JPMorgan Chase & Co.
Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index due May 31, 2019
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The notes are designed for investors who seek an uncapped return of at least 1.10 times any appreciation, or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Contingent Buffer Amount of 32.50%), of the lesser performing of the S&P 500® Index and the Russell 2000® Index at maturity.
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Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at maturity.
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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.
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Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each of the Indices 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 26, 2015 and are expected to settle on or about May 29, 2015.
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CUSIP: 48125UPX4
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$
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$
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Total
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$
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$
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$
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(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 $22.50 per $1,000 principal amount note and in no event will these selling commissions exceed $31.25 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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Indices:
The S&P 500® Index (Bloomberg ticker: SPX) and the Russell 2000® Index (Bloomberg ticker: RTY)
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Payment at Maturity:
If the Final Value of each Index is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return × Upside Leverage Factor)
If the Final Value of either Index is equal to its Initial Value or is less than its Initial Value by up to the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return of the Lesser Performing Index)
If the Final Value of either Index is less than its Initial Value by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the Final Value of either Index is less than its Initial Value by more than the Contingent Buffer Amount, you will lose more than 32.50% of your principal amount at maturity and could lose all of your principal amount at maturity.
Absolute Index Return: With respect to each Index, the absolute value of its Index Return. For example, if the Index Return of an Index is -5%, its Absolute Index Return will equal 5%.
Lesser Performing Index: The Index with the Lesser Performing Index Return
Lesser Performing Index Return: The lower of the Index Returns of the Indices
Index Return: With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial Value: With respect to each Index, the closing level of that Index on the Pricing Date
Final Value: With respect to each Index, the closing level of that Index on the Observation Date
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Upside Leverage Factor: At least 1.10 (to be provided in the pricing supplement)
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Contingent Buffer Amount: 32.50%
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Pricing Date: On or about May 26, 2015
Original Issue Date (Settlement Date): On or about May 29, 2015
Observation Date*: May 28, 2019
Maturity Date*: May 31, 2019
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*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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TS-1 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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an Initial Value for the Lesser Performing Index of 100.00;
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an Upside Leverage Factor of 1.10; and
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a Contingent Buffer Amount of 32.50%.
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Final Value of the Lesser Performing Index
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Lesser Performing Index Return
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Absolute Index Return of the Lesser Performing Index
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Total Return on the Notes
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Payment at Maturity
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165.00
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65.00%
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N/A
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71.50%
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$1,715.00
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150.00
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50.00%
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N/A
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55.00%
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$1,550.00
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140.00
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40.00%
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N/A
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44.00%
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$1,440.00
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130.00
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30.00%
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N/A
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33.00%
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$1,330.00
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120.00
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20.00%
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N/A
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22.00%
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$1,220.00
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115.00
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15.00%
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N/A
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16.50%
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$1,165.00
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110.00
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10.00%
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N/A
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11.00%
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$1,110.00
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105.00
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5.00%
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N/A
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5.50%
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$1,055.00
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101.00
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1.00%
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N/A
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1.10%
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$1,011.00
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100.00
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0.00%
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0.00%
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0.00%
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$1,000.00
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95.00
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-5.00%
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5.00%
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5.00%
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$1,050.00
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90.00
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-10.00%
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10.00%
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10.00%
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$1,100.00
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85.00
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-15.00%
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15.00%
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15.00%
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$1,150.00
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80.00
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-20.00%
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20.00%
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20.00%
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$1,200.00
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70.00
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-30.00%
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30.00%
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30.00%
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$1,300.00
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67.50
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-32.50%
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32.50%
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32.50%
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$1,325.00
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67.49
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-32.51%
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N/A
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-32.51%
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$674.90
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60.00
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-40.00%
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N/A
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-40.00%
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$600.00
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50.00
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-50.00%
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N/A
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-50.00%
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$500.00
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40.00
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-60.00%
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N/A
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-60.00%
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$400.00
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30.00
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-70.00%
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N/A
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-70.00%
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$300.00
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20.00
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-80.00%
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N/A
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-80.00%
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$200.00
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10.00
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-90.00%
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N/A
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-90.00%
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$100.00
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0.00
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-100.00%
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N/A
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-100.00%
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$0.00
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TS-2 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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Assuming a hypothetical Upside Leverage Factor of 1.10, if the closing level of the Lesser Performing Index increases 10.00%, investors will receive at maturity a 11.00% return, or $1,110.00 per $1,000 principal amount note.
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For example, if the closing level of the Lesser Performing Index declines 10.00%, investors will receive at maturity a 10.00% return, or $1,100.00 per $1,000 principal amount note.
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For example, if the closing level of the Lesser Performing Index declines 50.00%, investors will lose 50.00% of their principal amount and receive only $500.00 per $1,000 principal amount note at maturity.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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TS-3 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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YOUR MAXIMUM GAIN ON THE NOTES IF THE LESSER PERFORMING INDEX RETURN IS NEGATIVE IS LIMITED BY THE CONTINGENT BUFFER AMOUNT —
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CREDIT RISK OF JPMORGAN CHASE & CO. —
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POTENTIAL CONFLICTS —
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WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX,
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
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YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING INDEX.
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
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THE NOTES DO NOT PAY INTEREST.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000® INDEX —
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THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER IF THE VALUE OF THAT INDEX IS VOLATILE.
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LACK OF LIQUIDITY —
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TS-4 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
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JPMS’S ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
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JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
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JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT —
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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 —
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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TS-5 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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TS-6 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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TS-7 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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TS-8 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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Product supplement no. 4a-I dated November 7, 2014:
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Underlying supplement no. 1a-I dated November 7, 2014:
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Prospectus supplement and prospectus, each dated November 7, 2014:
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TS-9 | Structured Investments
Dual Directional Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index
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