Term sheet
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011 and
product supplement no. 5-I dated November 17, 2011
Term Sheet to
Product Supplement No. 5-I
Registration Statement No. 333-177923
Dated July 22, 2014; Rule 433

Structured 
Investments 
     

$
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars, due August 10, 2015

General

·The notes are designed for investors who seek exposure to the performance of the JPX-Nikkei Index 400 Total Return, converted into U.S. dollars, subject to the Index Adjustment Factor. Investors should be willing to forgo interest and dividend payments and, if the Index, converted into U.S. dollars, declines or if the Ending Index Level is not greater than the Initial Index Level by at least approximately 1.60536%, be willing to lose some or all of their principal. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
·Unsecured and unsubordinated obligations of JPMorgan Chase & Co. maturing August 10, 2015
·Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof
·The notes are expected to price on or about July 23, 2014 and are expected to settle on or about July 28, 2014.

Key Terms

Index: The JPX-Nikkei Index 400 Total Return (Bloomberg ticker: JPNK400D) (the “Index”), converted into U.S. dollars
Payment at Maturity: Payment at maturity will reflect the performance of the Index, converted into U.S. dollars, subject to the Index Adjustment Factor.  Accordingly, at maturity, you will receive an amount per $1,000 principal amount note calculated as follows:
$1,000 × (1 + Index Return) × Index Adjustment Factor
Because the Index Adjustment Factor is 98.42%, you will lose some or all of your principal amount at maturity if the Index Return is less than approximately 1.60536%.  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.
  If the value of the U.S. dollar appreciates against the Japanese yen, you may lose some or all of your principal amount, even if the Index closing level has increased during the term of the notes.  
Index Return: The performance of the Index, converted into U.S. dollars, from the Initial Index Level to the Ending Index Level, calculated as follows:
  (Ending Index Level – Initial Index Level)
                 Initial Index Level
Index Adjustment Factor: 98.42%
Initial Index Level: The Adjusted Index Level of the Index on the pricing date
Ending Index Level: The arithmetic average of the Adjusted Index Levels of the Index on the Ending Averaging Dates
Adjusted Index Level: On any day, the Index closing level on that day multiplied by the Exchange Rate on that day
Exchange Rate: The “Exchange Rate” on any day will equal an exchange rate of U.S. dollars per one unit of the Japanese yen, as determined by the calculation agent, expressed as one divided by the amount of Japanese yen per U.S. dollar as reported by Reuters Group PLC (“Reuters”) on Reuters page “WMRSPOT12,” or any substitute Reuters page, at approximately 4:00 p.m. Greenwich Mean Time.
Underlying Currency: The Japanese yen
Currency Business Day: A “currency business day” is a day on which (a) dealings in foreign currency in accordance with the practice of the foreign exchange market occur in The City of New York and the principal financial center for the Underlying Currency (which is Tokyo, Japan for the Japanese yen) and (b) banking institutions in The City of New York and that principal financial center are not otherwise authorized or required by law, regulation or executive order to close.
Original Issue Date (Settlement Date): On or about July 28, 2014
Ending Averaging Dates: July 30, 2015, July 31, 2015, August 3, 2015, August 4, 2015 and August 5, 2015 (the “Final Ending Averaging Date”)
Maturity Date: August 10, 2015
CUSIP: 48127DTZ1
Subject to postponement in the event of a market disruption event or currency disruption event and as described under “Description of Notes — Postponement of a Determination Date — A. Notes Linked to a Single Index” and “Description of Notes — Payment at Maturity” in the accompanying product supplement no. 5-I

Investing in the Return Notes involves a number of risks. See “Risk Factors” beginning on page PS-16 of the accompanying product supplement no. 5-I and “Selected Risk Considerations” beginning on page TS-4 of this term sheet.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

  Price to Public (1) Fees and Commissions (2) Proceeds to Issuer
Per note $1,000 $ $
Total $ $ $
(1)See “Supplemental Use of Proceeds” in this term sheet for information about the components of the price to public of the notes.
(2)J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed of $7.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-46 of the accompanying product supplement no. 5-I.

If the notes priced today, the estimated value of the notes as determined by JPMS would be approximately $990.60 per $1,000 principal amount note. JPMS’s estimated value of the notes, when the terms of the notes are set, will be provided by JPMS in the pricing supplement and will not be less than $980.60 per $1,000 principal amount note. See “JPMS’s Estimated Value of the Notes” in this term sheet for additional information.

The notes are not bank deposits 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.

July 22, 2014

 
 

Additional Terms Specific to the Notes

JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer participating in this offering will arrange to send you the prospectus, the prospectus supplement, product supplement no. 5-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. 5-I dated November 17, 2011. 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. 5-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

·Product supplement no. 5-I dated November 17, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211007707/e46168_424b2.pdf
·Prospectus supplement dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007578/e46180_424b2.pdf
·Prospectus dated November 14, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211007568/e46179_424b2.pdf

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.

JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-1
 
 

What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index?

The following table and examples illustrate the hypothetical total return at maturity or payment at maturity for each $1,000 principal amount note. The “total return” as used in this term sheet is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes an Initial Index Level of 117 (based on a hypothetical Index closing level on the pricing date of 11,700 and a hypothetical Exchange Rate on the pricing date of 0.01) and reflects the Index Adjustment Factor of 98.42%. Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.

Ending Index Level Index Return Total Return
234.00000 100.00000% 96.84000%
222.30000 90.00000% 86.99800%
210.60000 80.00000% 77.15600%
198.90000 70.00000% 67.31400%
187.20000 60.00000% 57.47200%
175.50000 50.00000% 47.63000%
163.80000 40.00000% 37.78800%
152.10000 30.00000% 27.94600%
140.40000 20.00000% 18.10400%
128.70000 10.00000% 8.26200%
122.85000 5.00000% 3.34100%
118.87827 1.60536% 0.00000%
118.84860 1.58000% -0.02496%
117.00000 0.00000% -1.58000%
111.15000 -5.00000% -6.50100%
105.30000 -10.00000% -11.42200%
93.60000 -20.00000% -21.26400%
81.90000 -30.00000% -31.10600%
70.20000 -40.00000% -40.94800%
58.50000 -50.00000% -50.79000%
46.80000 -60.00000% -60.63200%
35.10000 -70.00000% -70.47400%
23.40000 -80.00000% -80.31600%
11.70000 -90.00000% -90.15800%
0.00000 -100.00000% -100.00000%

Hypothetical Examples of Amount Payable at Maturity

The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.

Example 1: The level of the Index increases from the Initial Index Level of 117 to an Ending Index Level of 122.85. Because the Ending Index Level of 122.85 is greater than the Initial Index Level of 117 and the Index Return is 5%, the investor receives a payment at maturity of $1,033.41 per $1,000 principal amount note, calculated as follows:

$1,000 × (1 + 5%) × 98.42% = $1,033.41

Example 2: The level of the Index increases from the Initial Index Level of 117 to an Ending Index Level of 118.8486. Although the Ending Index Level of 118.8486 is greater than the Initial Index Level of 117 and the Index Return is 1.58%, because of the adverse effect of the Index Adjustment Factor, the investor receives a payment at maturity of $999.75 per $1,000 principal amount note, calculated as follows:

$1,000 × (1 + 1.58%) × 98.42% = $999.75

Example 3: The level of the Index decreases from the Initial Index Level of 117 to an Ending Index Level of 93.60. Because the Ending Index Level of 93.60 is less than the Initial Index Level of 117 and the Index Return is -20%, the investor receives a payment at maturity of only $787.36 per $1,000 principal amount note, calculated as follows:

$1,000 × (1 + -20%) × 98.42% = $787.36

JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-2
 
 

The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.

Hypothetical Examples of Index Return Calculations

The following examples illustrate how the Index Return is calculated in different hypothetical scenarios. The examples below assume that the hypothetical Index on the pricing date is 11,700, the hypothetical Exchange Rate on the pricing date is 0.01 and, therefore, the hypothetical Initial Index Level is 117. The examples below also assume that the Ending Index Level of the Index is based on the Adjusted Index Level on a single date, which we refer to as the Observation Date. The hypothetical Index Returns set forth below are for illustrative purposes only and may not be the actual Index Returns. The numbers appearing in the following examples have been rounded for ease of analysis.

Example 1: The Index closing level increases from 11,700 on the pricing date to 12,870 on the Observation Date, and the Exchange Rate on the Observation Date remains flat at 0.01 from the pricing date to the Observation Date.

The Ending Index Level is equal to:

12,870 × 0.01 = 128.70

Because the Ending Index Level of 128.70 is greater than the Initial Index Level of 117, the Index Return is positive and is equal to 10%.

Example 2: The Index closing level remains flat at 11,700 from the pricing date to the Observation Date, and the Exchange Rate increases from 0.01 on the pricing date to 0.012 on the Observation Date.

The Ending Index Level is equal to:

11,700 × 0.012 = 140.40

Because the Ending Index Level of 140.40 is greater than the Initial Index Level of 117, the Index Return is positive and is equal to 20%.

Example 3: The Index closing level increases from 11,700 on the pricing date to 12,870 on the Observation Date, and the Exchange Rate increases from 0.01 on the pricing date to 0.012 on the Observation Date.

The Ending Index Level is equal to:

12,870 × 0.012 = 154.44

Because the Ending Index Level of 154.44 is greater than the Initial Index Level of 117, the Index Return is positive and is equal to 32%.

Example 4: The Index closing level increases from 11,700 on the pricing date to 12,870 on the Observation Date, but the Exchange Rate decreases from 0.01 on the pricing date to 0.008 on the Observation Date.

The Ending Index Level of the Index is equal to:

12,870 × 0.008 = 102.96

Even though the closing level of the Index has increased by 10%, because the Exchange Rate has decreased by 20%, the Ending Index Level of 102.96 is less than the Initial Index Level of 117, and the Index Return is negative and is equal to -12%.

Example 5: The Index closing level decreases from 11,700 on the pricing date to 10,530 on the Observation Date, but the Exchange Rate increases from 0.01 on the pricing date to 0.012 on the Observation Date.

The Ending Index Level is equal to:

10,530 × 0.012 = 126.36

Even though the closing level of the Index has decreased by 10%, because the Exchange Rate has increased by 20%, the Ending Index Level of 126.36 is greater than the Initial Index Level of 117, and the Index Return is positive and is equal to 8%.

Example 6: The Index closing level decreases from 11,700 on the pricing date to 10,530 on the Observation Date, and the Exchange Rate decreases from 0.01 on the pricing date to 0.008 on the Observation Date.

The Ending Index Level is equal to:

10,530 × 0.008 = 84.24

Because the Ending Index Level of 84.24 is less than the Initial Index Level of 117, the Index Return is negative and is equal to -28%.

Example 7: The Index closing level remains flat at 11,700 from the pricing date to the Observation Date, and the Exchange Rate decreases from 0.01 on the pricing date to 0.008 on the Observation Date.

The Ending Index Level is equal to:

11,700 × 0.008 = 93.60

Because the Ending Index Level of 93.60 is less than the Initial Index Level of 117, the Index Return is negative and is equal to -20%.

Example 8: The Index closing level decreases from 11,700 on the pricing date to 10,530 on the Observation Date, and the Exchange Rate remains flat at 0.01 from the pricing date to the Observation Date.

The Ending Index Level is equal to:

10,530 × 0.01 = 105.30

Because the Ending Index Level of 105.30 is less than the Initial Index Level of 117, the Index Return is negative and is equal to -10%.

JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-3
 
 

Selected Purchase Considerations

·INVESTMENT EXPOSURE TO THE PERFORMANCE OF THE JPX-NIKKEI INDEX 400 TOTAL RETURN, CONVERTED INTO U.S. DOLLARS — The notes provide exposure to the performance of the Index, converted into U.S. dollars, subject to 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 IN PART TO THE JPX-NIKKEI INDEX 400 TOTAL RETURN — The return on the notes is linked in part to the performance of the JPX-Nikkei Index 400 Total Return.  The JPX-Nikkei Index 400 Total Return is a total return index composed of 400 Japanese common stocks listed on the Tokyo Stock Echange’s First Section, Second Section, Mothers (Market Of The High-growth and EmeRging Stocks) or JASDAQ market.  Constituents are selected based on market capitalization, trading value, return on equity and other factors. For additional information about the Index, see the information set forth in Appendix A to this term sheet.
·POTENTIAL EXCHANGE RATE GAINS — Appreciation of the Japanese yen against the U.S. dollar may increase the Ending Index Level, which is used to calculate the Index Return. Because the Index Return, and therefore the payment at maturity, is linked to the Ending Index Level, you will benefit from any such appreciation, unless offset by a decrease in the Index closing level.
·CAPITAL GAINS TAX TREATMENT You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 5-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.

Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal income tax purposes. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the Internal Revenue Service (the “IRS”) or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected.

Even if the notes are treated as open transactions that are not debt instruments, due to the lack of controlling authority there remain significant additional uncertainties regarding the tax consequences of your ownership and disposition of the notes. For instance, you might be required to include amounts in income during the term of your notes and/or to treat all or a portion of the gain or loss on the taxable disposition of your notes as ordinary income or loss or as short-term capital gain or loss, without regard to how long you held the notes. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.

Notwithstanding the discussion under “Material U.S. Federal Income Tax Consequences — Tax Consequences to Non-U.S. Holders — Recent Legislation” in the accompanying product supplement, withholding under legislation commonly referred to as “FATCA” may apply to amounts treated as interest paid with respect to the notes, if they are recharacterized as debt instruments.  You should consult your tax adviser regarding the potential application of FATCA to the notes.

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index, the Japanese yen relative to the U.S. dollar, or any of the component securities of the Index. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 5-I dated November 17, 2011.

·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 and changes in the Exchange Rate, subject to a reduction by the Index Adjustment Factor. Because the Index Adjustment Factor reduces the payment at maturity, if the Ending Index Level is less than the Initial Index Level by at least
JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-4
 
 

approximately 1.60536%, which includes any loss caused by a change in the Exchange Rate, you will lose some or all of your principal amount at maturity.

·THE INDEX ADJUSTMENT FACTOR WILL DIMINISH ANY INCREASE IN THE ADJUSTED INDEX LEVEL OF THE INDEX AND MAGNIFY ANY DECLINE IN THE ADJUSTED INDEX LEVEL OF THE INDEX — If the Index Return is negative or is less than approximately 1.60536%, at maturity, you will lose some or all of your principal amount. In addition, the Index Adjustment Factor will diminish any increase in the Adjusted Index Level of the Index and magnify any decline in the Adjusted Index Level of the Index. For each 1% that the Ending Index Level is greater than the Initial Index Level, the return on your principal amount will increase by less than 1%. In addition, for each 1% that the Ending Index Level is less than the Initial Index Level, you will lose more than 1% of your principal amount, provided that the payment at maturity will not be less than zero.
·A DECREASE IN THE VALUE OF THE JAPANESE YEN RELATIVE TO THE U.S. DOLLAR MAY ADVERSELY AFFECT YOUR RETURN ON THE NOTES — The return on the notes is based on the performance of the Index and the Exchange Rate. The Ending Index Level is determined based on the Adjusted Index Level, which is the Index closing level, converted into U.S. dollars based on the Exchange Rate. Accordingly, any depreciation in the value of the Japanese yen relative to the U.S. dollar (or conversely, any increase in the value of the U.S. dollar relative to the Japanese yen) may adversely affect your return on the 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. 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 the Notes Generally” in the accompanying product supplement no. 5-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. 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
JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-5
 
 

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.

The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “— Lack of Liquidity” below.

·SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and 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;
·the time to maturity of the notes;
·the dividend rates on the equity securities included in the Index;
·correlation or lack thereof between the Index and the Exchange Rate;
·the exchange rate and the volatility of the exchange rate between the U.S. dollar and the Japanese yen;
·interest and yield rates in the market generally; and
·a variety of other economic, financial, political, regulatory and judicial events.

Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market.

·NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities composing the Index would have. Because the Index Adjustment Factor always reduces the Payment at Maturity, your return from an investment in the notes may be less than the return from a direct investment in the Index or the equity securities included in the Index.
·THE INDEX HAS A LIMITED OPERATING HISTORY — The Index was created on January 6, 2014 and therefore has limited historical performance. Past performance should not be considered indicative of future performance. Because the Index’s past historical performance is extremely 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 to select its components, as described in Appendix A.
·CHANGES IN THE VALUE AND EXCHANGE RATE OF THE INDEX MAY OFFSET EACH OTHER — The notes are linked to the Index, converted into U.S. dollars. Price movements in the Index and movements in the Exchange Rate may not correlate with each other. At a time when the value or Exchange Rate of the Index increases, the Exchange Rate or value, respectively, of the Index may decline. Therefore, in calculating the Ending Index Level, increases in the value or Exchange Rate of the Index may be moderated, or more than offset, by declines in the Exchange Rate or value, respectively, of the Index. There can be no assurance that the Ending Index Level will be higher than the Initial Index Level. You may lose some or all of your principal amount at maturity if the Index Return is less than approximately 1.60536%.
·NON-U.S. SECURITIES RISK — The equity securities that compose the Index 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.
JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-6
 
 

Also, there is generally less publicly available information about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC.

·ALTHOUGH THE JAPANESE YEN AND THE U.S. DOLLAR TRADE AROUND THE CLOCK, THE NOTES WILL NOT — Because the inter-bank market in foreign currencies is a global, around-the-clock market, the hours of trading for the notes, if any, will not conform to the hours during which the Japanese yen and the U.S. dollar are traded. Consequently, significant price and rate movements may take place in the underlying foreign exchange markets that will not be reflected immediately in the price of the notes. Additionally, there is no systematic reporting of last-sale information for foreign currencies which, combined with the limited availability of quotations to individual investors, may make it difficult for many investors to obtain timely and accurate data regarding the state of the underlying foreign exchange markets.
·THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK — Foreign currency exchange rates vary over time, and may vary considerably during the term of the notes. The value of the Japanese yen and the U.S. dollar is at any moment a result of the supply and demand for that currency. Changes in foreign currency exchange rates result over time from the interaction of many factors directly or indirectly affecting economic and political conditions in Japan and the United States, and economic and political developments in other relevant countries.

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 Japan and the United States and between each country and its major trading partners;
·political, civil or military unrest in Japan and the United States; and
·the extent of governmental surplus or deficit in Japan and the United States.

All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies pursued by Japan, the United States and those of other countries important to international trade and finance.

·CUrrency exchange risks can be expected to heighten in periods of financial turmoil — In periods of financial turmoil, capital can move quickly out of regions that are perceived to be more vulnerable to the effects of a crisis than others with sudden and severely adverse consequences to the currencies of those regions. In addition, governments around the world, including the United States government and governments of other major world currencies, have recently made, and may be expected to continue to make, very significant interventions in their economies, and sometimes directly in their currencies. Such interventions affect currency exchange rates globally and, in particular, the value of the Japanese yen relative to the U.S. dollar. Further interventions, other government actions or suspensions of actions, as well as other changes in government economic policy or other financial or economic events affecting the currency markets, may cause currency exchange rates to fluctuate sharply in the future, which could have a material adverse effect on the value of the notes and your return on your investment in the notes at maturity.
·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.
JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-7
 
 

Historical Information — Adjusted Index Performance

The graph below shows the historical weekly performance of the Index, converted into U.S. dollars, from January 10, 2014 through July 18, 2014, based on the weekly Index closing level and the exchange rate of the Underlying Currency as reported by Bloomberg Financial Markets on the relevant dates. The Index was created on January 6, 2014 and therefore has limited historical performance. The Tokyo Stock Exchange was closed on July 21, 2014 due to a local holiday in Japan. The exchange rates used in this graph were determined by reference to the rates reported by Bloomberg Financial Markets and may not be indicative of the Index performance, converted into U.S. dollars using the exchange rates of the Underlying Currency at approximately 4:00 p.m., Greenwich Mean Time, that would be derived from the applicable Reuters page. The Adjusted Index Level of the Index on July 18, 2014 was 115.67491.

Historical Information — Index Performance

The following graph shows the historical weekly performance of the Index from January 10, 2014 through July 18, 2014. The Index was created on January 6, 2014 and therefore has limited historical performance. The Tokyo Stock Exchange was closed on July 21, 2014 due to a local holiday in Japan. The Index closing level on July 18, 2014 was 11,728.88.

JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-8
 
 

Historical Information — Exchange Rate

The graph below shows the historical weekly performance of the Japanese yen expressed in terms of the conventional market quotation (which is the amount of Japanese yen that can be exchanged for one U.S. dollar), as shown on Bloomberg Financial Markets, from January 2, 2009 through July 18, 2014. The exchange rate of the Japanese yen relative to the U.S. dollar, on July 18, 2014, as shown on Bloomberg Financial Markets, was 101.3500.

The exchange rates set forth above and displayed in the graph below are for illustrative purposes only and do not form part of the calculation of the Index Return. The Index Return, assuming no change in the Index closing level, increases when the U.S. dollar depreciates in value against the Japanese yen. Therefore, the Index Return is calculated using the Exchange Rate expressed as one divided by an amount of Japanese yen per U.S. dollar, which is the inverse of the conventional market quotation for the exchange rate of Japanese yen relative to the U.S. dollar set forth above and in the graph below.

The historical exchange rates in the graph below were determined using the rates reported by Bloomberg Financial Markets, which is not the source of the Exchange Rate. The Exchange Rate is determined based on the applicable rate displayed of the applicable Reuters page at approximately 4:00 p.m., Greenwich Mean Time.

The Exchange Rate of the Japanese yen relative to the U.S. dollar on July 18, 2014, was 101.3400, calculated in the manner set forth under “Key Terms — Exchange Rate” on the front cover of this term sheet.

We obtained the Index closing levels and exchange rates needed to construct the graphs from Bloomberg Financial Markets, and we obtained the exchange rate used to calculate the Exchange Rate from Reuters Group PLC, in each case without independent verification. The historical performance of the Index and the Exchange Rate should not be taken as an indication of future performance, and no assurance can be given as to the Index closing level or the Exchange Rate on the pricing date or on any Ending Averaging Date. We cannot give you assurance that the performance of the Index and the Exchange Rate will result in the return of any of your principal.

JPMS’s Estimated Value of the Notes

JPMS’s estimated value of the notes set forth on the cover of this term sheet is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using our internal funding rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the notes. JPMS’s estimated value does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt.  For additional information, see “Selected Risk Considerations — JPMS’s Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.” The value of the derivative or derivatives underlying the economic terms of the notes is derived from JPMS’s internal pricing models. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, JPMS’s estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations — JPMS’s Estimated Value Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates.”

JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-9
 
 

JPMS’s estimated value of the notes will be lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations — JPMS’s Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this term sheet.

Secondary Market Prices of the Notes

For information about factors that will impact any secondary market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this term sheet. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by JPMS. See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than JPMS’s Then-Current Estimated Value of the Notes for a Limited Time Period.”

Supplemental Use of Proceeds

The 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, Assuming a Range of Performances for the Index?”, “Hypothetical Examples of Amount Payable at Maturity” and “Hypothetical Examples of Index Return Calculation” in this term sheet for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linked in Part to the JPX-Nikkei Index 400 Total Return” 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 paragraphs of the section entitled “Use of Proceeds and Hedging” on page PS-31 of the accompanying product supplement no. 5-I are deemed deleted in their entirety. Please refer instead to the discussion set forth above.

JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  TS-10
 
 

APPENDIX A

The JPX-Nikkei Index 400 Total Return

We have derived all information contained in this underlying supplement regarding the JPX-Nikkei Index 400 Total Return, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, the Japan Exchange Group, Inc. (“JPX”), TSE (collectively, the “JPX group”) and Nikkei Inc. (“Nikkei,” and together with the JPX group, the “Index Sponsor”). The JPX-Nikkei Index 400 Total Return was developed by the Index Sponsor and is calculated, maintained and published by the Index Sponsor.

The JPX-Nikkei Index 400 Total Return is reported by Bloomberg L.P. under the ticker symbol “JPNK400D.”

Publication of the JPX-Nikkei Index 400 began on January 6, 2014, based on an initial Index value of 10,000 on August 30, 2013. The JPX-Nikkei Index 400 Total Return index value is computed and published daily at market close via TSE’s Market Information System and is reported to securities companies across Japan and available worldwide through computerized information networks.

The JPX-Nikkei Index 400 is composed of 400 Japanese common stocks listed on the TSE First Section, Second Section, Mothers (Market Of The High-growth and EmeRging Stocks) or JASDAQ market. As of December 30, 2013, 388 constituents were listed on the First Section, one was listed on the Second Section, one was listed on Mothers and 10 were listed on the JASDAQ market. Constituents are selected based on market capitalization, trading value, return on equity and other factors.

The Index components are reviewed annually based on the selection criteria applied as of the final business day of June (the base selection date).  The calculation of the Index using the new constituents will begin at the end of August.  The selection process and criteria are as follows:

 (1)  1,000 stocks are selected based on their trading value over the past three years and the market value on the base selection date.  Stocks are excluded from selection if they fall under any of the following criteria:

·listed for less than three years;
·the company’s liabilities are in excess of its assets during any of the past three fiscal years;
·the company has an operating loss in each of the past three fiscal years;
·the company has a net loss in each of the past three fiscal years;
·the company’s financials have disclosed doubt regarding its ability to continue as a going concern;
·disclosure of insufficient financials controls;
·the stock has been designated as a security to be delisted or security on alert; or
·certain listing violations have occurred over the past year.

(2)  Each stock is scored by (a) three-year average return on equity (weighted 40%), (b) three-year cumulative operating profit (weighted 40%) and (c) market capitalization on the selection base date (weighted 20%), determined as follows:

(3)  400 stocks are selected by the final ranking with the scores calculated above in (2) and qualitative factors from the perspectives of corporate governance and disclosure.  These factors are applied as of the selection base date and include the appointment of at least two independent outside directors, releasing the most recent earnings report according to international financial reporting standards and the release of English language earnings information via TDnet. The final score for each stock equals the sum of the score calculated above in (2) plus the score from the qualitative factors.  Stocks are ranked from highest to lowest based on their final scores, with the exception that stocks with negative three-year average return on equity and whose most recent return on equity are negative or that have negative three-year cumulative operating profit are moved to the bottom of the ranking. In the event of a tie in final scores, the stock with the higher market capitalization is ranked higher. The top 400 stocks based on their rankings are selected for inclusion in the JPX-Nikkei Index 400 Total Return.

The JPX-Nikkei Index 400 Total Return is calculated using free-float adjusted market value weighting and is denominated in points (as a decimal figure) rounded to the second decimal place. The JPX-Nikkei Index 400 Index is calculated by dividing the current free-float adjusted market value (the “Current Market Value”) by the the market value on the base date (the “Base Market Value”). The market value is the sum of the number of shares of each constitutent multiplied by that constitutent’s stock price.

The calculation of the JPX-Nikkei Index 400 Index can be represented by the following formula:

Index =

Current Market Value

x Base Point
Base Market Value
JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return, Converted into U.S. Dollars
  A-1
 
 

The number of shares of each constituent is determined by multiplying the total number of listed shares by the free-float weight ratio following cap-adjustment. The weight of each constituent is capped at 1.5%, and if any constituent exceeds that weight, it is adjusted downwards at the time of the annual review. The free-float weight is determined by excluding the estimated number of listed shares that are deemed not to be available for trading in the market, using publicly available documents.  Among the shares that are treated as non-free-float shares are, among others, shares held by specified types of major shareholders and shares held by board members and other representatives.  The free-float weights are reviewed annually for each index constituent, with the announcement and effective date for each index constituent occurring on a quarterly basis, depending upon the relevant company’s earnings release schedule.  In addition to this annual review, the Index Sponsor may also adjust a company’s free-float weight to reflect extraordinary events.

In order to maintain continuity, the Base Market Value is adjusted from time as a result of an increase or decrease in constitutent issues, capital raising or similar events other than market fluctuations. Such events include, but are not limited to: new listings, delistings, new share issues either through public offerings or through rights offerings to shareholders, issuance of shares as a consequence of exercise of convertible bonds or warrants or mergers, acquisitions, consolidations, company splits or other similar changes in corporate structure.

Adjustments to the JPX-Nikkei 400 Index Total Return to reflect dividends are made in two stages: (1) adjustment using estimated dividends and (2) minor adjustments made to reflect differences between estimated dividends and the dividend amount announced in the earnings report. The estimated dividend amount is derived from announcements in timely disclosure documents or by using the dividend amount for the previous period if the dividend for the current period is not fixed. The formula for the adjustment is as follows:

New Base Market
Value
=

Old Base Market Value x
(Market Value on ex-date – Total Dividends ± Adjustment Amount)

Adjusted Market Value on ex-date

Where the Total Dividends is the sum of dividends for all constituents and the adjustment amount is the increase or decrease in the number of shares used for the index calculation multiplied by the share price used for adjustment.

If the actual dividend announced in the earnings report is different from the estimated dividend used on the ex-dividend date, adjustments are made on the seventh day of the third month after the ex-dividend date. The formula used for the second stage adjustment is the same as that used in the first.

License Agreement with the Index Sponsor

We intend to enter into a non-exclusive license agreement with the Index Sponsor which would provide for the license to J.P. Morgan Securities LLC and certain of our affiliated or subsidiary companies, in exchange for a fee, of the right to use the JPX-Nikkei Index 400 Total Return, which is owned and published by the Index Sponsor, in connection with the notes.

The JPX-Nikkei Index 400 trademarks are subject to the intellectual property rights owned by the Index Sponsor and the Index Sponsor owns all rights relating to the JPX-Nikkei Index 400 Total Return, such as calculation, publication and use of the JPX-Nikkei Index 400 Total Return and relating to the JPX-Nikkei Index 400 trademarks.

The Index Sponsor shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of the JPX-Nikkei Index 400 Total Return or to change the JPX-Nikkei Index 400 trademarks or cease the use thereof.

The Index Sponsor makes no warranty or representation whatsoever, either as to the results stemming from the use of the JPX-Nikkei Index 400 Total Return and the JPX-Nikkei Index 400 trademarks or as to the figure at which the JPX-Nikkei Index 400 Total Return stands on any particular day.

The Index Sponsor gives no assurance regarding accuracy or completeness of the JPX-Nikkei Index 400 Total Return and data contained therein. Further, the JPX-Nikkei Index 400 Total Return shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication of the JPX-Nikkei Index 400 Total Return.

The notes are in no way sponsored, endorsed or promoted by the Index Sponsor.

The Index Sponsor shall not bear any obligation to give an explanation of the notes or any advice on investments to any purchaser of the notes or to the public.

The Index Sponsor neither selects specific stocks or groups thereof nor takes into account any needs of the issuer or any purchaser of the notes, for calculation of the JPX-Nikkei Index 400 Total Return.

Including but not limited to the foregoing, the Index Sponsor shall not be responsible for any damage resulting from the issue and sale of the notes.

JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return
  A-2
 
 

“JPX-Nikkei Index 400” is a trademark of the Index Sponsor. The notes have not been and will not be passed on by the Index Sponsor as to their legality or suitability. The notes will not be issued, endorsed, sold or promoted by the Index Sponsor. THE INDEX SPONSOR MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE NOTES.

The Tokyo Stock Exchange

The TSE is one of the world’s largest securities exchanges in terms of market capitalization. Trading hours are currently from 9:00 a.m. to 11:00 a.m. and from 12:30 p.m. to 3:00 p.m., Tokyo time, Monday through Friday.

Due to the time zone difference, on any normal trading day the TSE will close prior to the opening of business in New York City on the same calendar day. Therefore, the closing level of the JPX-Nikkei Index 400 on a trading day will generally be available in the United States by the opening of business on the same calendar day.

The TSE has adopted certain measures, including daily price floors and ceilings on individual stocks, intended to prevent any extreme short-term price fluctuations resulting from order imbalances. In general, any stock listed on the TSE cannot be traded at a price lower than the applicable price floor or higher than the applicable price ceiling. These price floors and ceilings are expressed in absolute Japanese yen, rather than percentage limits based on the closing price of the stock on the previous trading day. In addition, when there is a major order imbalance in a listed stock, the TSE posts a “special bid quote” or a “special asked quote” for that stock at a specified higher or lower price level than the stock’s last sale price in order to solicit counter-orders and balance supply and demand for the stock. Prospective investors should also be aware that the TSE may suspend the trading of individual stocks in certain limited and extraordinary circumstances, including, for example, unusual trading activity in that stock. As a result, changes in the JPX-Nikkei Index 400 may be limited by price limitations or special quotes, or by suspension of trading, on individual stocks that make up the JPX-Nikkei Index 400, and these limitations, in turn, may adversely affect the value of the notes.

JPMorgan Structured Investments —
Return Notes Linked to the JPX-Nikkei Index 400 Total Return
  A-3