the notes is derived from JPMS’s internal pricing models. These
models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs,
some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well
as assumptions about future market events and/or environments. Accordingly, JPMS’s estimated value of the notes is determined
when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that time.
See “Selected Risk Considerations — JPMS’s Estimated Value Does Not Represent Future Values of the Notes and
May Differ from Others’ Estimates.”
JPMorgan Structured Investments — | TS- 8 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, Inc. | |
JPMS’s estimated value of the notes will
be lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations
entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less
than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our
obligations under the notes. See “Selected Risk Considerations — JPMS’s Estimated Value of the Notes Will Be
Lower Than the Original Issue Price (Price to Public) of the Notes” in this term sheet.
Secondary Market Prices of
the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes
Will Be Impacted by Many Economic and Market Factors” in this term sheet. In addition, we generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter
of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging
the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations — The Value of
the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than JPMS’s Then-Current
Estimated Value of the Notes for a Limited Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical Examples of
Amount Payable at Maturity” 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.
JPMorgan Structured Investments — | TS- 9 |
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of J.C. Penney Company, Inc. | |
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