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Share Name | Share Symbol | Market | Type |
---|---|---|---|
JP Morgan Chase and Co | NYSE:JPM | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.45 | 0.23% | 192.19 | 194.46 | 190.79 | 192.27 | 7,446,622 | 00:55:07 |
Term sheet
To prospectus dated November 7, 2014, prospectus supplement dated November 7, 2014, product supplement no. 4a-I dated November 7, 2014 and underlying supplement no. 13a-I dated June 24, 2015
|
Term Sheet to
Product Supplement No. 4a-I Registration Statement No. 333-199966 Dated September 1, 2015; Rule 433 |
Structured
Investments |
$
Return Notes Linked to the European Dividend Futures 2018 (USD) Index due December 27, 2018 |
·
|
The notes are designed for investors who seek exposure to the performance of the European Dividend Futures 2018 (USD) Index, as increased by the Index Adjustment Factor. Investors should be willing to forgo interest and dividend payments and, if the Index declines by more than approximately 1.62322%, be willing to lose some or all of their principal.
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·
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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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·
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Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof
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Index:
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The European Dividend Futures 2018 (USD) Index (Bloomberg ticker: SOLEDF18)
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Payment at Maturity:
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Payment at maturity will reflect the performance of the Index, as increased by the Index Adjustment Factor. Accordingly, at maturity, you will receive an amount per $1,000 principal amount note calculated as follows:
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$1,000 × (1 + Index Return) × Index Adjustment Factor
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Because the Index Adjustment Factor is 101.65%, you will lose some or all of your principal amount at maturity if the Index Return reflects a decline in the closing level of the Index of more than approximately 1.62322%. For more information on how the Index Adjustment Factor can affect your payment at maturity, please see “What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index?” in this term sheet.
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Index Return:
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(Ending Index Level – Initial Index Level)
Initial Index Level
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Index Adjustment Factor:
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101.65%
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Initial Index Level:
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The closing level of the Index on the Pricing Date
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Ending Index Level:
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The closing level of the Index on the Observation Date
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Pricing Date:
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On or about September 4, 2015
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Original Issue Date
(Settlement Date):†
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On or about September 9, 2015
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Observation Date:†
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December 21, 2018
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Maturity Date:†
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December 27, 2018
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CUSIP:
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48125U3Q3
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† | Subject to postponement in the event of certain market disruption events and as described under “Supplemental Terms of the Notes — Postponement of a Determination Date — Notes Linked Solely to an Index” in the accompanying underlying supplement no. 13a-I and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I |
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. In no event will these selling commissions exceed $17.50 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. |
· | Product supplement no. 4a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf |
· | Underlying supplement no. 13a-I dated June 24, 2015: http://www.sec.gov/Archives/edgar/data/19617/000089109215005362/e64737_424b2.pdf |
· |
Prospectus supplement and prospectus, each dated November 7, 2014:
|
Ending Index
Level
|
Index Return
|
Total Return
|
220.00000
|
100.00000%
|
103.3000%
|
209.00000
|
90.00000%
|
93.1350%
|
198.00000
|
80.00000%
|
82.9700%
|
187.00000
|
70.00000%
|
72.8050%
|
176.00000
|
60.00000%
|
62.6400%
|
165.00000
|
50.00000%
|
52.4750%
|
154.00000
|
40.00000%
|
42.3100%
|
143.00000
|
30.00000%
|
32.1450%
|
132.00000
|
20.00000%
|
21.9800%
|
121.00000
|
10.00000%
|
11.8150%
|
115.50000
|
5.00000%
|
6.7325%
|
110.00000
|
0.0000%
|
1.6500%
|
108.90000
|
-1.00000%
|
0.6335%
|
108.21446
|
-1.62322%
|
0.0000%
|
104.50000
|
-5.00000%
|
-3.4325%
|
99.00000
|
-10.00000%
|
-8.5150%
|
88.00000
|
-20.00000%
|
-18.6800%
|
77.00000
|
-30.00000%
|
-28.8450%
|
66.00000
|
-40.00000%
|
-39.0100%
|
55.00000
|
-50.00000%
|
-49.1750%
|
44.00000
|
-60.00000%
|
-59.3400%
|
33.00000
|
-70.00000%
|
-69.5050%
|
22.00000
|
-80.00000%
|
-79.6700%
|
11.00000
|
-90.00000%
|
-89.8350%
|
-100.00000%
|
-100.0000%
|
· | INVESTMENT EXPOSURE TO THE PERFORMANCE OF THE EUROPEAN DIVIDEND FUTURES 2018 (USD) INDEX — The notes provide exposure to the performance of the Index, as increased by the Index Adjustment Factor. 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. |
· | RETURN LINKED TO THE EUROPEAN DIVIDEND FUTURES 2018 (USD) INDEX — The Index aims to replicate the returns of a notional investment in a euro-denominated listed futures contract traded on the Eurex Exchange (the “Futures Contract”) that has a final settlement price based on the EURO STOXX 50® DVP (the “Dividend Index”), while attempting to mitigate exposure to fluctuations in the value of the European Union euro relative to the U.S. dollar. While the actual 12-month total dividends on the components of the EURO STOXX 50® Index have tended to be greater than the 12-month expected total dividends implied by the prices of futures contracts referencing those dividends, no assurance can be given that this market trend will be present at any particular time or that it will continue to be observed at all. Past performance should not be considered indicative of future performance. |
· | TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes. |
· | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of your principal. The amount payable at maturity, if any, will reflect the performance of the Index, as increased by the Index Adjustment Factor. Because the Index Adjustment Factor is 101.65%, if the Ending Index Level declines from the Initial Index Level by more than approximately 1.62322%, you will lose some or all of your principal amount at maturity. |
· | CREDIT RISK OF JPMORGAN CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co., and our credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment. |
· | POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as JPMS’s estimated value. In performing these duties, our economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our business activities, including hedging and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement no. 4a-I for additional information about these risks. See also “— Risks Relating to the Index — Our Affiliate, J.P. Morgan Securities LLC, Coordinated with Solactive AG in the Development of the Index” and “Risks Relating to the Index — Issuance, Hedging and Other Trading Activities of Financial Institutions, Including Us, May Adversely Affect the Value of the Notes and May Result in Conflicts of Interest.” |
· | JPMS’S ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — JPMS’s estimated value is only an estimate using several factors. The original issue price of the notes will exceed JPMS’s estimated value because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “JPMS’s Estimated Value of the Notes” in this term sheet. |
· | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — JPMS’s estimated value of the notes is determined by reference to JPMS’s internal pricing models when the terms of the notes are set. This estimated value is based on market conditions and other relevant factors existing at that time and JPMS’s assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for notes that are greater than or less than JPMS’s estimated value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See “JPMS’s Estimated Value of the Notes” in this term sheet. |
· | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “JPMS’s Estimated Value of the Notes” in this term sheet. |
· | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our secondary market credit spreads for structured debt issuances. See “Secondary Market Prices of the Notes” in this term sheet for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
· | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our secondary market credit spreads for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary market prices of the notes. |
· | 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 level of the Index, including: |
· | any actual or potential change in our creditworthiness or credit spreads; |
· | customary bid-ask spreads for similarly sized trades; |
· | secondary market credit spreads for structured debt issuances; |
· | the actual and expected volatility of the Index and the Futures Contract; |
· | the time to maturity of the notes; |
· | the dividend rates on the constituents of the EURO STOXX 50® Index; |
· | interest and yield rates in the market generally; |
· | the exchange rates and the volatility of the exchange rates between the U.S. dollar and the European Union euro and the correlation between those rates and the prices of the Futures Contract; and |
· | a variety of other economic, financial, political, regulatory and judicial events. |
· | OWNING THE NOTES IS NOT THE SAME AS OWNING THE FUTURES CONTRACT OR THE SECURITIES CONSTITUTING THE EURO STOXX 50® INDEX — The return on your notes will not reflect the return you would realize if you actually purchased the Futures Contract or any of the equity securities composing the EURO STOXX 50® Index or other exchange-traded or over-the-counter instruments based on the Index, the Futures Contract, the Dividend Index, the EURO STOXX 50® Index or any of the equity securities composing the EURO STOXX 50® Index. You will not have any rights that holders of those assets or instruments have. |
· | LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. |
· | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions when the terms of the notes are set and will be provided in the pricing supplement. In particular, JPMS’s estimated value will be provided in the pricing supplement and may be as low as the minimum for JPMS’s estimated value set forth on the cover of this term sheet. Accordingly, you should consider your potential investment in the notes based on the minimum for JPMS’s estimated value. |
· | THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE FUTURES CONTRACT — No assurance can be given that the investment strategy on which the Index is based will be successful or that the Index will outperform any alternative strategy that might be employed with respect to the Futures Contract. While the actual 12-month total dividends on the components of the EURO STOXX 50® Index have tended to be greater than the 12-month expected total dividends implied by the prices of futures contracts referencing those dividends, no assurance can be given that this market trend will be present at any particular time or that it will continue to be observed at all. Past performance should not be considered indicative of future performance. The Index does not provide exposure to the price performance of the equities securities included in the EURO STOXX 50® Index, and no assurance can be given that the Index will outperform any alternative strategy that provides exposure to the price performance of those equities securities. |
· | ISSUANCE, HEDGING AND OTHER TRADING ACTIVITIES OF FINANCIAL INSTITUTIONS, INCLUDING US, MAY ADVERSELY AFFECT THE VALUE OF THE NOTES AND MAY RESULT IN CONFLICTS OF INTEREST — The issuance, and related hedging and trading, of products that provide exposure to the price return of the EURO STOXX 50® Index by financial institutions, including us, may be one factor underlying the market trend discussed above under which the actual total dividends on the components of the EURO STOXX 50® Index during the 12-month period preceding the expiry of futures contracts referencing these dividends have tended to be greater than the expected total dividends for the same period implied by the price of the Futures Contract referencing those dividends. As part of their hedging or trading activities, issuers of products linked to the price return of the EURO STOXX 50® Index may have acquired long positions in the dividends on the equities securities included in the EURO STOXX 50® Index that can be monetized by selling the Futures Contract. Any such selling may have created downward pressure on the prices of the Futures Contract, contributing to the market trend discussed above. |
· | THE ISSUERS OF THE EQUITY SECURITIES COMPOSING THE EURO STOXX 50® INDEX MAY REDUCE THE AMOUNT OF DIVIDENDS PAID OR CEASE TO PAY DIVIDENDS AT ANY TIME IN THEIR DISCRETION — The decisions of the issuers of the equity securities composing the EURO STOXX 50® Index regarding whether to pay any dividend, or whether to increase or decrease the amount of the dividend may or may not be correlated with each other. Some or all of these issuers may reduce the amount of dividends paid or cease to pay dividends at any time in their discretion. In addition, the ability of the issuers of the equity securities composing the EURO STOXX 50® Index to pay dividends is subject to various legal and regulatory limitations and to their financial results and availability of cash to be used for the payment of dividends. A reduction in, or the failure to pay, dividends by a large number of these issuers during the 12-month period preceding the expiry of the Futures Contract could have a material adverse effect on the Index and, therefore, on the value of the notes. |
· | PRIOR TO THE EXPIRY OF THE FUTURES CONTRACT, THE LEVEL OF THE INDEX WILL REFLECT, AMONG OTHER THINGS, MARKET EXPECTATIONS OF THE TOTAL CASH DIVIDENDS TO BE PAID DURING THE 12-MONTH PERIOD PRECEDING THE EXPIRY OF THE FUTURES CONTRACT — The final settlement price of the Futures Contract will reflect the total cash distributions on the constituents of the EURO STOXX 50® Index during approximately 12 months prior to the expiry of the Futures Contract. Even though the Futures Contract will trade for five years prior to expiry, the actual cash distributions on the constituents of the EURO STOXX 50® Index will not be known until those cash distributions have been declared during the period of approximately 12 months prior to the expiry of the Futures Contract. Accordingly, before the amounts of those cash distributions are known, the price of the Futures Contract, and the level of the Index, will reflect the market expectations of the total cash dividends to be paid during the 12-month period preceding the expiry of the Futures Contract. In addition, the price of the Futures Contract, and the level of the Index, will be influenced by supply and demand for the Futures Contract. |
· | THE INDEX WILL REFLECT CASH DISTRIBUTIONS ON THE CONSTITUENTS OF THE EURO STOXX 50® ONLY IF THOSE CASH DISTRIBUTIONS HAVE EX-DISTRIBUTION DATES DURING THE PERIOD FROM APPROXIMATELY 12 MONTHS PRECEDING THE EXPIRY OF THE FUTURES CONTRACT TO THE EXPIRY OF THE FUTURES CONTRACT — Even though the Futures Contract will trade for five years prior to |
· | THE INDEX IS CONCENTRATED IN THE PERFORMANCE OF ONE FUTURES CONTRACT — The Index provides exposure to a single futures contract on the Dividend Index that trades on the Eurex Exchange. The Dividend Index reflects distributions on securities of companies located only in the Eurozone. Accordingly, the notes are less diversified than other funds, investment portfolios or indices investing in or tracking a broader range of products and, therefore, could experience greater volatility. You should be aware that other indices may be more diversified than the Index in terms of both the number and variety of futures contracts and underlying distribution sources. You will not benefit, with respect to the notes, from any of the advantages of a diversified investment and will bear the risks of a highly concentrated investment. |
· | THE NOTES ARE LINKED TO A PRICE RETURN INDEX AND NOT A TOTAL RETURN INDEX — The Index is a price return index that reflects the price of the Futures Contract, subject to the effect of fluctuations in the value of the European Union euro relative to the U.S. dollar, and does not reflect total returns. As such, it differs from other indices that reflect total returns. An index tracking futures contracts that reflects “total returns” would reflect such roll yield in addition to interest that could be earned on funds notionally committed to the trading of the applicable futures contracts. Unlike an index that reflects total returns, the Index is affected solely by day-to-day changes in the settlement prices of the Futures Contract, subject to the effect of fluctuations in the value of the European Union euro relative to the U.S. dollar. The Index does not reflect the price returns of the constituents of the EURO STOXX 50® Index. |
· | THE INDEX HAS A LIMITED OPERATING HISTORY — The Index was created on May 15, 2015 and therefore has limited historical performance. Past performance should not be considered indicative of future performance. Because the Index’s past historical performance is limited, your investment in the notes may involve a greater risk than investing in securities linked to one or more indices with an established record of performance. A longer history of actual performance may be helpful in providing more reliable information on which to assess the validity of the methodology that the Index uses. |
· | HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS — The hypothetical back-tested performance of the Index set forth under “Hypothetical Back-tested Data and Historical Information” in this term sheet was calculated on materially the same basis as the performance of the Index is now calculated, but does not represent the actual historical performance of the Index and has not been verified by an independent third party. Alternative modeling techniques or assumptions may produce different hypothetical historical information that might prove to be more appropriate and that might differ significantly from the hypothetical historical information set forth under "Hypothetical Back-tested Data and Historical Information" in this term sheet. In addition, back-tested, hypothetical historical results have inherent limitations. These back-tested results are achieved by means of a retroactive application of a back-tested model designed with the benefit of hindsight. As with actual historical data, hypothetical back-tested data should not be taken as an indication of future performance. |
· | NON-U.S. SECURITIES RISK — The equity securities that constitute the EURO STOXX 50® Index have been issued by non-U.S. companies. Investments in notes linked to distributions on such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC. |
· | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE INDEX — Notwithstanding that the Index attempts to mitigate exposure to fluctuations in the value of the European Union euro relative to the U.S. dollar, holders of the notes will be exposed to currency exchange risk. Your net exposure will depend on the extent to which the European Union euro strengthen or weaken against the U.S. dollar and the Index’s weekly rebalancing of its currency exposure. If the return on the Futures Contract since the last weekly rebalancing is positive, a decline in the value of the European Union euro relative to the U.S. dollar will adversely affect the performance of the Index. Similarly, if the return on the Futures Contract since the last weekly rebalancing is negative, an increase in the value of the European Union euro relative to the U.S. dollar will adversely affect the performance of the Index. |
· | existing and expected rates of inflation; |
· | existing and expected interest rate levels; |
· | the balance of payments in the European Union and in the United States and between each region or country and its major trading partners; |
· | political, civil or military unrest in the European Union and in the United States; and |
· | the extent of governmental surpluses or deficits in the European Union and the United States. |
· | THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY — The Index tracks the returns of a futures contract. The price of a futures contract depends not only on the price of the underlying asset referenced by the futures contract, but also on a range of other factors, including but not limited to changing supply and demand relationships, interest rates, governmental and regulatory policies and the policies of the exchanges on which the futures contracts trade. In addition, the futures markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. These factors and others can cause the prices of futures contracts to be volatile. |
· | SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE FUTURES CONTRACT MAY ADVERSELY AFFECT THE LEVEL OF THE INDEX, AND THEREFORE THE VALUE OF THE NOTES — The Eurex Exchange on which the Futures Contract is traded has regulations that limit the amount of fluctuations in futures contract prices that may occur during a single day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect the level of the Index and, therefore, the value of your notes. |
· | THE SETTLEMENT PRICE OF THE FUTURES CONTRACT MAY NOT BE READILY AVAILABLE — The official settlement price of the Futures Contract is calculated and published by the Eurex Exchange and is used to calculate the level of the Index. Any disruption in trading of the Futures Contract could delay the release or availability of the official settlement price and may delay or prevent the calculation of the Index. |
· | A DECISION BY THE EUREX EXCHANGE ON WHICH THE FUTURES CONTRACT UNDERLYING THE INDEX IS TRADED TO INCREASE MARGIN REQUIREMENT MAY AFFECT THE LEVEL OF THE INDEX — If the Eurex Exchange on which the Futures Contract is traded increases the amount of collateral required to be posted to hold positions in the futures contract (i.e., the margin requirements), market participants who are unwilling or unable to post additional collateral may liquidate their positions, which may cause the level of the Index to decline significantly. |
· | hypothetical back-tested data and historical performance of the Index; |
· | historical performance of the Futures Contract and the exchange rate between the European Union euro and the U.S. dollar; |
· | the final four years of historical performance preceding expiry of the listed futures contract on the Dividend Index traded on EUREX with expiry dates in December of 2012, 2013 and 2014 (the “Expired Futures Contracts”); and |
· | historical performance of the Dividend Index. |
JPMorgan Structured Investments —
|
TS-14
|
Return Notes Linked to the European Dividend Futures 2018 (USD) Index
|
1 Year JP Morgan Chase Chart |
1 Month JP Morgan Chase Chart |
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