Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation due April 5, 2018
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Interest Review Date for which the closing price of one share of each of the Reference Stocks is greater than or equal to 60.00% of its Initial Value, which we refer to as an Interest Barrier.
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The notes will be automatically called if the closing price of one share of each Reference Stock on any quarterly Autocall Review Date is greater than or equal to its Initial Value.
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Investors in the notes should be willing to accept the risks of owning equities in general and any Reference Stock, in particular.
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Investors in the notes should also be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Interest Review Dates.
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Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
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Payments on the notes are not linked to a basket composed of the Reference Stocks. Payments on the notes are linked to the performance of each of the Reference Stocks individually, as described below.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes are expected to price on or about March 30, 2015 and are expected to settle on or about April 2, 2015.
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CUSIP: 48125UKW1
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$
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$
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Total
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$
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$
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$
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(1) See “Supplemental Use of Proceeds” in this term sheet for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. If the notes priced today, the selling commissions would be approximately $25.00 per $1,000 principal amount note and in no event will these selling commissions exceed $33.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-87 of the accompanying product supplement no. 4a-I.
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Reference Stocks: As specified under “Key Terms Relating to the Reference Stocks” in this term sheet.
Contingent Interest Payments:
If the notes have not been automatically called and the closing price of one share of each Reference Stock on any Interest Review Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to between $9.1667 and $10.8333 (equivalent to a Contingent Interest Rate of between 11.00% and 13.00% per annum, payable at a rate of between 0.91667% and 1.0833% per month) (to be provided in the pricing supplement).
If the closing price of one share of any Reference Stock on any Interest Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review Date.
Contingent Interest Rate: Between 11.00% and 13.00% per annum, payable at a rate of between 0.91667% and 1.0833% per month (to be provided in the pricing supplement)
Interest Barrier / Trigger Value: With respect to each Reference Stock, 60.00% of its Initial Value, as specified under “Key Terms Relating to the Reference Stocks” in this term sheet
Pricing Date: On or about March 30, 2015
Original Issue Date (Settlement Date): On or about April 2, 2015
Interest Review Dates*: April 30, 2015, June 1, 2015, June 30, 2015, July 30, 2015, August 31, 2015, September 30, 2015, October 30, 2015, November 30, 2015, December 30, 2015, February 1, 2016, February 29, 2016, March 30, 2016, May 2, 2016, May 31, 2016, June 30, 2016, August 1, 2016, August 30, 2016, September 30, 2016, October 31, 2016, November 30, 2016, December 30, 2016, January 30, 2017, February 28, 2017, March 30, 2017, May 1, 2017, May 30, 2017, June 30, 2017, July 31, 2017, August 30, 2017, October 2, 2017, October 30, 2017, November 30, 2017, January 2, 2018, January 30, 2018, February 28, 2018 and April 2, 2018 (the “final Review Date”)
Autocall Review Dates*: June 30, 2015, September 30, 2015, December 30, 2015, March 30, 2016, June 30, 2016, September 30, 2016, December 30, 2016, March 30, 2017, June 30, 2017, October 2, 2017 and January 2, 2018
Interest Payment Dates*: May 5, 2015, June 4, 2015, July 6, 2015, August 4, 2015, September 3, 2015, October 5, 2015, November 4, 2015, December 3, 2015, January 5, 2016, February 4, 2016, March 3, 2016, April 4, 2016, May 5, 2016, June 3, 2016, July 6, 2016, August 4, 2016, September 2, 2016, October 3, 2016, November 3, 2016, December 5, 2016, January 5, 2017, February 2, 2017, March 3, 2017, April 4, 2017, May 4, 2017, June 2, 2017, July 6, 2017, August 3, 2017, September 5, 2017, October 5, 2017, November 2, 2017, December 5, 2017, January 5, 2018, February 2, 2018, March 5, 2018 and the Maturity Date
Maturity Date*: April 5, 2018
Call Settlement Date*: If the notes are automatically called on any Autocall Review Date, the first Interest Payment Date immediately following that Autocall Review Date
* Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4a-I
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Automatic Call:
If the closing price of one share of each Reference Stock on any Autocall Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the Interest Review Date corresponding to that Autocall Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each Reference Stock is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final Value of any Reference Stock is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Stock Return)
If the notes have not been automatically called and the Final Value of any Reference Stock is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing Reference Stock: The Reference Stock with the Least Performing Stock Return
Least Performing Stock Return: The lowest of the Stock Returns of the Reference Stocks
Stock Return: With respect to each Reference Stock,
(Final Value – Initial Value)
Initial Value
Initial Value: With respect to each Reference Stock, the closing price of one share of that Reference Stock on the Pricing Date.
Final Value: With respect to each Reference Stock, the closing price of one share of that Reference Stock on the final Review Date
Stock Adjustment Factor: With respect to each Reference Stock, the Stock Adjustment Factor is referenced in determining the closing price of one share of that Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor of each Reference Stock is subject to adjustment upon the occurrence of certain corporate events affecting that Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement no. 4a-I for further information.
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TS-1 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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Reference Stock
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Bloomberg Ticker Symbol
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Initial Value
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Interest Barrier / Trigger Value
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Common stock of Cummins Inc., par value $2.50 per share
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CMI
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$
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$
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Common stock of Gilead Sciences, Inc., par value $0.001 per share
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GILD
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$
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$
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Common stock of Oracle Corporation, par value $0.01 per share
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ORCL
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$
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$
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TS-2 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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Number of Contingent Interest Payments
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Total Contingent Interest Payments
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36
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$330.0000
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35
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$320.8333
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34
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$311.6667
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33
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$302.5000
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32
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$293.3333
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31
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$284.1667
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30
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$275.0000
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29
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$265.8333
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28
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$256.6667
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27
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$247.5000
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26
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$238.3333
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25
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$229.1667
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24
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$220.0000
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23
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$210.8333
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22
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$201.6667
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21
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$192.5000
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20
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$183.3333
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19
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$174.1667
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18
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$165.0000
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17
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$155.8333
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16
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$146.6667
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15
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$137.5000
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14
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$128.3333
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13
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$119.1667
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12
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$110.0000
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11
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$100.8333
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10
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$91.6667
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9
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$82.5000
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8
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$73.3333
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7
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$64.1667
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TS-3 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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Number of Contingent Interest Payments
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Total Contingent Interest Payments
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6
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$55.0000
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5
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$45.8333
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4
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$36.6667
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3
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$27.5000
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2
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$18.3333
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1
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$9.1667
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0
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$0.00
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An Initial Value for the Least Performing Reference Stock of $100.00;
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An Interest Barrier and a Trigger Value for the Least Performing Reference Stock of $60.00 (equal to 60.00% of its hypothetical Initial Value); and
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A Contingent Interest Rate of 11.00% per annum (payable at a rate of 0.91667% per month).
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Date
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Closing Price of One Share of the Least Performing Reference Stock
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Payment (per $1,000 principal amount note)
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First Interest Review Date
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$95.00
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$9.1667
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Second Interest Review Date
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$50.00
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$0
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Third Interest Review Date (First Autocall Review Date)
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$105.00
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$1,009.1667
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Total Payment
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$1,018.333 (1.8333% return)
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TS-4 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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Date
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Closing Price of One Share of the Least Performing Reference Stock
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Payment (per $1,000 principal amount note)
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First Interest Review Date
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$95.00
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$9.1667
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Second Interest Review Date
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$85.00
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$9.1667
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Third Interest Review Date
(First Autocall Review Date)
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$50.00
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$0
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Fourth through Thirty-Fifth Interest Review Dates
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Less than Interest Barrier
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$0
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Final Interest Review Date
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$105.00
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$1,009.1667
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Total Payment
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$1,027.50 (2.75% return)
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Date
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Closing Price of One Share of the Least Performing Reference Stock
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Payment (per $1,000 principal amount note)
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First Interest Review Date
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$55.00
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$0
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Second Interest Review Date
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$50.00
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$0
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Third Interest Review Date
(First Autocall Review Date)
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$45.00
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$0
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Fourth through Thirty-Fifth Interest Review Dates
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Less than Interest Barrier
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$0
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Final Interest Review Date
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$50.00
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$500.00
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Total Payment
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$500.00 (-50.00% return)
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TS-5 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
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CREDIT RISK OF JPMORGAN CHASE & CO. —
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM OF THE NOTES,
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POTENTIAL CONFLICTS —
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH REFERENCE STOCK —
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YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING REFERENCE STOCK.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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TS-6 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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YOU WILL NOT RECEIVE DIVIDENDS ON ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE STOCK.
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NO AFFILIATION WITH ANY REFERENCE STOCK ISSUER —
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS IS LIMITED AND MAY BE DISCRETIONARY —
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THE RISK OF THE CLOSING PRICE OF A REFERENCE STOCK FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE PRICE OF THAT REFERENCE STOCK IS VOLATILE.
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LACK OF LIQUIDITY —
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THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
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JPMS’S ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
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JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
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JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT —
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
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TS-7 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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TS-8 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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Reference Stock
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Bloomberg Ticker Symbol
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Relevant Exchange
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SEC File Number
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Closing Price on March 23, 2015
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Common stock of Cummins Inc., par value $2.50 per share
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CMI
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New York Stock Exchange
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001-04949
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$138.38
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Common stock of Gilead Sciences, Inc., par value $0.001 per share
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GILD
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The NASDAQ Stock Market
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000-19731
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$100.26
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Common stock of Oracle Corporation, par value $0.01 per share†
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ORCL
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New York Stock Exchange
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001-35992
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$44.25
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Cummins Inc. designs, manufactures, distributes and services diesel and natural gas engines and engine-related component products, including filtration, aftertreatment, turbochargers, fuel systems, controls systems, air handling systems and electric power generation systems.
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Gilead Sciences, Inc., is a research-based biopharmaceutical company that discovers, develops and commercializes medicines in areas of unmet medical need. Gilead Sciences, Inc.’s primary areas of focus include human immunodeficiency virus, liver diseases such as chronic hepatitis C virus infection and chronic hepatitis B virus infection, oncology and inflammation, and serious cardiovascular and respiratory conditions.
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Oracle Corporation is a provider of enterprise software and computer hardware products and services that are engineered to work together in the cloud and in the data center. Oracle Corporation’s offerings include Oracle database and middleware software, application software, cloud infrastructure, hardware sytems — including computer server, storage and networking products — and related services.
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TS-9 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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TS-10 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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TS-11 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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TS-12 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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Product supplement no. 4a-I dated November 7, 2014:
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Prospectus supplement and prospectus, each dated November 7, 2014:
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TS-13 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Cummins Inc., the Common Stock of Gilead Sciences, Inc. and the Common Stock of Oracle Corporation
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