7yr ETF Efficiente 5 Variable Annual Income CD

Transcription

1 7yr ETF Efficiente 5 Variable Annual Income CD OVERVIEW JPMorgan ETF Efficiente 5 Index (the strategy ) is a cross-asset strategy that aims to maximize returns per unit of risk by using portfolio optimization technology. The strategy uses the concept of the efficient frontier to select the optimum portfolio from a universe of 12 exchangetraded funds and a cash index, and aims to maximize returns while targeting a realized volatility of 5%. The strategy rebalances monthly and is non-discretionary. The Index levels incorporate an adjustment factor fee of 0.50% per annum. May be appropriate for investors requiring asset and geographical diversification, full repayment of principal at maturity and FDIC Insurance up to applicable limits Summary of Terms Issuer: Minimum Denomination: $1,000 Underlying: Underlying Ticker: JPMorgan Chase Bank, N.A. JPMorgan ETF Efficiente 5 Index EEJPUS5E North America Structured Investments Hypothetical Back-Tested and Historical Performance of the JPMorgan ETF Efficiente 5 Index 50 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Hypothetical back-tested results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical back-tested and historical information that forms part of the information contained in the chart above. Hypothetical Interest Payments** Hypothetical Interest Rates for Interest Payment Dates Principal Return: 100% Rate: Index Return x Index Factor Interest Determination Date Initial Index Level Ending Index Level Index Return Index Factor Index Return x Index Factor Interest Rate Index Return: Index Factor: Minimum Interest Rate: 0.0%* On each Determination Date, (Ending Index Level Starting Index Level) / Starting Index Level 1/n, where n is equal to the number of Determination Dates that have occurred to date, including the current Determination Date. First % % 0.00% Second % 1/2 3.50% 3.50% Third % 1/3 0.00% 0.00% Ending Index Level: Determination Dates: The Index closing level on a Determination Date. Annual Fourth % 1/4-0.25% 0.00% Fifth % 1/5 1.50% 1.50% Pricing Date: July 19, 2013 Maturity Date: July 31, 2020 CUSIP: 48124JR91 Sixth % 1/6 2.42% 2.42% Seventh % 1/7 3.00% 3.00% Preliminary Term Sheet: TF_Efficiente_5_Annual_Income_CD_ Termsheet_48124JR91.pdf For more information about the estimated value of the CDs, which will be lower than the price you paid for the CDs, please see the hyperlink above *To be determined on the Pricing Date, but not less than 0.0% per annum **The hypothetical interest payments set forth above assume a Minimum Interest Rate of 0.0% p.a. and are illustrative and may not be the actual interest payments on the Notes. These returns 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 shown above would likely be lower. J.P. Morgan Structured Investments JPM_Structured_Investments@jpmorgan.com *The hypothetical returns set forth above are illustrative and may not be the actual returns on the CDs. These returns 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 shown above would likely be lower. Return Profile The Interest Rate for each annual Interest Payment Date will be a percentage equal to the Index Return multiplied by the Index Factor, provided that the Interest Rate will not be less than the Minimum Interest Rate. You are entitled to repayment in full of your principal investment plus the minimum return at maturity, even if the strategy declines, subject to the credit risk of JPMorgan Chase & Co.

2 7yr ETF Efficiente 5 Variable Annual Income CD Selected Benefits The CDs offer full repayment of principal at maturity. Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof FDIC Insured up to applicable limits, thereafter exposed to credit risk of JPMorgan Chase Bank, N.A. Investment in the CDs is not subject to a maximum return or averaging in the return calculation. The strategy dynamically allocates among the following 12 ETFs and cash index: ishares JPMorgan USD SPDR S&P 500 ETF Trust (SPY) Emerging Markets Bond Fund (EMB) SPDR Gold Trust (GLD) ishares Russell 2000 Index Fund (IWM) ishares MSCI EAFE Index Fund (EFA) ishares MSCI Emerging Markets Index Fund (EEM) ishares Dow Jones Real Estate Index Fund (IYR) ishares S&P GSCI Commodity- Indexed Trust (GSG) ishares Barclays US Treasury Inflation Protected Securities Fund (TIP) JPMorgan Cash Index USD 3 Month (JPCAUS3M) Disclaimer The information contained in this document is for discussion purposes only. Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. These terms are subject to change, and JPMorgan undertakes no duty to update this information. This document shall be amended, superseded and replaced in its entirety by a subsequent term sheet, disclosure supplement and/or private placement memorandum, and the documents referred to therein. In the event any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/or private placement memorandum, such term sheet, disclosure supplement and/or private placement memorandum shall govern. IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters address herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. The products described herein should generally be held to maturity as early unwinds could result in lower than anticipated returns. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. This material is not a product of JPMorgan Research Departments. JPMorgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities LLC. is a member of FINRA, NYSE and SIPC. Clients should contact their salespersons at, and execute transactions through, a JPMorgan entity qualified in their home jurisdiction unless governing law permits otherwise. Additional information about the symbols depicted in each cube in the top right-hand corner of this fact sheet can be accessed via the hyperlink to one of our filings with the SEC: J.P. Morgan Structured Investments JPM_Structured_Investments@jpmorgan.com North America Structured Investments ishares Barclays 20+ Year Treasury Bond Fund (TLT) ishares iboxx Investment Grade Corporate Bond Fund (LQD) ishares iboxx High Yield Corporate Bond Fund (HYG) Selected Risks The CDs may not pay more than the principal amount at maturity. For each coupon determination date, if the Index Return is negative you may not receive any coupon payments on your CD s. Your aggregate coupon payments may yield a lower return than the Index performance over the term of the CDs. The Index Factor negatively impacts the Rate over time, which can result in lower coupon payments for increases in the Index later in the term of the CDs. The strategy may not be successful. It may not outperform an alternative strategy related to the ETF Constituents. The strategy is subject to emerging markets risk, fixed income risks, currency exchange risk, real estate risk, small capitalization stock risk and the uncertain legal and regulatory regimes which govern commodities future contracts. Our affiliate, JPMS plc, is the index calculation agent and may adjust the index in a way that affects its level. Changes in the value of Index constituents may offset each other. Upon the occurrence of a commodity hedging disruption event, the additional amount will be determined by the calculation agent on the date of such event. Your payment at maturity will be based on a level of the Index prior to the observation date. JPMS estimated value does not represent future values and may differ from others estimates. The value of the CDs which may be reflected in customer account statements may be higher than JPMS current estimated value for a limited time period. JPMS estimated value is derived by reference to an internal funding rate. The tax consequences of the CDs maybe uncertain. You should consult your tax advisor regarding the U.S federal income tax consequences of an investment in the CDs. Lack of liquidity: JPMorgan Securities, LLC, acting as agent for the Issuer (and who we refer to as JPMS), intends to offer to purchase the CDs in the secondary market but is not required to do so. The price, if any, at which JPMS will be willing to purchase CDs from you in the secondary market, if at all, may result in a significant loss of your principal. Potential Conflicts: we and our affiliates play a variety of roles in connection with the CDs, including acting as a calculation agent, hedging our obligations under the CDs, and making the assumptions used to determine the pricing of the CDs and the estimated value of the CDs when the terms are set. It is possible that such hedging or trading activities of ours or our affiliates could result in substantial returns for us or our affiliates while the value of the CDs decline. The risks identified above are not exhaustive. Please see Risk Factors in the applicable disclosure supplement and Selected Risk Considerations in the term sheet for additional information.

3 Term sheet To disclosure statement dated September 20, 2012 and underlying supplement no. CD-2-I dated June 26, 2012 Subject to Completion July 1, 2013 JPMorgan Chase Bank, National Association $ Variable Annual Income Certificates of Deposit Contingent on the Performance of the JPMorgan ETF Efficiente 5 Index due July 31, 2020 General Certificates of deposit (the CDs ) issued by JPMorgan Chase Bank, National Association ( JPMorgan Chase Bank ) maturing July 31, 2020* The CDs are designed for investors who seek variable annual Payments that each depends on the annualized performance of the JPMorgan ETF Efficiente 5 Index from the Pricing Date to the relevant Determination Date, subject to the Minimum Rate. Investors should be willing to forgo dividend payments and any return on this investment beyond the Payments, while seeking payment of principal in full at maturity. The CDs are insured only within the limits and to the extent described in this term sheet and in the accompanying disclosure statement. See Selected Risk Considerations Limitations on FDIC Insurance in this term sheet. Any payment on the CDs in excess of FDIC insurance limits is subject to the credit risk of JPMorgan Chase Bank. Investing in the CDs is not equivalent to investing in a conventional CD or directly in the Index, any of the Basket Constituents or any of the securities, commodities, commodity futures contracts or other assets underlying the Basket Constituents. The level of the Index reflects the deduction of a fee of 0.50% per annum that accrues daily. Minimum denominations of $10,000 (and then in additional increments of $1,000) The CDs are expected to price on or about July 19, 2013 (the Pricing Date ) and to settle on or about July 26, Key Terms Index: JPMorgan ETF Efficiente 5 Index Payment: The Payment per $1,000 CD payable on each annual Payment Date will equal $1,000 Rate. Rate : The Rate for each annual Payment Date will be a percentage equal to (a) the Index Return on the applicable Determination Date multiplied by (b) the Index Factor for that Determination Date, provided that the Rate will not be less than the Minimum Rate. Assuming a Minimum Rate of 0% per annum, if the Rate applicable to a particular Payment Date is equal to the Minimum Rate, you will not receive any Payment on that Payment Date. Accordingly, if the Rate for each Payment Date is equal to the Minimum Rate, you will not receive any Payment over the term of the CDs. Minimum Rate: At least 0% per annum. The actual Minimum Rate will be provided in the disclosure supplement and will not be less than 0% per annum. Index Factor: The Index Factor for each Determination Date will be a fraction equal to 1/n, where n is equal to the number of Determination Dates that have occurred to date, including the Determination Date in question. Please see Selected Risk Considerations Because the Index Factor for Each Determination Date Decreases Over Time, An Earlier Increase in the Index Will Result in a Higher Payment Than a Later Increase in the Index for additional information. Determination July 28, 2014, July 28, 2015, July 26, 2016, July 26, 2017, July 26, 2018, July 26, 2019 and July 28, 2020 Dates*: Payment Dates*: July 31, 2014, July 31, 2015, July 29, 2016, July 31, 2017, July 31, 2018, July 31, 2019 and the Maturity Date Payment at Maturity: At maturity, you will receive a cash payment for each $1,000 CD of your principal amount ($1,000 per CD) (plus the final Payment). Index Return: Ending Index Level Starting Index Level Starting Index Level Starting Index Level: The closing level of the Index on the Pricing Date Ending Index Level: For each Determination Date, the closing level of the Index on that Determination Date Maturity Date*: July 31, 2020 Fees and Discounts: J.P. Morgan Securities LLC, which we refer to as JPMS, and its affiliates, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. If the CDs priced today, the selling commissions would be approximately $35.00 per $1,000 CD and in no event will these selling commissions exceed $35.00 per $1,000 CD. See Use of Proceeds and Hedging in the accompanying disclosure statement for additional information. Early Withdrawals: At par upon death or adjudication of incompetence of a beneficial holder of the CDs. For information about early withdrawals and the limitations on such early withdrawals, see General Terms of the CDs Additions and Withdrawals in the accompanying disclosure statement. CUSIP: 48124JR91 CD Calculation Agent: JPMS * Subject to postponement in the event of a market disruption event and as described under Description of the CDs Payment at Maturity and Description of the CDs Postponement of a Determination Date CDs Linked to a Single Index in the accompanying disclosure statement and Supplemental Terms of the CDs Postponement of a Determination Date CDs linked solely to the ETF Efficiente Index in the accompanying underlying supplement no. CD-2-I. Subject to the impact of a commodity hedging disruption event as described under General Terms of the CDs Consequences of a Commodity Hedging Disruption Event in the accompanying disclosure statement. In the event of a commodity hedging disruption event, we have the right, but not the obligation, to cause the CD Calculation Agent to adjust the Payments payable on each Payment Date that follows the occurrence of that commodity hedging disruption event. Please see Selected Risk Considerations We May Adjust Further Payments If a Commodity Hedging Disruption Event Occurs for additional information. Investing in the CDs involves a number of risks. See Risk Factors beginning on page 7 of the accompanying disclosure statement, Risk Factors beginning on page US-5 of the accompanying underlying supplement no. CD-2-I and Selected Risk Considerations beginning on page TS-4 of this term sheet. If the CDs priced today, the estimated value of the CDs as determined by JPMS would be approximately $ per $1,000 CD. JPMS s estimated value of the CDs, when the terms of the CDs are set, will be provided by JPMS in the disclosure supplement and will not be less than $ per $1,000 CD. See JPMS s Estimated Value of the CDs in this term sheet for additional information.

4 Our affiliate, JPMS, certain of its affiliates and other broker-dealers may use this term sheet and the accompanying disclosure statement in connection with offers and sales of the CDs after the date hereof. July, 2013 TS-2

5 Additional Terms Specific to the CDs You should read this term sheet together with the disclosure statement dated September 20, 2012 and underlying supplement no. CD-2-I dated June 26, This term sheet, together with the accompanying disclosure statement and underlying supplement no. CD-2-I, contains the terms of the CDs and supersedes all 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 and, to the extent of any inconsistency, any certificate of deposit disclosure statement produced and furnished by any unaffiliated dealer. You should carefully consider, among other things, the matters set forth in the Risk Factors sections in the accompanying disclosure statement and underlying supplement no. CD-2-I, as the CDs involve risks not associated with conventional certificates of deposit. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the CDs. You may access the disclosure statement and underlying supplement no. CD-2-I on our website at the following URLs: Disclosure statement dated September 20, 2012: Underlying supplement no. CD-2-I dated June 26, 2012: You may access additional information regarding the JPMorgan ETF Efficiente 5 Index in the Strategy Guide at the following URL: You may access information related to the audited consolidated financial statements of JPMorgan Chase Bank, N.A. as of December 31, 2012 and 2011 and for each of the years ended December 31, 2012, 2011 and 2010 at the following URL: We reserve the right to change the terms of the CDs prior to their issuance. Before you make your investment we will notify you of any changes in the terms of the CDs in a disclosure supplement or amended and restated term sheet on or before the settlement date. As used in this term sheet, we, us, our and JPMorgan Chase Bank refer to JPMorgan Chase Bank, National Association. The JPMorgan ETF Efficiente 5 Index The JPMorgan ETF Efficiente 5 Index (the Index ) was developed and is maintained and calculated by J.P. Morgan Securities plc (formerly known as J.P. Morgan Securities Ltd.) ( JPMS plc ), one of our affiliates. JPMS plc acts as the calculation agent for the Index (the index calculation agent ). The Index is a notional dynamic basket that tracks the excess return of a portfolio of 12 exchange-traded funds ( ETFs ) (each an ETF Constituent, and collectively the ETF Constituents ), with dividends reinvested, and the JPMorgan Cash Index USD 3 Month (the Cash Constituent ) (each a Basket Constituent, and collectively the Basket Constituents ) above the return of the Cash Constituent, less a fee of 0.50% per annum that accrues daily. The Basket Constituents represent a diverse range of asset classes and geographic regions. The Index rebalances monthly a synthetic portfolio composed of the Basket Constituents. The Index is based on the modern portfolio theory approach to asset allocation, which suggests how a rational investor should allocate his capital across the available universe of assets to maximize return for a given risk appetite. The Index uses the concept of an efficient frontier to define the asset allocation of the Index. An efficient frontier for a portfolio of assets defines the optimum return of the portfolio for a given amount of risk. The Index uses the volatility of returns of hypothetical portfolios as the measure of risk. This strategy is based on the assumption that the most efficient allocation of assets is one that maximizes returns per unit of risk. The index level of the ETF Efficiente Index is determined by tracking the return of the synthetic portfolio above the return of the Cash Constituent. The weights assigned to the Basket Constituents within the synthetic portfolio are rebalanced monthly. The strategy assigns the weights to the Basket Constituents based upon the returns and volatilities of multiple hypothetical portfolios comprising the Basket Constituents measured over the previous six months. The re-weighting methodology seeks to identify the weight for each Basket Constituent that would have resulted in the hypothetical portfolio with the highest return over the relevant measurement period, subject to an annualized volatility over the same period of 5% or less. Thus, the portfolio exhibiting the highest return with an annualized TS-1

6 volatility of 5% or less is then selected, with the weightings for such portfolio applied to the Basket Constituents. In the event that none of the portfolios has an annualized volatility equal to or less than 5%, this volatility threshold is increased by 1% and this analysis performed again until a portfolio is selected. The weight of the Cash Constituent at any given time represents the portion of the synthetic portfolio that is uninvested at that time and the Index will reflect no return for that portion. No assurance can be given that the investment strategy used to construct the Index will be successful or that the Index will outperform any alternative basket or strategy that might be constructed from the Basket Constituents. Furthermore, no assurance can be given that the Index will achieve its target volatility of 5%. The actual realized volatility of the Index may be greater or less than 5%. The Index is described as a notional or synthetic portfolio or basket of assets because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index merely references certain assets, the performance of which will be used as a reference point for calculating the level of the Index. The following are the Basket Constituents composing the Index and the maximum weighting constraints assigned to the relevant sector and asset type to which each belongs: Sector Cap Basket Constituent Asset Cap 1 Developed Equities SPDR S&P 500 ETF Trust 20% 2 50% ishares Russell 2000 Index Fund 10% 3 ishares MSCI EAFE Index Fund 20% 4 Bonds ishares Barclays 20+ Year Treasury Bond Fund 20% 5 50% ishares iboxx $ Investment Grade Corporate Bond Fund 20% 6 ishares iboxx $ High Yield Corporate Bond Fund 20% 7 Emerging Markets ishares MSCI Emerging Markets Index Fund 20% 8 25% ishares Emerging Markets Bond Fund 20% 9 Alternative ishares Dow Jones Real Estate Index Fund 20% 10 Investments 25% ishares S&P GSCI Commodity-Indexed Trust 10% 11 SPDR Gold Trust 10% 12 Inflation Protected ishares Barclays TIPS Bond Fund 50% 13 Bonds and Cash JPMorgan Cash Index USD 3 Month 50% 50% See The JPMorgan ETF Efficiente 5 Index in the accompanying underlying supplement no. CD-2-I for more information about the Index and the Basket Constituents. The level of the Index is published each trading day under the Bloomberg ticker symbol EEJPUS5E. Selected Purchase Considerations POTENTIAL PRESERVATION OF CAPITAL AT MATURITY You will receive at least 100% of the principal amount of your CDs if you hold the CDs to maturity, regardless of the performance of the Index, subject to our creditworthiness for any amount in excess of FDIC-insured limits. POTENTIAL ANNUAL COUPON PAYMENTS AT A VARIABLE RATE THAT WILL NOT BE LESS THAN THE MINIMUM COUPON RATE The CDs offer the potential to earn annual Payments with a variable Rate that will not be less than the Minimum Rate of at least 0% per annum. The actual Minimum Rate will be provided in the disclosure supplement and will not be less than 0% per annum. The Rate for each Payment Date is equal to the Index Return on the applicable Determination Date, multiplied by the Index Factor for that Determination Date, provided that the Rate will not be less than the Minimum Rate. Assuming a Minimum Rate of 0% per annum, if the Rate applicable to a particular Payment Date is equal to the Minimum Rate, you will not receive any Payment on that Payment Date. Accordingly, if the Rate TS-2

7 for each Payment Date is equal to the Minimum Rate, you will not receive any Payment over the term of the CDs. If a commodity hedging disruption event occurs, we may adjust further Payments. See Selected Risk Considerations We May Adjust Further Payments If a Commodity Hedging Disruption Event Occurs below. RETURN LINKED TO THE JPMORGAN ETF EFFICIENTE 5 INDEX The return on the CDs is linked to the performance of the JPMorgan ETF Efficiente 5 Index. The Index tracks the excess return of a synthetic portfolio of twelve ETFs and the Cash Constituent using an investment strategy that is based on the modern portfolio theory of asset allocation, which suggests how a rational investor should allocate his capital across the available universe of assets to maximize return for a given risk appetite. The Index uses the concept of an efficient frontier to define the asset allocation of the Index. An efficient frontier for a portfolio of assets defines the optimum return of the portfolio for a given amount of risk. The Index uses the volatility of returns of hypothetical portfolios as the measure of risk. This strategy is based on the assumption that the most efficient allocation of assets is one that maximizes returns per unit of risk. See The JPMorgan ETF Efficiente 5 Index in the accompanying underlying supplement no. CD-2-I. FDIC INSURED The CDs are deposit obligations of JPMorgan Chase Bank and are insured by the FDIC up to applicable limits set by federal law and regulation, currently $250,000 for all deposits held by you in the same ownership capacity at JPMorgan Chase Bank. The principal amount of any CDs owned in excess of this limit is not insured by the FDIC. Under federal legislation adopted in 1993, claims of depositors are entitled to a preference in right of payment over claims of general unsecured creditors in the event of a liquidation or other resolution of any FDIC-insured depository institution. However, there can be no assurance that a depositor would receive the entire uninsured amount of the CDs in any such liquidation or other resolution. Additionally, because each Payment is calculated, in part, using the closing level of the Index on the applicable Determination Date, such Payment will not accrue to a holder of a CD until the relevant Determination Date. Accordingly, any potential Payment will not be eligible for federal deposit insurance prior to the relevant Determination Date. TAX TREATMENT You should review carefully the section entitled Material U.S. Federal Income Tax Consequences in the accompanying disclosure statement. You and we will agree to treat the CDs as variable rate debt instruments for U.S. federal income tax purposes. Assuming this characterization is respected, interest paid on the CDs will generally be taxable to you as ordinary income at the time it accrues or is received, in accordance with your method of accounting for U.S. federal income tax purposes, and gain or loss realized on the sale, exchange or redemption of the CDs generally will be capital gain or loss. However, due to the absence of authorities that directly address the proper characterization of the CDs, the Internal Revenue Service (the IRS ) or a court may not respect the characterization and tax treatment described above. In particular, the IRS could seek to treat the CDs for U.S. federal income tax purposes as contingent payment debt instruments. If the IRS were successful in asserting this treatment, the timing and character of income with respect to the CDs would be significantly affected. Among other things, a U.S. Holder would be required to accrue interest income in each year, subject to adjustments, at a rate equal to our comparable yield on the CDs, and any gain on the sale, exchange or redemption of the CDs would be treated as additional interest income. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the CDs, including possible alternative treatments. See the section entitled Material U.S. Federal Income Tax Consequences in the accompanying disclosure statement for more detailed information. As discussed in the section entitled Material U.S. Federal Income Tax Consequences No Reliance in the accompanying disclosure statement, you cannot use the tax summaries herein for the purpose of avoiding penalties that may be asserted against you under the Internal Revenue Code of 1986, as amended. Non-U.S. Holders - Additional Tax Consideration Non-U.S. Holders should note that recently proposed Treasury regulations, if finalized in their current form, could impose a withholding tax at a rate of 30% (subject to reduction under an applicable income tax treaty) on amounts attributable to U.S.-source dividends (including, potentially, adjustments to account for extraordinary dividends) that are paid or deemed paid after December 31, 2013 under certain financial instruments, if certain other conditions are met. While significant aspects of the application of these proposed regulations to the CDs are uncertain, if these proposed regulations were finalized in their current form, we (or other withholding agents) might determine that withholding is required with respect to CDs held by a Non-U.S. Holder or that the Non-U.S. Holder must provide information to establish that withholding is not required. Non-U.S. Holders should consult their tax advisers regarding the potential application of these proposed regulations. If withholding is so required, we will not be required to pay any additional amounts with respect to amounts so withheld. As discussed in the section entitled Material U.S. Federal Income Tax Consequences No Reliance in the accompanying disclosure statement, you cannot use the tax summaries herein for the purpose of avoiding penalties that may be asserted against you under the Internal Revenue Code of 1986, as amended. TS-3

8 Selected Risk Considerations An investment in the CDs involves significant risks. Investing in the CDs is not equivalent to investing directly in the Index, any of the Basket Constituents or any of the securities, commodities, commodity futures contracts or other assets underlying the Basket Constituents. These risks are explained in more detail in the Risk Factors section of the accompanying disclosure statement and underlying supplement no. CD-2-I. YOU MAY NOT RECEIVE ANY COUPON PAYMENTS ON YOUR CDs IN EXCESS OF THE MINIMUM COUPON RATE FOR EACH COUPON PAYMENT DATE Your only return on the CDs will be the annual Payments that may be payable over the term of the CDs. If the Index has declined from the Pricing Date to the applicable Determination Date, resulting in a negative Index Return, the Rate will be equal to the Minimum Rate and, assuming a Minimum Rate of 0% per annum, you will not receive any Payment on that Payment Date. If the Minimum Rate appliesfor each Payment Date, assuming a Minimum Rate of 0% per annum, you will not receive any Payment over the term of the CDs. The actual Minimum Rate will be provided in the disclosure supplement and will not be less than 0% per annum. Therefore, the return on your investment in the CDs may be less than the amount that would be paid on a conventional certificate of deposit having a similar maturity issued by us. The Payments, if any, paid over the term of the CDs may not compensate you for any loss in value due to inflation and other factors relating to the value of money over time. If a commodity hedging disruption event occurs, we may adjust further Payments. See We May Adjust Further Payments If a Commodity Hedging Disruption Event Occurs below. THE INDEX FACTOR FOR EACH COUPON DETERMINATION DATE AFTER THE FIRST COUPON DETERMINATION DATE MAY LOWER YOUR COUPON RATE FOR THE RELATED COUPON PAYMENT DATE, AND YOUR AGGREGATE COUPON PAYMENTS OVER THE TERM OF THE CDs MAY YIELD A RETURN THAT IS LESS THAN THE INDEX PERFORMANCE OVER THE TERM OF THE CDs Although the Index Return on each Determination Date measures the performance of the Index from the Pricing Date to that Determination Date, the Index Factor for the applicable Determination Date is applied to the Index Return for that Determination Date to annualize the Index Return. Accordingly, even if the Index Return increases from one Determination Date to the next, the Rate for each corresponding Payment Date may not increase in the same proportion and may even decrease. In addition, the return from the Payments, if any, that you may receive over the term of the CDs may be less than the Index performance over the term of the CDs. Please see Sensitivity Analysis Hypothetical Rates for Different Payment Dates for Each $1,000 CD in this term sheet for more information. BECAUSE THE INDEX FACTOR FOR EACH COUPON DETERMINATION DATE DECREASES OVER TIME, AN EARLIER INCREASE IN THE INDEX WILL RESULT IN A HIGHER COUPON PAYMENT THAN A LATER INCREASE IN THE INDEX The Index Factor for each Determination Date is less than the Index Factor for the immediately preceding Determination Date. Accordingly, its impact on the Rate is to reduce the Index Return over time. As a result, an earlier increase in the Index will result in a higher Payment than a single increase in the Index later in the term, unless the later increase is sufficient to offset the negative effect of the Index Factor. If the Index initially depreciates followed by appreciation in the latter term of the CDs or if the Index appreciates more later in the term of the CDs than earlier, your aggregate Payments, if any, may be less than those you could have earned had the Index initially appreciated followed by depreciation in the latter term of the CDs or if the Index had appreciated more earlier in the term of the CDs than later. The negative impact of the Index Factor will also be greater the longer the term of the CDs. THE COUPON RATE DOES NOT REFLECT THE ACTUAL PERFORMANCE OF THE INDEX FROM COUPON DETERMINATION DATE TO COUPON DETERMINATION DATE The Rate for each annual Payment Date is determined by multiplying the Index Return on the applicable Determination Date by the applicable Index Factor and is intended to reflect the annualized Index return on the applicable Determination Date, subject to the Minimum Rate. This is different from, and may be less than, a Rate determined based on the percentage difference of the closing levels of the Index between two Determination Dates. Accordingly, the Payments, if any, on the CDs may be less than the return you could earn on another instrument linked to the Index that pays annual coupons based on the performance of the Index from Determination Date to Determination Date. Please see Sensitivity Analysis Hypothetical Rates for Different Payment Dates for Each $1,000 CD in this term sheet for more information. THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A FEE One way in which the Index may differ from a typical index is that its level will include a deduction from the performance of the Basket Constituents over the Cash Constituent of a fee of 0.50% per annum. This fee will be deducted daily. As a result of the deduction of this fee, the level of the Index will trail the value of a hypothetical identically constituted synthetic portfolio from which no such fee is deducted. THE CDs MAY BE SUBJECT TO THE CREDIT RISK OF JPMORGAN CHASE BANK A depositor purchasing a principal amount of CDs in excess of FDIC insurance limits, when aggregated with all other deposits held by TS-4

9 the depositor in the same right and capacity at JPMorgan Chase Bank, will be subject to the credit risk of JPMorgan Chase Bank. Investors are dependent on JPMorgan Chase s ability to pay any amounts due on the CDs in excess of FDIC insurance limits. Any actual or potential change in creditworthiness, credit ratings or credit spreads related to us or our affiliates, as determined by the market for taking that credit risk, is likely to adversely affect the value of the CDs. WE MAY ADJUST FURTHER COUPON PAYMENTS IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS If we or our affiliates are unable to effect transactions necessary to hedge our obligations under the CDs due to a commodity hedging disruption event, we have the right, but not the obligation, to adjust further Interest Payments. In making such adjustment, the CD Calculation Agent will determine in good faith and in a commercially responsible manner the forward price of the embedded option representing all of the Payments from but excluding the commodity hedging disruption date through and including the maturity date (the Option Value ) as of the date on which we declare a commodity hedging disruption event (such date, a commodity hedging disruption date ). Thereafter, the Payment payable on each Payment Date occurring after the commodity hedging disruption date (each, an Affected Payment Date ) will be, instead of the amount calculated as described under Key Terms Payment above, an amount equal to, for each $1,000 CD, the Option Value divided by the number of Affected Payment Dates, provided that the Payment will not be less than $1,000 the Minimum Rate. Under these circumstances, the Payment on each Affected Interest Payment Date will be fixed, regardless of any appreciation of the Index, which may be significant. Please see General Terms of the CDs Consequences of a Commodity Hedging Disruption Event in the accompanying disclosure statement for more information. POTENTIAL CONFLICTS We and our affiliates play a variety of roles in connection with the issuance of the CDs, including acting as CD calculation agent (the entity that, among other things, determines the closing levels of the Index to be used to determine the amount of any Payment), index calculation agent, sponsor of the Index and a broker for the offering of the CDs, hedging our obligations under the CDs and making the assumptions used to determine the pricing of the CDs and the estimated value of the CDs when the terms of the CDs are set, which we refer to as JPMS s estimated value. In performing these duties, our economic interests and the economic interests of the CD calculation agent, index calculation agent, sponsor of the Index and other affiliates of ours are potentially adverse to your interests as an investor in the CDs. 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 CDs and the value of the CDs. It is possible that hedging or trading activities of ours or our affiliates in connection with the CDs could result in substantial returns for us or our affiliates while the value of the CDs declines. Please refer to Risk Factors Risks Relating to the CDs Generally in the accompanying disclosure statement for additional information about these risks. In addition, one of our affiliates, JPMS, is the sponsor of one of the Basket Constituents (the Cash Constituent). JPMS is also the sponsor of the JPMorgan EMBI Global Core Index, which is the index underlying the ishares JPMorgan USD Emerging Markets Bond Fund, another Basket Constituent. JPMS may, as a last resort, if there are no valid prices available for composite instruments included in the JPMorgan EMBI Global Core Index, price such composite instruments by asking JPMS traders to provide a market bid and ask. We will not have any obligation to consider your interests as a holder of the CDs in taking any corporate action that might affect the values of the Cash Constituent, the JPMorgan EMBI Core Index and the CDs. OUR AFFILIATE, J.P. MORGAN SECURITIES PLC, OR JPMS PLC, IS THE INDEX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL JPMS plc, one of our affiliates, acts as the index calculation agent and is responsible for calculating and maintaining the Index and developing the guidelines and policies governing its composition and calculation. The rules governing the Index may be amended at any time by JPMS plc, in its sole discretion, and the rules also permit the use of discretion by JPMS plc in specific instances, such as the right to substitute a Basket Constituent. Unlike other indices, the maintenance of the Index is not governed by an independent committee. Although judgments, policies and determinations concerning the Index are made by JPMS plc, JPMorgan Chase Bank, as the parent company of JPMS plc, ultimately controls JPMS plc. In addition, the policies and judgments for which JPMS plc is responsible could have an impact, positive or negative, on the level of the Index and the value of your CDs. JPMS plc is under no obligation to consider your interests as an investor in the CDs. Furthermore, the inclusion of the Basket Constituents in the Index is not an investment recommendation by us or JPMS plc of the Basket Constituents or any of the securities, commodities, commodity futures contracts or other assets underlying the Basket Constituents. JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE CDs, AND MAY DO SO IN THE FUTURE. ANY SUCH RESEARCH, OPINIONS OR RECOMMENDATIONS COULD AFFECT THE MARKET VALUE OF THE CDs JPMS and its affiliates publish research from time to time on financial markets and other matters that may influence the value of the CDs, or express opinions or provide recommendations that are inconsistent with purchasing or holding the CDs. JPMS and its affiliates may have published research or other opinions that call into question the investment view implicit in an investment in the CDs. Any research, opinions or recommendations expressed by JPMS or its affiliates may not be consistent with each other and may be TS-5

10 modified from time to time without notice. Investors should undertake their own independent investigation of the merits of investing in the CDs, the Basket Constituents and the securities, commodities, commodity futures contracts and other assets underlying the Basket Constituents included in the Index. JPMS S ESTIMATED VALUE OF THE CDs WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE CDs JPMS s estimated value is only an estimate using several factors. The original issue price of the CDs will exceed JPMS s estimated value because costs associated with selling, structuring and hedging the CDs are included in the original issue price of the CDs. 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 CDs and the estimated cost of hedging our obligations under the CDs. See JPMS s Estimated Value of the CDs in this term sheet. JPMS S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE CDs AND MAY DIFFER FROM OTHERS ESTIMATES JPMS s estimated value of the CDs is determined by reference to JPMS s internal pricing models when the terms of the CDs 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 the CDs 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 CDs 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 CDs from you in secondary market transactions. See JPMS s Estimated Value of the CDs in this term sheet. JPMS S ESTIMATED VALUE IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE The internal funding rate used in the determination of JPMS s estimated value is based on, among other things, our view of the funding value of the CDs as well as the issuance, operational and ongoing liability management costs of the CDs. Our use of an internal funding rate and any potential changes to these rates may have an adverse effect on the terms of the CDs and any secondary market prices of the CDs. See JPMS s Estimated Value of the CDs in this term sheet. THE VALUE OF THE CDs 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 CDs FOR A LIMITED TIME PERIOD We generally expect that some of the costs included in the original issue price of the CDs will be partially paid back to you in connection with any repurchases of your CDs 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 internal secondary market funding rates for structured issuances. See Secondary Market Prices of the CDs in this term sheet for additional information relating to this initial period. Accordingly, the estimated value of your CDs during this initial period may be lower than the value of the CDs as published by JPMS (and which may be shown on your customer account statements). SECONDARY MARKET PRICES OF THE CDs WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE CDs Any secondary market prices of the CDs will likely be lower than the original issue price of the CDs because, among other things, secondary market prices take into account our internal secondary market funding rates for structured 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 CDs. As a result, the price, if any, at which JPMS will be willing to buy CDs 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 CDs. In addition, if JPMS purchases your CDs in the secondary market within six days after their initial issuance, you will be subject to early withdrawal penalties we are required to impose pursuant to Regulation D of the Federal Reserve Board. Under these circumstances, the repurchase price will be less than the original issue price of the CDs. The CDs are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your CDs to maturity. See Lack of Liquidity below. SECONDARY MARKET PRICES OF THE CDs WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS The secondary market price of the CDs 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 or our affiliates creditworthiness or credit spreads; customary bid-ask spreads for similarly sized trades; TS-6

11 our internal secondary market funding rates for structured issuances; the actual and expected volatility of the Index and the Basket Constituents; the time to maturity of the CDs; the dividend rates on the equity securities underlying some of the Basket Constituents; the market price of gold and the market price of the physical commodities upon which the commodity futures contracts that compose some of the Basket Constituents are based; interest and yield rates in the market generally; foreign currency exchange rates; and a variety of other economic, financial, political, regulatory, geographical, agricultural, meteorological and judicial events. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the CDs, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the CDs, if any, at which JPMS may be willing to purchase your CDs in the secondary market. THE COMMODITY FUTURES CONTRACTS UNDERLYING ONE OF THE BASKET CONSTITUENTS ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES The commodity futures contracts underlying one of the Basket Constituents, the ishares S&P GSCI Commodity-Indexed Trust, are subject to legal and regulatory regimes in the United States and, in some cases, in other countries that may change in ways that could adversely affect our ability to hedge our obligations under the CDs and affect the level of the Index. Any future regulatory changes, including but not limited to changes resulting from the Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act ), which was enacted on July 21, 2010, may have a substantial adverse effect on the value of your CDs. Additionally, in accordance with the Dodd-Frank Act, the U.S. Commodity Futures Trading Commission (the CFTC ) in 2011 adopted regulations that establish position limits for certain commodity-based futures contracts, such as futures contracts on certain energy, agricultural and metals based commodities; however, in 2012, the U.S. District Court for the District of Columbia vacated the CFTC rules. The CFTC has appealed the District Court s decision, but no subsequent decision has yet been made. It is expected that the CFTC will also re-propose position limit rules. Any of those rules may reduce liquidity in the exchange-traded market for those commodity-based futures contracts and may result in the index calculation agent exercising its discretionary right to exclude or substitute Basket Constituents, which may, in turn, have an adverse effect on the level of the Index and your any payments on the CDs. Furthermore, we or our affiliates may be unable as a result of those restrictions to effect transactions necessary to hedge our obligations under the CDs resulting in a commodity hedging disruption event, in which case we may, in our sole and absolute discretion, cause the CDs calculation agent to adjust future Interest Payments. Please see We May Adjust Further Payments If a Commodity Hedging Disruption Event Occurs. NO DIVIDEND PAYMENTS OR VOTING RIGHTS As a holder of the CDs, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the Basket Constituents or the securities, commodities, commodity futures contracts or other assets underlying the Basket Constituents would have. THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE BASKET CONSTITUENTS OR ACHIEVE ITS TARGET VOLATILITY The Index follows a notional rules-based proprietary strategy that operates on the basis of pre-determined rules. No assurance can be given that the investment strategy on which the Index is based will be successful or that the Index will outperform any alternative strategy that might be employed in respect of the Basket Constituents. Furthermore, no assurance can be given that the Index will achieve its target volatility of 5%. The actual realized volatility of the Index may be greater or less than 5%. THE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES The exposures to the Basket Constituents are purely notional and will exist solely in the records maintained by or on behalf of the index calculation agent. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. Consequently, you will not have any claim against any of the reference assets that compose the Index. The Index tracks the excess return of a notional dynamic basket of assets over the Cash Constituent and, as such, any allocation to the Cash Constituent will result in this portion of the portfolio not being invested. Unless an extraordinary event occurs, the Cash Constituent will be subject to a maximum weight of 50% in the Index. Please see The Basket Constituents Composing the Index May Be Replaced by a Substitute ETF or Index for more information about the consequences of an extraordinary event. OWNING THE CDs INVOLVES THE RISKS ASSOCIATED WITH THE INDEX S MOMENTUM INVESTMENT STRATEGY The Index employs a mathematical model intended to implement what is generally known as a momentum investment strategy, which seeks to capitalize on positive market price trends based on the supposition that positive market price trends may continue. This strategy is different from a strategy that seeks long-term exposure to a portfolio consisting of constant components with fixed weights. The Index may fail to realize TS-7