Term sheet
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011,
product supplement no. 8-I dated November 14, 2011,
underlying supplement no. 1-I dated November 14, 2011 and
underlying supplement no. 13-I dated March 1, 2013 |
Term Sheet to
Product Supplement No. 8-I
Registration Statement No. 333-177923
Dated May 1, 2013; Rule 433 |
 |
Structured
Investments |
|
$
6.00%*-8.00%* per annum Auto Callable Yield Notes due May 30, 2014 Linked to the Lesser Performing of the iShares®
MSCI Brazil Capped Index Fund and the Russell 2000® Index |
General
| · | | The notes are designed for
investors who seek a higher interest rate than the current yield on a conventional debt security with the same maturity issued
by us. Investors should be willing to forgo the potential to participate in the appreciation of either of the iShares®
MSCI Brazil Capped Index Fund or the Russell 2000® Index and to forgo dividend payments. Investors should
be willing to assume the risk that they will receive less interest if the notes are automatically called and the risk that, if
the notes are not automatically called, they may lose some or all of their principal at maturity. |
| · | | The notes will pay between
6.00%* and 8.00%* per annum interest over the term of the notes, assuming no automatic call, payable at a rate of between 0.50000%*
and 0.66667%* per month. However, the notes do not guarantee any return of principal at maturity. Instead, if the notes are
not automatically called, the payment at maturity will be based on the performance of the Lesser Performing Underlying and whether
the closing level or closing price, as applicable, of either Underlying is less than its Starting Underlying Level by more than
the applicable Buffer Amount on any day during the Monitoring Period, as described below. Any payment on the notes is subject
to the credit risk of JPMorgan Chase & Co. |
| · | | The notes will be automatically
called if the closing level or closing price, as applicable, of each Underlying on the relevant Call Date is greater than or equal
to the applicable Starting Underlying Level. If the notes are automatically called, payment on the applicable Call Settlement
Date for each $1,000 principal amount note will be a cash payment of $1,000, plus any accrued and unpaid interest, as described
below. |
| · | | Unsecured and unsubordinated
obligations of JPMorgan Chase & Co. maturing May 30, 2014** |
| · | | The payment at maturity is
not linked to a basket composed of the Underlyings. The payment at maturity is linked to the performance of each
of the Underlyings individually, as described below. |
| · | | Minimum denominations of $1,000
and integral multiples thereof |
| · | | The terms of the notes
as set forth in “Key Terms” below, to the extent they differ from or conflict with those set forth in the accompanying
product supplement no. 8-I, supersede the terms set forth in product supplement no. 8-I. In particular, notwithstanding anything
to the contrary in product supplement no. 8-I, the notes will be automatically called if the closing level or closing price, as
applicable, of each Underlying is greater than or equal to the applicable Starting Underlying Level. See “Key Terms
— Automatic Call” below. |
Key Terms
| Underlyings: |
The iShares® MSCI Brazil Capped Index Fund (the “Fund”) and the Russell 2000® Index (the “Index”) (each of the Fund and the Index, an “Underlying,” and collectively, the “Underlyings”) |
| Interest Rate: |
Between 6.00%* and 8.00%* per annum over the term of the notes, assuming
no automatic call, payable at a rate of between 0.50000%* and 0.66667%* per month.
* The actual Interest Rate will be determined on the Pricing Date
and will not be less than 6.00% or greater than 8.00% per annum. |
| Automatic Call: |
If on any Call Date, the closing level or closing price, as applicable, of each Underlying is greater than or equal to the applicable Starting Underlying Level, the notes will be automatically called on that Call Date. |
| Payment if Called: |
If the notes are automatically called, on the relevant Call Settlement Date, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest to but excluding that Call Settlement Date. |
| Buffer Amount: |
With respect to each Underlying, an amount that represents 30.00% of its Starting Underlying Level (in the case of the Fund, subject to adjustments) |
| Pricing Date: |
On or about May 28, 2013 |
| Settlement Date: |
On or about May 31, 2013 |
| Observation Date**: |
May 27, 2014 |
| Maturity Date**: |
May 30, 2014 |
| CUSIP: |
48126D4S5 |
| Monitoring Period: |
The period from but excluding the Pricing Date to and including the Observation Date |
| Interest Payment Dates**: |
Interest on the notes will be payable monthly in arrears on the last calendar day of each month, except for the final monthly interest payment, which will be payable on the Maturity Date or the relevant Call Settlement Date, as applicable (each such day, an “Interest Payment Date”), commencing June 30, 2013. See “Selected Purchase Considerations — Monthly Interest Payments” in this term sheet for more information. |
| Payment at Maturity: |
If the notes are not automatically called, the payment at maturity,
in excess of any accrued and unpaid interest, will be based on whether a Trigger Event has occurred and the performance of the
Lesser Performing Underlying. If the notes are not automatically called, for each $1,000 principal amount note, you will receive
$1,000 plus any accrued and unpaid interest at maturity, unless:
(a) the Ending Underlying Level of either Underlying
is less than its Starting Underlying Level; and
(b) a Trigger Event has occurred.
If the notes are not automatically called and the conditions
described in (a) and (b) are satisfied, at maturity you will lose 1% of the principal amount of your notes for every 1% that the
Ending Underlying Level of the Lesser Performing Underlying is less than its Starting Underlying Level. Under these circumstances,
your payment at maturity per $1,000 principal amount note, in addition to any accrued and unpaid interest, will be calculated as
follows:
$1,000 + ($1,000 × Lesser Performing
Underlying Return)
You will lose some or all of your principal at maturity
if the notes are not automatically called and the conditions described in (a) and (b) are both satisfied. |
| Trigger Event: |
A Trigger Event occurs if, on any day during the Monitoring Period, the closing level or closing price, as applicable, of either Underlying is less than its Starting Underlying Level by more than the applicable Buffer Amount. |
| Underlying Return: |
With respect to each Underlying, the Underlying Return is calculated
as follows:
Ending Underlying Level – Starting Underlying
Level
Starting Underlying Level |
| Call Dates**: |
August 28, 2013 (first Call Date), November 26, 2013 (second Call Date) and February 25, 2014 (last Call Date) |
| Call Settlement Dates**: |
With respect to each Call Date, the first Interest Payment Date occurring after that Call Date |
| Other Key Terms: |
See “Additional Key Terms” on the next page. |
| ** | | Subject to postponement as described under “Description of Notes — Payment
at Maturity,” “Description of Notes — Interest Payments” and “Description of Notes — Postponement
of a Determination Date” in the accompanying product supplement no. 8-I. |
Investing in the Auto Callable Yield Notes involves a number
of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement no. 8-I, “Risk Factors”
beginning on page US-1 of the accompanying underlying supplement 1-I, “Risk Factors” beginning on page US-1 of the
accompanying underlying supplement 13-I and “Selected Risk Considerations” beginning on page TS-3 of this term sheet.
Neither 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 supplements, 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 $15.00 per $1,000 principal amount note. See “Plan of Distribution (Conflicts
of Interest)” beginning on page PS-48 of the accompanying product supplement no. 8-I. |
If the notes priced today, the estimated value of the notes as
determined by JPMS would be approximately $964.50 per $1,000 principal amount note. JPMS’s estimated value of the notes,
when the terms of the notes are set, will be provided by JPMS in the pricing supplement and will not be less than $940.00 per $1,000
principal amount note. See “JPMS’s Estimated Value of the Notes” in this term sheet for additional information.
The notes are not bank deposits and are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
May 1, 2013
Additional Terms Specific to the Notes
JPMorgan Chase & Co. has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission, or 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. 8-I, underlying supplement no. 1-I, underlying supplement no. 13-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
dated November 14, 2011, as supplemented by the prospectus supplement dated November 14, 2011 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. 8-I dated November
14, 2011, underlying supplement no. 1-I dated November 14, 2011 and underlying supplement no. 13-I dated March 1, 2013. 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. 8-I, “Risk Factors” in the accompanying underlying supplement no. 1-I and “Risk Factors “
in the accompanying underlying supplement no. 13-I, as the notes involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 19617.
As used in this term sheet, the “Company,” “we,” “us” and “our” refer to JPMorgan
Chase & Co.
Additional Key Terms
| Starting Underlying Level: |
With respect to the Fund, the closing price of one share of the Fund on the Pricing Date, divided by the Share Adjustment Factor for the Fund (the “Initial Share Price”). With respect to the Index, the closing level of the Index on the Pricing Date (the “Initial Index Level”). We refer to the Initial Index Level for the Index and the Initial Share Price for the Fund as a “Starting Underlying Level.” |
| Ending Underlying Level: |
With respect to the Fund, the closing price of one share of the Fund on the Observation Date (the “Final Share Price”). With respect to the Index, the closing level of the Index on the Observation Date (the “Ending Index Level”). We refer to each of the Ending Index Level for the Index and the Final Share Price for the Fund as an “Ending Underlying Level.” |
| Share Adjustment Factor: |
With respect to the Fund, set equal to 1.0 on the Pricing Date and subject to adjustment under certain circumstances. See “General Terms of Notes — Anti-Dilution Adjustments” in the accompanying product supplement no. 8-I. |
Lesser Performing
Underlying: |
The Underlying with the Lesser Performing Underlying Return |
Lesser Performing
Underlying Return: |
The lower of the Underlying Return of the iShares® MSCI Brazil Capped Index Fund and the Underlying Return of the Russell 2000® Index |
Selected Purchase Considerations
| · | THE NOTES OFFER A HIGHER INTEREST RATE THAN THE YIELD ON DEBT SECURITIES
OF COMPARABLE MATURITY ISSUED BY US — The notes will pay interest at the Interest Rate
specified on the cover of this term sheet, assuming no automatic call, which is higher than the yield currently available on debt
securities of comparable maturity issued by us. 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. |
| · | MONTHLY INTEREST PAYMENTS — The notes offer
monthly interest payments as specified on the cover of this term sheet, assuming no automatic call. Interest will be payable monthly
in arrears on the last calendar day of each month, except for the final monthly interest payment, which will be payable on the
Maturity Date or the relevant Call Settlement Date, as applicable (each such day, an “Interest Payment Date”), commencing
June 30, 2013. Interest will be payable to the holders of record at the close of business on the business day immediately preceding
the applicable Interest Payment Date (which may be a Call Settlement Date). If an Interest Payment Date is not a business day,
payment will be made on the next business day immediately following such day, but no additional interest will accrue as a result
of the delayed payment. For example, the monthly Interest Payment Date for June 2013 is June 30, 2013, but because that day is
not a business day, payment of interest with respect to that Interest Payment Date will be made on July 1, 2013, the next succeeding
business day. |
| · | POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC
CALL FEATURE — If the closing level or closing price, as applicable, of each Underlying is greater than or equal to the
applicable Starting Underlying Level on any Call Date, your notes will be automatically called prior to the maturity date. Under
these circumstances, on the relevant Call Settlement Date, for each $1,000 principal amount note, you will receive $1,000 plus
accrued and unpaid interest to but excluding that Call Settlement Date. |
| · | THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL
IF THE NOTES ARE NOT AUTOMATICALLY CALLED — If the notes are not automatically called, we will pay you your principal
back at maturity only if a Trigger Event has not occurred or the Ending Underlying Level of each Underlying is not less than its
Starting Underlying Level. A Trigger Event occurs if, on any day during the Monitoring Period, the closing level or closing
price, as applicable, |
JPMorgan Structured Investments —
|
TS-1 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
| | of either Underlying is less than its Starting Underlying Level by
more than the applicable Buffer Amount. However, if the notes are not automatically called, a Trigger Event has occurred and
the Ending Underlying Level of either Underlying is less than its Starting Underlying Level, you could lose the entire principal
amount of your notes. |
| · | EXPOSURE TO EACH OF THE UNDERLYINGS — The return on the
notes is linked to the Lesser Performing Underlying, which will be either the iShares® MSCI
Brazil Capped Index Fund or the Russell 2000® Index. |
The iShares® MSCI Brazil
Capped Index Fund is an exchange-traded fund of iShares, Inc., which is a registered investment company that consists of numerous
separate investment portfolios. The iShares® MSCI Brazil Capped Index Fund trades on NYSE Arca, Inc. (the “NYSE
Arca”) under the ticker symbol “EWZ.” The iShares® MSCI Brazil Capped Index Fund seeks investment
results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Brazil 25/50 Index,
which we refer to as the Underlying Index. Prior to February 11, 2013, the iShares® MSCI Brazil Capped Index Fund
was name the iShares® MSCI Brazil Index Fund, and it sought to provide investment results that correspond generally
to the price and yield performance, before fees and expenses, of the MSCI Brazil Index. The Underlying Index is an equity benchmark
for Brazilian stock performance, and is designed to measure equity market performance in Brazil. For additional information about
the Fund, see the information set forth under “Fund Descriptions — The iShares® MSCI Brazil Capped Index
Fund” in the accompanying underlying supplement no. 13-I.
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 on the Russell 2000® Index, see the information set forth under “Equity
Index Descriptions — The Russell 2000® Index” in the accompanying underlying supplement no. 1-I.
| · | | TAX TREATMENT AS A UNIT
COMPRISING A PUT OPTION AND A DEPOSIT — You should review carefully the section entitled “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement no. 8-I. Based on the advice of Sidley Austin llp,
our special tax counsel, and on current market conditions, in determining our reporting responsibilities we intend to
treat the notes for U.S. federal income tax purposes as units each comprising: (x) a Put Option written by you that is terminated
if an Automatic Call occurs and that, if not terminated, in circumstances where the payment due at maturity is less than $1,000
(excluding accrued and unpaid interest), requires you to pay us an amount equal to $1,000 multiplied by the absolute value of
the Lesser Performing Underlying Return and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential
obligation under the Put Option. By purchasing the notes, you agree (in the absence of an administrative determination or judicial
ruling to the contrary) to follow this treatment and the allocation described in the following paragraph. However, there
are other reasonable treatments that the Internal Revenue Service (the “IRS”) or a court may adopt, in which case
the timing and character of any income or loss on the notes could be significantly 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. While it is not clear whether the notes would be viewed as similar to the typical prepaid
forward contract described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive
effect. The notice focuses on a number of issues, the most relevant of which for holders of the notes are the character of income
or loss (including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income
realized by Non-U.S. Holders should be subject to withholding tax. |
We will determine the portion of each interest payment on the notes that
we will allocate to interest on the Deposit and to Put Premium, respectively, and will provide that allocation in the pricing
supplement for the notes. If the notes had priced on May 1, 2013, we would have allocated approximately 8.33% of each interest
payment to interest on the Deposit and 91.67% of each interest payment to Put Premium. The actual allocation that we will determine
for the notes may differ from this hypothetical allocation, and will depend upon a variety of factors, including actual market
conditions and our borrowing costs for debt instruments of comparable maturities on the Pricing Date. Assuming that the treatment
of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the Deposit will
be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement, including a settlement
following an Automatic Call. For additional detail regarding the tax treatment of the Deposit, please refer to the description
under “Material U.S. Federal Income Tax Consequences – Tax Consequences to U.S. Holders – Notes with a Term
of Not More than One Year” in the accompanying product supplement no 8-I.
Non-U.S. Holders - Additional Tax Considerations
Non-U.S. Holders should note that recently proposed Treasury
regulations, if finalized in their current form, could impose a withholding tax at a rate of 30% (subject to reduction under an
applicable income tax treaty) on amounts attributable to U.S.-source dividends (including, potentially, adjustments to account
for extraordinary dividends) that are paid or “deemed paid” after December 31, 2013 under certain financial instruments,
if certain other conditions are met. While significant aspects of the application of these proposed regulations to the notes
are uncertain, if these proposed regulations were finalized, depending on their ultimate effective date, we (or other withholding
agents) might determine that withholding is required with respect to notes held by a Non-U.S. Holder or that the Non-U.S. Holder
must provide information to establish that withholding is not required. Non-U.S. Holders should consult their tax advisers regarding
the potential application of these proposed regulations. If withholding is so required, we will not be required to pay any additional
amounts with respect to amounts so withheld.
Non-U.S. Holders should also note that final Treasury regulations
were released on legislation that imposes a withholding tax of 30% on payments to certain foreign entities unless information reporting
and diligence requirements are met, as described in “Material U.S. Federal Income Tax Consequences-Tax Consequences to Non-U.S.
Holders-Recent Legislation” in the accompanying product supplement no. 8-I. The final regulations provide that obligations
issued before January 1, 2014, such as the notes, are not subject to this withholding tax, or the reporting or diligence requirements.
Both U.S. and Non-U.S. Holders should
consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by the 2007 notice. Purchasers who
are not initial purchasers of notes at the issue price should also consult their tax advisers with respect to the tax consequences
of an investment in the notes, including possible
JPMorgan Structured Investments —
|
TS-2 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
alternative treatments, as well as
the allocation of the purchase price of the notes between the Deposit and the Put Option.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in either or both of the Underlyings or any of the equity securities included
in the Index or held by the Fund. These risks are explained in more detail in the “Risk Factors” section of the accompanying
product supplement no. 8-I dated November 14, 2011, the “Risk Factors” section of the accompanying underlying supplement
no. 1-I dated November 14, 2011 and the “Risk Factors” section of the accompanying underlying supplement no. 13-I dated
March 1, 2013.
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. If the notes are not automatically called, we will pay you your
principal back at maturity only if a Trigger Event has not occurred or the Ending Underlying Level of each Underlying is greater
than or equal to its Starting Underlying Level. If the notes are not automatically called, a Trigger Event has occurred and the
Ending Underlying Level of either Underlying is less than its Starting Underlying Level, you will lose 1% of your principal amount
at maturity for every 1% that the Ending Underlying Level of the Lesser Performing Underlying is less than its Starting Underlying
Level. Accordingly, you could lose up to the entire principal amount of your notes. |
| · | 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, and therefore
investors are subject to our credit risk and to changes in the market's view of our creditworthiness. Any decline in our credit
ratings or increase in the credit spreads charged 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 the Notes Generally” in the accompanying product supplement
no. 8-I for additional information about these risks. |
| · | 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. 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). |
| · | 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 |
JPMorgan Structured Investments —
|
TS-3 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
| | 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, the level and price of the Underlyings, 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; |
| · | whether
a Trigger Event has occurred or is expected to occur; |
| · | the
interest rate on the notes; |
| · | the
actual and expected volatility of the Underlyings; |
| · | the
time to maturity of the notes; |
| · | the
likelihood of an automatic call being triggered; |
| · | the
dividend rates on the Fund and the equity securities included in the Index or held by the Fund; |
| · | the
expected positive or negative correlation between the Index and the Fund, or the expected absence of any such correlation; |
| · | interest
and yield rates in the market generally; |
| · | the exchange rate and the volatility of the exchange rate
between the U.S. dollar and the Brazilian real; |
| · | a
variety of economic, financial, political, regulatory and judicial events; and |
| · | the
occurrence of certain evens to the Fund that may or may not require an adjustment to the Share Adjustment Factor. |
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.
| · | YOUR RETURN ON THE NOTES IS LIMITED TO THE PRINCIPAL AMOUNT PLUS
ACCRUED INTEREST REGARDLESS OF ANY APPRECIATION IN THE VALUE OF EITHER UNDERLYING — If the
notes are not automatically called and a Trigger Event has not occurred or the Ending Underlying Level of each Underlying
is greater than or equal to its Starting Underlying Level, for each $1,000 principal amount note, you will receive $1,000 at maturity
plus any accrued and unpaid interest, regardless of any appreciation in the value of either Underlying, which may be significant.
If the notes are automatically called, for each $1,000 principal amount note, you will receive $1,000 on the relevant Call Settlement
Date plus any accrued and unpaid interest, regardless of the appreciation in the value of either Underlying, which may be
significant. Accordingly, the return on the notes may be significantly less than the return on a direct investment in either Underlying
during the term of the notes. |
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE CLOSING LEVEL OR CLOSING
PRICE, AS APPLICABLE, OF EACH UNDERLYING — Your return on the notes and your payment at maturity, if any, is not linked
to a basket consisting of the Underlyings. If the notes are not automatically called, your payment at maturity is contingent upon
the performance of each individual Underlying such that you will be equally exposed to the risks related to both
of the Underlyings. Poor performance by either of the Underlyings over the term of the notes may negatively affect your payment
at maturity and will not be offset or mitigated by positive performance by the other Underlying. Accordingly, your investment is
subject to the risk of decline in the closing level or closing price, as applicable, of each Underlying. |
| · | THE BENEFIT PROVIDED BY THE BUFFER AMOUNT MAY TERMINATE ON ANY DAY
DURING THE TERM OF THE NOTES — If, on any day during the Monitoring Period, the closing level or closing price, as applicable,
of either Underlying is less than its Starting Underlying Level by more than the applicable Buffer Amount, a Trigger Event will
occur, and you will be fully exposed to any depreciation in the Lesser Performing Underlying. We refer to this feature as a contingent
buffer. Under these circumstances, and if the Ending Underlying Level of either Underlying is less than its Starting Underlying
Level, you will lose 1% of the principal amount of your investment for every 1% that the Ending Underlying Level of the Lesser
Performing Underlying is less than its Starting Underlying Level. You will be subject to this potential loss of principal even
if the relevant Underlying subsequently recovers such that the closing level or closing price, as applicable, of that Underlying
is less than its Starting Underlying Level by less than the Buffer Amount. If these notes had a non-contingent buffer feature,
under the same scenario, you would have received the full principal amount of your notes plus accrued and unpaid interest
at maturity. As a result, your investment in the notes may not perform as well as an investment in a security with a return that
includes a non-contingent buffer. |
·
YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING
UNDERLYING — If the notes are not automatically called and a Trigger Event occurs, you will lose some or all of your
investment in the notes if the Ending Underlying Level of either Underlying is below its Starting Underlying Level. This will be
true even if the Ending Underlying Level of the other Underlying is greater than or equal to its Starting Underlying Level. The
Underlyings’ respective performances may not be correlated and, as a result, if the notes are not automatically called and
a Trigger Event occurs, you may receive the principal amount of your notes at maturity only if there is a broad-based rise in the
performance of U.S. equities across diverse markets during the term of the notes.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT
— If the notes are automatically called, the amount of interest payable on the notes will
be less than the full amount of interest that would have been |
JPMorgan Structured Investments —
|
TS-4 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
| | payable if the notes were held to maturity, and, for each $1,000 principal
amount note, you will receive $1,000 plus accrued and unpaid interest to but excluding the relevant Call Settlement Date. |
| · | REINVESTMENT RISK — If your notes are automatically called,
the term of the notes may be reduced to as short as three months and you will not receive interest payments after the relevant
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 in the event the notes are automatically
called prior to the Maturity Date. |
| · | BUFFER AMOUNT APPLIES ONLY IF YOU HOLD THE NOTES TO MATURITY
— Assuming the notes are not automatically called, we will pay you your principal back at maturity only if the closing level
or closing price, as applicable, of each Underlying is not less than its Starting Underlying Level by more than the applicable
Buffer Amount on any day during the Monitoring Period or the Ending Underlying Level of each Underlying is greater than or equal
to its Starting Underlying Level. If the notes are not automatically called and a Trigger Event has occurred, you will be fully
exposed at maturity to any decline in the value of the Lesser Performing Underlying. |
| · | VOLATILITY RISK — Greater expected volatility with respect
to an Underlying indicates a greater likelihood as of the Pricing Date that the closing level or closing price, as applicable,
of that Underlying could be less than its Starting Underlying Level by more than the applicable Buffer Amount on any day during
the Monitoring Period. An Underlying’s volatility, however, can change significantly over the term of the notes. The closing
level or closing price, as applicable, of an Underlying could fall sharply on any day during the Monitoring Period, which could
result in a significant loss of principal. |
| · | an investment in the notes is subject
to risks associated with small capitalization stocks —
The stocks that constitute the Russell 2000® Index are issued by companies with relatively small market capitalization.
The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. 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. |
| · | 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 the 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, which is primarily the Brazilian real. 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 denominated
in those currencies in the Fund. If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies,
the net asset value of the Fund will be adversely affected and the payment at maturity, if any, may be reduced. Of particular importance
to potential currency exchange risk are: |
| · | existing and expected rates of inflation; |
| · | existing and expected interest rate levels; |
| · | the balance of payments in Brazil and the United States and between
each country and its major trading partners; |
| · | political, civil or military unrest in the component countries of the
Index and the United States; and |
| · | the extent of government surpluses or deficits in Brazil and the United
States. |
| · | All of these factors are in turn sensitive to the monetary, fiscal
and trade policies pursued by the governments of Brazil and the United States and other countries important to international trade
and finance. |
| · | NON-U.S. SECURITIES RISK — 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 those countries, 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. |
| · | EMERGING MARKETS RISK — The equity securities held by
the Fund have been issued by non-U.S. companies located primarily in Brazil, which is an emerging markets country. 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. |
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — Although shares
of the Fund are listed for trading on NYSE Arca, Inc. (“NYSE Arca”) and a number of similar products have been traded
on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will
continue for the shares of the Fund or that there will be liquidity in the trading market. In addition, the Fund is subject to
management risk, which is the risk that the strategy of BlackRock Fund Advisors (“BFA”), the Fund’s investment
advisor, the implementation of which is subject to a number of constraints, may not produce the intended results. For example,
BFA may select up to 10% of the Fund’s assets to be invested in securities not included in its Underlying Index but which
BFA believes will help the Fund track its Underlying Index, and in futures contracts, options on futures contracts, options and
swaps as well as cash and cash equivalents, including shares of money market funds advised by BFA. Any of such actions could adversely
affect the market price of the shares of the Fund, and consequently, the value of the notes. |
| · | DIFFERENCES BETWEEN THE FUND AND THE MSCI BRAZIL INDEX —
The Fund does not fully replicate the MSCI Brazil Index, may hold securities not included in the Underlying Index and will reflect
additional transaction costs and fees that are not included in the calculation of the Underlying Index, all of which may lead to
a lack of correlation between the Fund and the Underlying Index. In addition, corporate actions with respect to the sample of equity
securities (such as mergers and spin-offs) may impact the variance between the Fund and the Underlying Index. Finally, because
the shares of the Fund are traded on the NYSE Arca and are subject to market supply and investor demand, the market value of one
share of the Fund may differ from the net asset |
JPMorgan Structured Investments —
|
TS-5 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
| | value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of the Underlying Index. |
| · | 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. |
| · | NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of
the notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders
of shares of the Fund or the securities included in the Index or held by the Fund would have. |
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
The calculation agent will make adjustments to the Share Adjustment Factor for certain events affecting the shares of the Fund.
However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Fund.
If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially
and adversely affected. |
| · | THE 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 value for JPMS’s estimated value set forth on the cover of this term sheet. In
addition, the Interest rate will be provided in the pricing supplement and may be equal to the low end of the range set forth on
the cover of this term sheet. Accordingly, you should consider your potential investment in the notes based on the minimum value
for JPMS’s estimated value and the low end of the range for the Interest Rate. |
JPMorgan Structured Investments —
|
TS-6 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
What Is the Total Return
on the Notes at Maturity or Upon Automatic Call, Assuming a Range of Performances for the Lesser Performing Underlying?
The following table and examples illustrate the hypothetical
total return on the notes at maturity or upon automatic call. The “note total return” as used in this term sheet is
the number, expressed as a percentage, that results from comparing the payment at maturity or upon automatic call plus the
interest payments received to and including the maturity date or the relevant Call Settlement Date, as applicable, per $1,000 principal
amount note to $1,000. The table and examples below assume that the Lesser Performing Underlying is the Russell 2000®
Index and that the closing price of the iShares® MSCI Brazil Capped Index Fund on each Call Date is greater than
or equal to its Starting Underlying Level. We make no representation or warranty as to which of the Underlyings will be the Lesser
Performing Underlying for purposes of calculating your actual payment at maturity, if applicable, or as to what the closing level
or closing price, as applicable, of either Underlying will be on any Call Date. In addition, the following table and examples
assume a Starting Underlying Level for the Lesser Performing Underlying of 950 and an Interest Rate of 6.00% per annum over the
term of the notes (assuming no automatic call) and reflect the Buffer Amount of 30.00% of the Starting Underlying Level of the
Lesser Performing Underlying. Each hypothetical total return and total payment set forth below is for illustrative purposes
only and may not be the actual total return or total payment applicable to a purchaser of the notes. The numbers appearing in the
following table and examples have been rounded for ease of analysis.
| Closing
Level of the Lesser Performing Underlying |
Lesser
Performing Underlying Closing Level Appreciation / Depreciation at Relevant Call Date |
Note
Total Return at Relevant Call Settlement Date |
Note
Total Return at Maturity Date if a Trigger Event Has Not Occurred (1) |
Note
Total Return at Maturity Date if a Trigger Event Has Occurred (1) |
| First |
Second |
Final |
| 1,710.000 |
80.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 1,567.500 |
65.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 1,425.000 |
50.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 1,330.000 |
40.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 1,235.000 |
30.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 1,140.000 |
20.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 1,045.000 |
10.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 997.500 |
5.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 959.500 |
1.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 950.000 |
0.00% |
1.50% |
3.00% |
4.50% |
6.00% |
6.00% |
| 902.500 |
-5.00% |
N/A |
N/A |
N/A |
6.00% |
1.00% |
| 893.000 |
-6.00% |
N/A |
N/A |
N/A |
6.00% |
0.00% |
| 855.000 |
-10.00% |
N/A |
N/A |
N/A |
6.00% |
-4.00% |
| 760.000 |
-20.00% |
N/A |
N/A |
N/A |
6.00% |
-14.00% |
| 665.000 |
-30.00% |
N/A |
N/A |
N/A |
6.00% |
-24.00% |
| 664.905 |
-30.01% |
N/A |
N/A |
N/A |
N/A |
-24.01% |
| 570.000 |
-40.00% |
N/A |
N/A |
N/A |
N/A |
-34.00% |
| 475.000 |
-50.00% |
N/A |
N/A |
N/A |
N/A |
-44.00% |
| 380.000 |
-60.00% |
N/A |
N/A |
N/A |
N/A |
-54.00% |
| 285.000 |
-70.00% |
N/A |
N/A |
N/A |
N/A |
-64.00% |
| 190.000 |
-80.00% |
N/A |
N/A |
N/A |
N/A |
-74.00% |
| 95.000 |
-90.00% |
N/A |
N/A |
N/A |
N/A |
-84.00% |
| 0.000 |
-100.00% |
N/A |
N/A |
N/A |
N/A |
-94.00% |
(1) A Trigger Event occurs if the closing level or closing
price, as applicable, of either Underlying is less than its Starting Underlying Level by more than 30.00% on any day during the
Monitoring Period.
The following examples illustrate how a total payment set forth
in the table above is calculated.
Example 1: The level of the Lesser Performing Underlying
increases from the Starting Underlying Level of 950.000 to a closing level of 959.500 on the first Call Date. Because the closing
level of each Underlying on the first Call Date is greater than the applicable Starting Underlying Level, the notes are automatically
called, and the investor receives total payments of $1,015 per $1,000 principal amount note, consisting of interest payments of
$15 per $1,000 principal amount note and a payment upon automatic call of $1,000 per $1,000 principal amount note.
Example 2: The level of the Lesser Performing Underlying
decreases from the Starting Underlying Level of 950.000 to a closing level of 902.500 on the first Call Date and 855.000 on the
second Call Date, and increases from the Starting Underlying Level of 950.000 to a closing level of 997.500 on the final Call Date.
Although the level of the Lesser Performing Underlying on the first two Call Dates (902.500 and 855.000) is less than the Starting
Underlying Level of 950.000, because the closing level of each Underlying on the final Call Date is greater than the applicable
Starting Underlying Level, the notes are automatically called, and the investor receives total payments of $1,045 per $1,000 principal
amount note, consisting of interest payments of $45 per $1,000 principal amount note and a payment upon automatic call of $1,000
per $1,000 principal amount note.
Example 3: The notes have not been automatically called
prior to maturity and the level of the Lesser Performing Underlying increases from the Starting Underlying Level of 950.000 to
an Ending Underlying Level of 997.500. Because the notes have not been automatically called prior to maturity and the Ending
Underlying Level of the Lesser Performing Underlying of 997.500 is greater than its Starting Underlying Level of 950.000,
regardless of whether a Trigger Event has occurred, the investor receives total payments of $1,060 per $1,000 principal amount
note over the term of the notes, consisting of interest payments of $60 per $1,000 principal amount note over the term of the notes
and a
JPMorgan Structured Investments —
|
TS-7 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
payment at maturity of $1,000 per $1,000 principal amount note.
This represents the maximum total payment an investor may receive over the term of the notes.
Example 4: The notes have not been automatically called
prior to maturity, a Trigger Event has not occurred and the level of the Lesser Performing Underlying decreases from the Starting
Underlying Level of 950.000 to an Ending Underlying Level of 760.000. Even though the Ending Underlying Level of the Lesser
Performing Underlying of 760.000 is less than its Starting Underlying Level of 950.000, because the notes have not been automatically
called prior to maturity and a Trigger Event has not occurred, the investor receives total payments of $1,060 per $1,000 principal
amount note over the term of the notes, consisting of interest payments of $60 per $1,000 principal amount note over the term of
the notes and a payment at maturity of $1,000 per $1,000 principal amount note. This represents the maximum total payment
an investor may receive over the term of the notes.
Example 5: The notes have not been automatically called
prior to maturity, a Trigger Event has occurred and the level of the Lesser Performing Underlying decreases from the Starting Underlying
Level of 950.000 to an Ending Underlying Level of 475.000. Because the notes have not been automatically called prior to maturity,
a Trigger Event has occurred and the Ending Underlying Level of the Lesser Performing Underlying of 475.000 is less than its Starting
Underlying Level of 950.000, the investor receives total payments of $560 per $1,000 principal amount note over the term of the
notes, consisting of interest payments of $60 per $1,000 principal amount note over the term of the notes and a payment at maturity
of $500 per $1,000 principal amount note, calculated as follows:
[$1,000 + ($1,000 × -50%)] + $60.00
= $560.00
Example 6: The notes have not been automatically called
prior to maturity, a Trigger Event has occurred and the level of the Lesser Performing Underlying decreases from the Starting Underlying
Level of 950.000 to an Ending Underlying Level of 0. Because the notes have not been automatically called prior to maturity,
a Trigger Event has occurred and the Ending Underlying Level of the Lesser Performing Underlying of 0 is less than its Starting
Underlying Level of 950.000, the investor receives total payments of $60 per $1,000 principal amount note over the term of the
notes, consisting solely of interest payments of $60 per $1,000 principal amount note over the term of the notes, calculated as
follows:
[$1,000 + ($1,000 × -100%)] + $60.00 =
$60.00
The hypothetical returns and hypothetical payments on the notes
shown above 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-8 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
Historical Information
The following graphs show the historical
weekly performance of the iShares® MSCI Brazil Capped Index Fund and the Russell
2000® Index from January 4, 2008 through April 26, 2013. The closing price of the iShares®
MSCI Brazil Capped Index Fund on April 30, 2013 was $55.15. The closing
level of the Russell 2000® Index on April 30, 2013 was 947.46.
We obtained the various closing levels and closing prices of the
Underlyings below from Bloomberg Financial Markets, without independent verification. The historical levels and prices of each
Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing level or
closing price, as applicable, of either Underlying on the Pricing Date, any Call Date, the Observation Date or any day during the
Monitoring Period. We cannot give you assurance that the performance of the Underlyings will result in the return of any of your
initial investment. We make no representation as to the amount of dividends, if any, that the Fund or the equity securities held
by the Fund will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if
any, that may be payable on the Fund or the equity securities held by the Fund.
JPMorgan Structured Investments —
|
TS-9 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |
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. 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. 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.”
JPMS’s estimated value of the notes will be lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits realized in hedging our obligations under the notes may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — JPMS’s Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public)
of the Notes” in this term sheet.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “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 net proceeds we receive from the sale of the notes will
be used for general corporate purposes and, in part, by us or one or more of our affiliates in connection with hedging our obligations
under the notes.
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 or Upon Automatic Call, Assuming a Range of Performance for the Lesser Performing Underlying?” in this term sheet
for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Exposure to Each
of 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.
For purposes of the notes offered by this term sheet, the first
and second paragraph of the section entitled “Use of Proceeds and Hedging” on page PS-31 of the accompanying product
supplement no. 8-I are deemed deleted in their entirety. Please refer instead to the discussion set forth above.
JPMorgan Structured Investments —
|
TS-10 |
| Auto Callable Yield Notes Linked to the Lesser Performing of the iShares® MSCI Brazil Capped Index Fund and the
Russell 2000® Index |