May 21, 2015
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JPMorgan Chase & Co.
Structured Investments
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI Emerging Markets ETF due June 1, 2018 |
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Interest Review Date for which the closing value of each of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI Emerging Markets ETF, which we refer to as the Underlyings, is greater than or equal to 70.00% of its Initial Value, which we refer to as an Interest Barrier. |
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The notes will be automatically called if the closing value of each Underlying on any quarterly Autocall Review Date is greater than or equal to its Initial Value. |
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Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Interest Review Dates. |
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Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments. |
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co. |
· |
Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance of each of the Underlyings individually, as described below. |
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Minimum denominations of $1,000 and integral multiples thereof |
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The notes are expected to price on or about May 29, 2015 and are expected to settle on or about June 3, 2015. |
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CUSIP: 48125USR4 |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-I, “Risk Factors” beginning on
page US-2 of the accompanying underlying supplement no. 1a-I and “Selected Risk Considerations” beginning on page TS-4
of this term sheet.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
term sheet or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
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Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) See “Supplemental Use of Proceeds”
in this term sheet for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to other
affiliated or unaffiliated dealers. If the notes priced today, the selling commissions would be approximately $25.00 per $1,000
principal amount note and in no event will these selling commissions exceed $33.50 per $1,000 principal amount note. See “Plan
of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
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If the notes priced today, the estimated value of the notes
as determined by JPMS would be approximately $944.40 per $1,000 principal amount note. JPMS’s estimated value of the notes,
when the terms of the notes are set, will be provided by JPMS in the pricing supplement and will not be less than $930.00 per $1,000
principal amount note. See “JPMS’s Estimated Value of the Notes” in this term sheet for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Term sheet to product supplement no. 4a-I dated
November 7, 2014, underlying supplement no. 1a-I dated November 7, 2014
and the prospectus and prospectus supplement, each dated November 7, 2014
Registration Statement No. 333-199966; Rule 433
Key
Terms
Underlyings:
The S&P 500® Index (Bloomberg ticker: SPX)
and the Russell 2000® Index (Bloomberg ticker: RTY) (each, an “Index” and collectively, the “Indices”)
and the iShares® MSCI Emerging Markets ETF (Bloomberg ticker: EEM) (the “Fund”) (each of the Indices
and the Fund, an “Underlying” and collectively, the “Underlyings”)
Contingent Interest Payments:
If the notes have not been automatically called and the closing
value of each Underlying on any Interest Review Date is greater than or equal to its Interest Barrier, you will receive on the
applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to between $5.0000 and
$6.6667 (equivalent to a Contingent Interest Rate of between 6.00% and 8.00% per annum, payable at a rate of between 0.50000% and
0.66667% per month) (to be provided in the pricing supplement).
If the closing value of any Underlying on any Interest Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review Date.
Contingent Interest Rate:
Between 6.00% and 8.00% per
annum, payable at a rate of between 0.50000% and 0.66667% per month (to be provided in the pricing supplement)
Interest Barrier:
With respect to each Underlying, 70.00% of its Initial Value
Trigger Value:
With respect to each Underlying, 65.00% of its Initial Value
Pricing
Date: On or about May 29, 2015
Original Issue
Date (Settlement Date): On or about June 3, 2015
Interest Review
Dates*: June 29, 2015, July 29, 2015, August 31, 2015, September 29,
2015, October 29, 2015, November 30, 2015, December 29, 2015, January 29, 2016, February 29, 2016, March 29, 2016, April 29, 2016,
May 31, 2016, June 29, 2016, July 29, 2016, August 29, 2016, September 29, 2016, October 31, 2016, November 29, 2016, December
29, 2016, January 30, 2017, February 28, 2017, March 29, 2017, May 1, 2017, May 30, 2017, June 29, 2017, July 31, 2017, August
29, 2017, September 29, 2017, October 30, 2017, November 29, 2017, December 29, 2017, January 29, 2018, February 28, 2018, March
29, 2018, April 30, 2018 and May 29, 2018 (the “final Review Date”)
Autocall Review
Dates*: August 31, 2015, November 30, 2015, February 29, 2016, May
31, 2016, August 29, 2016, November 29, 2016, February 28, 2017, May 30, 2017, August 29, 2017, November 29, 2017 and February
28, 2018
Interest Payment
Dates*: July 2, 2015, August 3, 2015, September 3, 2015, October 2, 2015, November 3,
2015, December 3, 2015, January 4, 2016, February 3, 2016, March 3, 2016, April 1, 2016, May 4, 2016, June 3, 2016, July 4, 2016,
August 3, 2016, September 1, 2016, October 4, 2016, November 3, 2016, December 2, 2016, January 4, 2017, February 2, 2017, March
3, 2017, April 3, 2017, May 4, 2017, June 2, 2017, July 5, 2017, August 3, 2017, September 1, 2017, October 4, 2017, November 2,
2017, December 4, 2017, January 4, 2018, February 1, 2018, March 5, 2018, April 4, 2018, May 3, 2018 and the Maturity Date
Maturity Date*:
June 1, 2018
Call Settlement
Date*: If the notes are automatically called on any Autocall Review Date, the first
Interest Payment Date immediately following that Autocall Review Date
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement no. 4a-I
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Automatic Call:
If the closing value of each
Underlying on any Autocall Review Date is greater than or equal to its Initial Value, the notes will be automatically called for
a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to the Interest Review Date corresponding to that Autocall Review Date, payable on the applicable Call Settlement Date. No further
payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value of each Underlying is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review
Date.
If the notes
have not been automatically called and the Final Value of any Underlying is less than its Trigger Value, your
payment at maturity per $1,000 principal amount note, will be calculated as follows:
$1,000 + ($1,000 × Least Performing
Underlying Return)
If the notes have not been
automatically called and the Final Value of any Underlying is less than its Trigger Value, you will lose more than 35.00% of your
principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing
Underlying: The Underlying with the Least Performing Underlying Return
Least Performing
Underlying Return: The lowest of the Underlying Returns of the Underlyings
Underlying
Return: With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Underlying, the closing value of that Underlying
on the Pricing Date
Final Value:
With respect to each Underlying, the closing value of that Underlying
on the final Review Date
Share Adjustment
Factor: With respect to the Fund, the Share Adjustment Factor is referenced
in determining the closing value of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject
to adjustment upon the occurrence of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution
Adjustments” in the accompanying product supplement no. 4a-I for further information.
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TS-1 | Structured Investments
Auto Callable Contingent Interest Notes Linked to
the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF |
|
Supplemental
Terms of the Notes
All references in this term sheet to the closing
value of an Index mean the closing level of that Index as defined in the accompanying product supplement, and all references in
this term sheet to the closing value of the Fund mean the closing price of one share of the Fund as defined in the accompanying
product supplement.
How
the Notes Work
Payments in Connection with Interest Review
Dates Preceding the Final Review Date
TS-2 | Structured Investments
Auto Callable Contingent Interest Notes Linked to
the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF |
|
Payment at Maturity If the Notes Have Not
Been Automatically Called
TS-3 | Structured Investments
Auto Callable Contingent Interest Notes Linked to
the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF |
|
Total Contingent Interest Payments
The table below illustrates the hypothetical
total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent
Interest Rate of 6.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
The actual Contingent Interest Rate will be provided in the pricing supplement and will be between 6.00% and 8.00% per annum.
Number of Contingent Interest Payments |
Total Contingent Interest Payments |
36 |
$180.00 |
35 |
$175.00 |
34 |
$170.00 |
33 |
$165.00 |
32 |
$160.00 |
31 |
$155.00 |
30 |
$150.00 |
29 |
$145.00 |
28 |
$140.00 |
27 |
$135.00 |
26 |
$130.00 |
25 |
$125.00 |
24 |
$120.00 |
23 |
$115.00 |
22 |
$110.00 |
21 |
$105.00 |
20 |
$100.00 |
19 |
$95.00 |
18 |
$90.00 |
17 |
$85.00 |
16 |
$80.00 |
15 |
$75.00 |
14 |
$70.00 |
13 |
$65.00 |
12 |
$60.00 |
11 |
$55.00 |
10 |
$50.00 |
9 |
$45.00 |
8 |
$40.00 |
7 |
$35.00 |
6 |
$30.00 |
5 |
$25.00 |
4 |
$20.00 |
3 |
$15.00 |
2 |
$10.00 |
1 |
$5.00 |
0 |
$0.00 |
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Interest Review Dates and Autocall Review Dates. Each hypothetical payment set forth below assumes that the closing value
of each Underlying that is not the Least Performing Underlying on each Review Date is greater than or equal to its Initial Value
(and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
| · | An Initial Value for the Least Performing Underlying of 100.00; |
| · | An Interest Barrier for the Least Performing Underlying of 70.00 (equal to 70.00% of its hypothetical Initial Value) |
| · | A Trigger Value for the Least Performing Underlying of 65.00 (equal to 65.00% of its hypothetical Initial Value); and |
TS-4 | Structured Investments
Auto Callable Contingent Interest Notes Linked to
the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF |
|
| · | A Contingent Interest Rate of 6.00% per annum (payable at a rate of 0.50% per month). |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any
Underlying. The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will
be provided in the pricing supplement. For historical data regarding the actual closing values of each Underlying, please see the
historical information set forth under “The Underlyings” in this term sheet.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Autocall Review Date.
Date |
Closing Value of Least Performing Underlying |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
95.00 |
$5.00 |
Second Interest Review Date |
50.00 |
$0 |
Third Interest Review Date (First Autocall Review Date) |
105.00 |
$1,005.00 |
|
Total Payment |
$1,010.00 (1.00% return) |
Because the closing value of each Underlying
on the first Autocall Review Date, which is also the third Interest Review Date, is greater than or equal to its Initial Value,
the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,005.00 (or $1,000 plus
the Contingent Interest Payment applicable to the third Interest Review Date), payable on the applicable Call Settlement Date.
When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid,
for each $1,000 principal amount note, is $1,010.00. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value and Interest Barrier.
Date |
Closing Value of the Least Performing Underlying |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
95.00 |
$5.00 |
Second Interest Review Date |
85.00 |
$5.00 |
Third Interest Review Date (First Autocall Review Date) |
50.00 |
$0 |
Fourth through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
105.00 |
$1,005.00 |
|
Total Payment |
$1,015.00 (1.50% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value and Interest Barrier,
the payment at maturity, for each $1,000 principal amount note, will be $1,005.00 (or $1,000 plus the Contingent Interest
Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with respect to the prior
Interest Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,015.00.
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is less than its Interest Barrier but is greater than or equal to
its Trigger Value.
Date |
Closing Value of Least Performing Underlying |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
95.00 |
$5.00 |
Second Interest Review Date |
85.00 |
$5.00 |
Third Interest Review Date |
50.00 |
$0 |
TS-5 | Structured Investments
Auto Callable Contingent Interest Notes Linked to
the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF |
|
(First Autocall Review Date) |
|
|
Fourth through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
67.50 |
$1,000.00 |
|
Total Payment |
$1,010.00 (1.00% return) |
Because the notes
have not been automatically called and the Final Value of the Least Performing Underlying is less than its Interest Barrier but
is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00.
When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid,
for each $1,000 principal amount note, is $1,010.00.
Example 4 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is less than its Trigger Value and its Interest Barrier.
Date |
Closing Value of Least Performing Underlying |
Payment (per $1,000 principal amount note) |
First Interest Review Date |
55.00 |
$0 |
Second Interest Review Date |
50.00 |
$0 |
Third Interest Review Date (First Autocall Review Date) |
45.00 |
$0 |
Fourth through Thirty-Fifth Interest Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
50.00 |
$500.00 |
|
Total Payment |
$500.00 (-50.00% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is less than its Trigger Value and Interest Barrier, the payment
at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value of any Underlying is less than its Trigger Value,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying is
less than its Initial Value. Accordingly, under these circumstances, you will lose more than 35.00% of your principal amount at
maturity and could lose all of your principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to an Interest Review Date only if the closing value of each Underlying
on that Interest Review Date is greater than or equal to its Interest Barrier. If the closing value of any Underlying on that Interest
Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review
Date. Accordingly, if the closing value of any Underlying on each Interest Review Date is less than its Interest Barrier, you will
not receive any interest payments over the term of the notes.
TS-6 | Structured Investments
Auto Callable Contingent Interest Notes Linked to
the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF |
|
| · | CREDIT RISK OF JPMORGAN CHASE & CO. — |
Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or
credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If
we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your
entire investment.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE
TERM OF THE NOTES, |
regardless of any appreciation in
the value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests
as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the
notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
| · | WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but we will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by any of the Underlyings over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment
on any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by any other
Underlying.
| · | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If, the Final Value of any Underlying
is less than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will
terminate and you will be fully exposed to any depreciation in the closing value of the Least Performing Underlying.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called,
the term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest
Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH
RESPECT TO THE FUND OR THOSE SECURITIES. |
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000® INDEX — |
Small
capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment
could be a factor that limits downward stock price pressure under adverse market conditions.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management
risk, which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
TS-7 | Structured Investments
Auto Callable Contingent Interest Notes Linked to
the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF |
|
| · | DIFFERENCES BETWEEN THE FUND AND ITS UNDERLYING INDEX — |
The Fund does not fully replicate
its Underlying Index (as defined under “The Fund” below) and may hold securities not included in the Underlying Index.
In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation
of its Underlying Index. Furthermore, because the shares of the Fund are traded on a securities exchange and are subject to market
supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share of the Fund.
All of these factors may lead to a lack of correlation between the Fund and its Underlying Index.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUND — |
The equity securities held by the
Fund have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve
risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also, there
is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC.
| · | EMERGING MARKETS RISK WITH RESPECT TO THE FUND — |
The
equity securities held by the Fund have been issued by non-U.S. companies located in emerging markets countries. Countries
with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions
on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more
developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly
vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates.
Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading
volume, potentially making prompt liquidation of holdings difficult or impossible at times.
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK — |
Because the prices of the equity securities
held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the notes
will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the
Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar
and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account
the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected
and any payment on the notes may be reduced.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for the Fund for certain events affecting the shares of the Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
| · | THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE
OF THAT UNDERLYING IS VOLATILE. |
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential
investment in the notes based on the minimums for JPMS’s estimated value and the Contingent Interest Rate.
| · | JPMS’S ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
JPMS’s estimated value is only
an estimate using several factors. The original issue price of the notes will exceed JPMS’s estimated value because costs
associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for
TS-8 | Structured Investments
Auto Callable Contingent Interest Notes Linked to
the Least Performing of the S&P 500® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF |
|
assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s Estimated
Value of the Notes” in this term sheet.
| · | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — |
See “JPMS’s Estimated
Value of the Notes” in this term sheet.
| · | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — |
The internal funding rate used in
the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional
fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher
issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate
debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic
terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect
on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes”
in this term sheet.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this term sheet for additional information relating to this initial period. Accordingly, the estimated value
of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown
on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude
selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the
original issue price of the notes. As a result, the price if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date
could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the
notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings.
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be
reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value of Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic
and market factors” in the accompanying product supplement.
The
Underlyings
The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the S&P 500® Index, see “Equity Index Descriptions — The S&P 500® Index”
in the accompanying underlying supplement.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
The Fund is an exchange-traded fund of iShares®,
Inc., a registered investment company, which seeks investment results that correspond generally to the price and yield performance,
before fees and expenses, of the MSCI Emerging Markets Index, which we
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refer to as the Underlying Index with respect
to the Fund. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity
market performance of global emerging markets. For additional information about the Fund, see the information set forth under “Fund
Descriptions — The iShares® MSCI Emerging Markets ETF” in the accompanying underlying supplement no.
1a-I.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 8, 2010 through May 15, 2015. The closing
value of the S&P 500® Index on May 20, 2015 was 2,125.85. The closing value of the Russell 2000®
Index on May 20, 2015 was 1,257.737. The closing price of the Fund on May 20, 2015 was $42.75 We obtained the closing values above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
Although Russell Investments publishes the official closing levels of the Russell 2000® Index to six decimal places,
Bloomberg publishes the closing levels of the Russell 2000® Index to only three decimal places. The closing values
of the Fund below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying
on the Pricing Date or any Interest Review Date or Autocall Review Date. We cannot give you assurance that the performance of the
Underlyings will result in the return of any of your principal amount or the payment of any interest.
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Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. In determining our
reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement no. 4a-I. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes
could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal
income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether
to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative
treatments and the issues presented by this notice.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes in light of your particular circumstances.
FATCA. Withholding under legislation commonly
referred to as “FATCA” could apply to payments on the notes, and (if they are recharacterized, in whole or in part,
as debt instruments) could also apply to the payment of gross proceeds of a sale of a note occurring after December 31, 2016 (including
an early redemption or redemption at maturity). You should consult your tax adviser regarding the potential application of FATCA
to the notes.
In the event of any withholding on the notes,
we will not be required to pay any additional amounts with respect to amounts so withheld.
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
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rate for structured debt described below, and
(2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value does not represent a
minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal
funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads
for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations — JPMS’s
Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.”
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from JPMS’s internal pricing models. These models are dependent on inputs such
as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, JPMS’s estimated value of the notes is determined when the terms of the notes are
set based on market conditions and other relevant factors and assumptions existing at that time.
JPMS’s estimated value does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide
valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes
could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
JPMS’s estimated value of the notes will
be lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations
entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less
than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes
may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See “Selected Risk Considerations — JPMS’s Estimated Value of the Notes Will Be Lower Than the Original
Issue Price (Price to Public) of the Notes” in this term sheet.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our secondary market credit spreads for structured debt issuances. This initial predetermined time
period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations
— The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
JPMS’s Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this term sheet for an illustration of the risk-return profile of the notes and
“The Underlyings” in this term sheet for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to JPMS’s estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to the Notes
JPMorgan Chase & Co. has filed a registration
statement (including a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should
read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase &
Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this
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offering. You may get these documents without
cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer participating
in this offering will arrange to send you the prospectus, the prospectus supplement, product supplement no. 4a-I, underlying supplement
no. 1a-I and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
You should read this term sheet together with
the prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014, relating to our Series E medium-term
notes of which these notes are a part, and the more detailed information contained in product supplement no. 4a-I dated November
7, 2014 and underlying supplement no. 1a-I dated November 7, 2014. This term sheet, together with the documents listed below, contains
the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set
forth in “Risk Factors” in the accompanying product supplement no. 4a-I and “Risk Factors” in the accompanying
underlying supplement no. 1a-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | 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 term sheet, “we,” “us” and “our” refer to JPMorgan Chase & Co.
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