Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson due May 3, 2018
|
||
·
|
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 70.00% of its Initial Value, which we refer to as an Interest Barrier.
|
|
·
|
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.
|
|
·
|
Investors in the notes should be willing to accept the risks of owning equities in general and any Reference Stock, in particular.
|
|
·
|
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.
|
|
·
|
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
|
|
·
|
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.
|
|
·
|
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.
|
|
·
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes are expected to price on or about April 28, 2015 and are expected to settle on or about May 1, 2015.
|
|
·
|
CUSIP: 46625HKN9
|
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 $31.00 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.
|
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 $8.0417 and $9.7083 (equivalent to a Contingent Interest Rate of between 9.65% and 11.65% per annum, payable at a rate of between 0.80417% and 0.97083% 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 9.65% and 11.65% per annum, payable at a rate of between 0.80417% and 0.97083% per month (to be provided in the pricing supplement)
Interest Barrier: With respect to each Reference Stock, 70.00% of its Initial Value, as specified under “Key Terms Relating to the Reference Stocks” in this term sheet
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 April 28, 2015
Original Issue Date (Settlement Date): On or about May 1, 2015
Interest Review Dates*: May 28, 2015, June 29, 2015, July 28, 2015, August 28, 2015, September 28, 2015, October 28, 2015, November 30, 2015, December 28, 2015, January 28, 2016, February 29, 2016, March 28, 2016, April 28, 2016, May 31, 2016, June 28, 2016, July 28, 2016, August 29, 2016, September 28, 2016, October 28, 2016, November 28, 2016, December 28, 2016, January 30, 2017, February 28, 2017, March 28, 2017, April 28, 2017, May 30, 2017, June 28, 2017, July 28, 2017, August 28, 2017, September 28, 2017, October 30, 2017, November 28, 2017, December 28, 2017, January 29, 2018, February 28, 2018, March 28, 2018 and April 30, 2018 (the “final Review Date”)
Autocall Review Dates*: July 28, 2015, October 28, 2015, January 28, 2016, April 28, 2016, July 28, 2016, October 28, 2016, January 30, 2017, April 28, 2017, July 28, 2017, October 30, 2017 and January 29, 2018
Interest Payment Dates*: June 2, 2015, July 2, 2015, July 31, 2015, September 2, 2015, October 1, 2015, November 2, 2015, December 3, 2015, December 31, 2015, February 2, 2016, March 3, 2016, March 31, 2016, May 3, 2016, June 3, 2016, July 1, 2016, August 2, 2016, September 1, 2016, October 3, 2016, November 2, 2016, December 1, 2016, January 3, 2017, February 2, 2017, March 3, 2017, March 31, 2017, May 3, 2017, June 2, 2017, July 3, 2017, August 2, 2017, August 31, 2017, October 3, 2017, November 2, 2017, December 1, 2017, January 3, 2018, February 1, 2018, March 5, 2018, April 3, 2018 and the Maturity Date
Maturity Date*: May 3, 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
|
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, if any, 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, you will receive at maturity per $1,000 principal amount note the number of shares of the Least Performing Reference Stock equal to its Physical Delivery Amount (or, at our election, the Cash Value). Fractional shares will be paid in cash.
The market value of that Physical Delivery Amount or the Cash Value will most likely be substantially less than the principal amount of your notes, and may be zero.
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
Physical Delivery Amount: With respect to each Reference Stock, the number of shares of that Reference Stock, per $1,000 principal amount note, equal to $1,000 divided by its Initial Value, times its Stock Adjustment Factor
Cash Value: For each $1,000 principal amount note, $1,000 divided by the Initial Value of the Least Performing Reference Stock, times its Final Value
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.
|
TS-1 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
|
Reference Stock
|
Bloomberg Ticker Symbol
|
Initial Value
|
Interest Barrier
|
Trigger Value
|
Common stock of Apple Inc., par value $0.00001 per share
|
AAPL
|
$
|
$
|
$
|
Class A common stock of Comcast Corporation, par value $0.01 per share
|
CMCSA
|
$
|
$
|
$
|
Common stock of Johnson & Johnson, par value $1.00 per share
|
JNJ
|
$
|
$
|
$
|
TS-2 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
36
|
$289.5000
|
35
|
$281.4583
|
34
|
$273.4167
|
33
|
$265.3750
|
32
|
$257.3333
|
31
|
$249.2917
|
30
|
$241.2500
|
29
|
$233.2083
|
28
|
$225.1667
|
27
|
$217.1250
|
26
|
$209.0833
|
25
|
$201.0417
|
24
|
$193.0000
|
23
|
$184.9583
|
22
|
$176.9167
|
21
|
$168.8750
|
20
|
$160.8333
|
19
|
$152.7917
|
18
|
$144.7500
|
17
|
$136.7083
|
16
|
$128.6667
|
15
|
$120.6250
|
14
|
$112.5833
|
13
|
$104.5417
|
12
|
$96.5000
|
11
|
$88.4583
|
10
|
$80.4167
|
9
|
$72.3750
|
8
|
$64.3333
|
7
|
$56.2917
|
TS-3 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
6
|
$48.2500
|
5
|
$40.2083
|
4
|
$32.1667
|
3
|
$24.1250
|
2
|
$16.0833
|
1
|
$8.0417
|
0
|
$0.0000
|
·
|
An Initial Value for the Least Performing Reference Stock of $100.00;
|
·
|
An Interest Barrier for the Least Performing Reference Stock of $70.00 (equal to 70.00% of its hypothetical Initial Value);
|
·
|
A Trigger Value for the Least Performing Reference Stock of $60.00 (equal to 60.00% of its hypothetical Initial Value); and
|
·
|
A Contingent Interest Rate of 9.65% per annum (payable at a rate of 0.80417% per month).
|
Date
|
Closing Price of One Share of the Least Performing Reference Stock
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
$95.00
|
$8.0417
|
Second Interest Review Date
|
$50.00
|
$0
|
Third Interest Review Date (First Autocall Review Date)
|
$105.00
|
$1,008.0417
|
Total Payment
|
$1,016.0833 (1.6083% return)
|
TS-4 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
Date
|
Closing Price of One Share of the Least Performing Reference Stock
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
$95.00
|
$8.0417
|
Second Interest Review Date
|
$85.00
|
$8.0417
|
Third Interest Review Date
(First Autocall Review Date)
|
$50.00
|
$0
|
Fourth through Thirty-Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Final Interest Review Date
|
$90.00
|
$1,008.0417
|
Total Payment
|
$1,024.125 (2.4125% return)
|
Date
|
Closing Price of One Share of the Least Performing Reference Stock
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
$95.00
|
$8.0417
|
Second Interest Review Date
|
$85.00
|
$8.0417
|
Third Interest Review Date
(First Autocall Review Date)
|
$50.00
|
$0
|
Fourth through Thirty-Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Final Interest Review Date
|
$65.00
|
$1,000.00
|
Total Payment
|
$1,016.0833 (1.6083% return)
|
Date
|
Closing Price of One Share of the Least Performing Reference Stock
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
$55.00
|
$0
|
TS-5 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
Second Interest Review Date
|
$50.00
|
$0
|
Third Interest Review Date
(First Autocall Review Date)
|
$45.00
|
$0
|
Fourth through Thirty-Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Final Interest Review Date
|
$50.00
|
$500.00†
|
Total Payment
|
$500.00† (-50.00% return)
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
·
|
CREDIT RISK OF JPMORGAN CHASE & CO. —
|
TS-6 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
·
|
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,
|
·
|
POTENTIAL CONFLICTS —
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH REFERENCE STOCK —
|
·
|
YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING REFERENCE STOCK.
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE STOCK.
|
·
|
NO AFFILIATION WITH ANY REFERENCE STOCK ISSUER —
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS IS LIMITED AND MAY BE DISCRETIONARY —
|
·
|
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.
|
·
|
LACK OF LIQUIDITY —
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
TS-7 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
·
|
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 DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
·
|
JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT —
|
·
|
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 —
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
TS-8 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
Reference Stock
|
Bloomberg Ticker Symbol
|
Relevant Exchange
|
SEC File Number
|
Closing Price on April 15, 2015
|
Common stock of Apple Inc., par value $0.00001 per share
|
AAPL
|
The NASDAQ Stock Market
|
000-10030
|
$126.78
|
Class A common stock of Comcast Corporation, par value $0.01 per share
|
CMCSA
|
The NASDAQ Stock Market
|
001-32871
|
$59.91
|
Common stock of Johnson & Johnson, par value $1.00 per share
|
JNJ
|
New York Stock Exchange
|
001-03215
|
$100.60
|
·
|
Apple Inc. designs, manufactures and markets mobile communication and media devices, personal computers and portable digital music players and sells a variety of related software, services, accessories, networking solutions and third-party digital content and applications.
|
·
|
Comcast Corporation is a global media and technology company with two primary businesses, Comcast Cable and NBCUniversal.
|
·
|
Johnson & Johnson and its subsidiaries are engaged in the research and development, manufacture and sale of a range of products in the health care field.
|
TS-9 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
TS-10 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
TS-11 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
TS-12 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|
·
|
Product supplement no. 4a-I dated November 7, 2014:
|
·
|
Prospectus supplement and prospectus, each dated November 7, 2014:
|
TS-13 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Comcast Corporation and the Common Stock of Johnson & Johnson
|