Certificates of Deposit Linked to the JPMorgan Optimax Market-Neutral Index due December 31, 2021

Transcription

1 Nvember 27, 2015 JPMrgan Chase Bank, Natinal Assciatin Structured Investments Certificates f Depsit Linked t the JPMrgan Optimax Market-Neutral due December 31, 2021 The certificates f depsit ( CDs ) are designed fr investrs wh seek expsure t any appreciatin f the JPMrgan Optimax Market-Neutral ver the term f the CDs. Investrs shuld be willing t frg interest payments, while seeking full repayment f principal at maturity. The CDs are issued by JPMrgan Chase Bank, Natinal Assciatin ( JPMrgan Chase Bank ). The CDs are insured nly within the limits and t the extent described in this term sheet and in the accmpanying disclsure statement. See Selected Risk Cnsideratins Limitatins n FDIC Insurance in this term sheet. Any payment n the CDs in excess f FDIC insurance limits is subject t the credit risk f JPMrgan Chase Bank. Investing in the CDs is nt equivalent t investing in a cnventinal CD r directly in the JPMrgan Optimax Market- Neutral r any f its Cnstituents. Minimum denminatins f $1,000 and integral multiples theref The CDs are expected t price n December 23, 2015 and are expected t settle n r abut December 31, CUSIP: 48125YVN1 Investing in the CDs invlves a number f risks. See Risk Factrs beginning n page 7 f the accmpanying disclsure statement, Risk Factrs beginning n page US-6 f the accmpanying underlying supplement n. CD-12-I and Selected Risk Cnsideratins beginning n page TS-4 f this term sheet. Fees and Discunts: J.P. Mrgan Securities LLC, which we refer t as JPMS, and its affiliates will pay all f the selling cmmissins received frm us t ther affiliated r unaffiliated dealers. If the CDs priced tday, the selling cmmissins wuld be apprximately $30.00 per $1,000 CD, and in n event will these selling cmmissins exceed $45.00 per $1,000 CD. If the CDs priced tday, the estimated value f the CDs as determined by JPMS wuld be apprximately $ per $1,000 CD. JPMS s estimated value f the CDs, when the terms f the CDs are set, will be prvided by JPMS in the disclsure supplement and will nt be less than $ per $1,000 CD. See JPMS s Estimated Value f the CDs in this term sheet fr additinal infrmatin. Our affiliate, JPMS, certain f its affiliates and ther brker-dealers may use this term sheet and the accmpanying disclsure statement in cnnectin with ffers and sales f the CDs after the date heref. Term sheet t the disclsure statement dated January 29, 2015 and underlying supplement n. CD-12-I dated July 31, 2013

2 Key Terms : The JPMrgan Optimax Market-Neutral (Blmberg ticker: CMDTOMER). The level f the reflects the deductin f a fee f 0.96% per annum that accrues daily. Participatin Rate: At least 150% (t be prvided in the disclsure supplement) Pricing Date: On r abut December 23, 2015 Original Issue Date (Settlement Date): On r abut December 31, 2015 Observatin Date*: December 28, 2021 Maturity Date*: December 31, 2021 * Subject t pstpnement in the event f a market disruptin event and as described under Supplemental Terms f the CDs Pstpnement f a Determinatin Date CDs linked slely t a JPMrgan Optimax in the accmpanying underlying supplement and General Terms f the CDs Pstpnement f a Determinatin Date CDs Linked t a Single Underlying CDs Linked t a Single Cmmdity and General Terms f the CDs Pstpnement f a Payment Date in the accmpanying disclsure statement Return: (Final Value Initial Value) Initial Value Initial Value: The clsing level f the n the Pricing Date Final Value: The clsing level f the n the Observatin Date Payment at Maturity: At maturity, yu will receive a cash payment, fr each $1,000 CD, f $1,000 plus the Additinal Amunt, which may be zer. Yu will receive n ther interest payments during the term f the CDs. The repayment f yur full principal amunt applies nly at maturity, subject t the credit risk f JPMrgan Chase Bank and applicable FDIC limits. Additinal Amunt : The Additinal Amunt payable at maturity per $1,000 CD will equal: $1,000 the Return the Participatin Rate, prvided that the Additinal Amunt will nt be less than zer. Subject t the impact f a cmmdity hedging disruptin event as described under General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event Adjustment f the Payment at Maturity in the accmpanying disclsure statement. In the event f a cmmdity hedging disruptin event, we have the right, but nt the bligatin, t cause the CD calculatin agent t determine n the cmmdity hedging disruptin date the value f the Additinal Amunt payable at maturity. Under these circumstances, the value f the Additinal Amunt payable at maturity will be determined prir t, and withut regard t the clsing level f the n, the Observatin Date. Early Withdrawals: At par upn death r adjudicatin f incmpetence f a beneficial hlder f the CDs. Fr infrmatin abut early withdrawals and the limitatins n such early withdrawals, see General Terms f the CDs Additins and Withdrawals in the accmpanying disclsure statement. TS-1 Structured Investments

3 The JPMrgan Optimax Market-Neutral The JPMrgan Optimax Market-Neutral was develped and is maintained by J.P. Mrgan Securities plc ( JPMS plc ), ne f ur affiliates. JPMS plc acts as the calculatin agent fr the (the Optimax Calculatin Agent ). The references the value f a synthetic prtfli f 18 cmmdity cnstituents (the Cnstituents ), each f which is a sub-index f the S&P GSCI TM ( S&P GSCI TM ) and is intended t serve as a benchmark value fr a particular cmmdity. The emplys a strategy that is based n mdern prtfli thery and mmentum thery. Each mnth, the Optimax Calculatin Agent will rebalance the t take synthetic lng and shrt psitins in the Cnstituents based n mathematical rules that accunt fr the fllwing variables: (a) the returns f each Cnstituent ver the preceding twelve mnths, which are used t determine the estimated return f each Cnstituent in the fllwing mnth (after accunting fr any effects f seasnality), (b) the cvariance between the Cnstituents, which is a measure f the degree t which tw Cnstituents change relative t each ther, (c) the vlatility f the Cnstituents ver the preceding three mnths and the preceding twelve mnths; and (d) cnstraints applicable t the weights f the Cnstituents f each. The Optimax Market-Neutral is rebalanced mnthly in a manner that resets the aggregate weighting f the Cnstituents t zer and applies certain vlatility and diversificatin cnstraints. After accunting fr these factrs, the will generally take lng synthetic psitins in the Cnstituents with psitive estimated future returns and shrt synthetic psitins in the Cnstituents with negative estimated future returns (althugh in certain circumstances, the might take shrt synthetic psitins in Cnstituents with psitive estimated future returns r lng synthetic psitins in Cnstituents with negative estimated future returns t accunt fr seasnality f certain cmmdities). The rebalancing algrithm is intended t take advantage f the insights f mdern prtfli thery and mmentum thery. Mdern prtfli thery analyzes the relatinship between assets cntained within a prtfli, and allcates the weights f thse assets in an effrt t btain an efficient prtfli (i.e., a prtfli with the highest expected return fr a given level f risk). Mmentum thery seeks t capitalize n psitive and negative trends in the levels f the Cnstituents n the assumptin that if certain Cnstituents perfrmed well r prly in the past, they will cntinue t perfrm well r prly in the future. The value f the is the value f the synthetic prtfli, less a hypthetical replicatin adjustment factr, a fee f 0.96% per annum. The is reprted by Blmberg Prfessinal service ( Blmberg ) under the ticker symbl CMDTOMER. See The JPMrgan Optimax Market-Neutral in the accmpanying underlying supplement fr mre infrmatin abut the and the Cnstituents. TS-2 Structured Investments

4 Hypthetical Payut Prfile The fllwing table and graph illustrate the hypthetical payment at maturity n the CDs linked t a hypthetical index. The hypthetical payments set frth belw assume: an Initial Value f 100 and a Participatin Rate f 150%. The hypthetical Initial Value f 100 has been chsen fr illustrative purpses nly and may nt represent a likely actual Initial Value. The actual Initial Value will be based n the clsing level f the n the Pricing Date and will be prvided in the disclsure supplement. Fr histrical data regarding the actual clsing level f the, please see the histrical infrmatin set frth under Hypthetical Back-Tested Data and Histrical Infrmatin in this term sheet. Each hypthetical payment at maturity set frth belw is fr illustrative purpses nly and may nt be the actual payment at maturity applicable t a purchaser f the CDs. The numbers appearing in the fllwing table and graph have been runded fr ease f analysis. Final Value Return Additinal Amunt Payment at Maturity Annual Percentage Yield % $1, $2, % % $1, $2, % % $ $1, % % $ $1, % % $ $1, % % $ $1, % % $ $1, % % $ $1, % % $ $1, % % $75.00 $1, % % $0.00 $1, % % N/A $1, % % N/A $1, % % N/A $1, % % N/A $1, % % N/A $1, % % N/A $1, % % N/A $1, % % N/A $1, % % N/A $1, % % N/A $1, % % N/A $1, % TS-3 Structured Investments

5 Payment at Maturity The fllwing graph demnstrates the hypthetical ttal returns and hypthetical payments at maturity n the CDs at maturity fr a subset f Returns detailed in the table abve (-30% t 40%). We cannt give yu assurance that the perfrmance f the will result in a payment at maturity in excess f $1,000 per $1,000 CD. $1,600 $1,500 $1,400 CD Payff at Maturity Perfrmance $1,300 $1,200 $1,100 $1,000 $900 $800 $700-30% -20% -10% 0% 10% 20% 30% 40% Return Hw the CDs Wrk Upside Scenari: If the Final Value is greater than the Initial Value, investrs will receive at maturity the $1,000 principal amunt plus the Additinal Amunt, which is equal t $1,000 times the Return times the Participatin Rate, which will be at least %, fr each $1,000 CD. Assuming a hypthetical Participatin Rate f %, if the clsing level f the increases 5.00%, investrs will receive at maturity a 7.50% return, r $1, per $1,000 CD. Par Scenari: If the Final Value is equal t the Initial Value r is less than the Initial Value, the Additinal Amunt will be zer and investrs will receive at maturity the principal amunt f their CDs. The hypthetical returns and hypthetical payments n the CDs shwn abve apply nly if yu hld the CDs fr their entire term. These hyptheticals d nt reflect the fees r expenses that wuld be assciated with any sale in the secndary market. If these fees and expenses were included, the hypthetical returns and hypthetical payments shwn abve wuld likely be lwer. Selected Risk Cnsideratins An investment in the CDs invlves significant risks. These risks are explained in mre detail in the Risk Factrs sectins f the accmpanying disclsure statement and underlying supplement. Risks Relating t the CDs Generally THE CDs MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY If the Final Value is less than r equal t the Initial Value, yu will receive nly the principal amunt f yur CDs at maturity, and yu will nt be cmpensated fr any lss in value due t inflatin and ther factrs relating t the value f mney ver time. THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A HYPOTHETICAL REPLICATION ADJUSTMENT FACTOR OF 0.96% PER ANNUM As a result f the deductin f this amunt, the value f an investment linked t the level f the will trail the value f a hypthetical identically cnstituted synthetic prtfli frm which n such amunt is deducted. TS-4 Structured Investments

6 CREDIT RISK OF JPMORGAN CHASE BANK A depsitr purchasing a principal amunt f CDs in excess f FDIC insurance limits, when aggregated with all ther depsits held by the depsitr in the same right and capacity at JPMrgan Chase Bank, will be subject t the credit risk f JPMrgan Chase Bank. Investrs are dependent n JPMrgan Chase Bank s ability t pay any amunts due n the CDs in excess f FDIC insurance limits. Any actual r ptential change in the creditwrthiness, credit ratings r credit spreads related t us r ur affiliates, as determined by the market fr taking that credit risk, is likely t adversely affect the value f the CDs. WE MAY DETERMINE THE ADDITIONAL AMOUNT FOR YOUR CDs EARLY IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS If we r ur affiliates are unable t effect transactins necessary t hedge ur bligatins under the CDs due t a cmmdity hedging disruptin event, we may, in ur sle and abslute discretin, cause the CD calculatin agent t determine the Additinal Amunt fr yur CDs early based n the CD calculatin agent s gd faith determinatin f the ptin value fr yur CDs (i.e., the price f the embedded ptin representing the Additinal Amunt payable n the CDs at maturity) n the date n which the CD calculatin agent determines that a cmmdity hedging disruptin event has ccurred, which may be significantly earlier than the Observatin Date. Under these circumstances, the amunt due and payable n yur CDs will be due and payable nly at maturity, and that amunt will nt reflect any appreciatin f the after such early determinatin. See General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event in the accmpanying disclsure statement fr mre infrmatin. POTENTIAL CONFLICTS We and ur affiliates play a variety f rles in cnnectin with the CDs. In perfrming these duties, ur ecnmic interests are ptentially adverse t yur interests as an investr in the CDs. It is pssible that hedging r trading activities f urs r ur affiliates in cnnectin with the CDs culd result in substantial returns fr us r ur affiliates while the value f the CDs declines. Please refer t Risk Factrs Risks Relating t Cnflicts f Interest in the accmpanying disclsure statement. THE CDs DO NOT PAY INTEREST. 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 research, pinins r recmmendatins culd affect the market value f the CDs. Investrs shuld undertake their wn independent investigatin f the merits f investing in the CDs and the Cnstituents and the cntracts related t the r its Cnstituents. LACK OF LIQUIDITY The CDs will nt be listed n an rganized securities exchange. JPMS and its affiliates may ffer t purchase the CDs upn terms and cnditins acceptable t them, but are nt required t d s. Yu may nt be able t sell yur CDs. The CDs are nt designed t be shrt-term trading instruments. Accrdingly, yu shuld be able and willing t hld yur CDs t maturity. Fr mre infrmatin, see General Terms f the CDs Additins and Withdrawals and Discunts and Secndary Market in the accmpanying disclsure statement. LIMITATIONS ON FDIC INSURANCE As a general matter, hlders wh purchase CDs in a principal amunt greater than the applicable limits set by federal law and regulatin will nt be insured by the FDIC fr the principal amunt exceeding such limit. In additin, under FDIC interpretatins, the return n the CDs, which is reflected in the frm f the Additinal Amunt, is nt insured by the FDIC until the Observatin Date. Any amunts due n the CDs in excess f the applicable FDIC insurance limits will be subject t the credit risk f JPMrgan Chase Bank. Fr mre infrmatin, see Depsit Insurance in the accmpanying disclsure statement. THE FINAL TERMS AND VALUATION OF THE CDs WILL BE PROVIDED IN THE DISCLOSURE SUPPLEMENT Yu shuld cnsider yur ptential investment in the CDs based n the minimums fr JPMS s estimated value and the Participatin Rate. 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 nly an estimate using several factrs. The riginal issue price f the CDs will exceed JPMS s estimated value because csts assciated with selling, structuring and hedging the CDs are included in the riginal issue price f the CDs. These csts include the selling cmmissins, the prjected prfits, if any, that ur affiliates expect t realize fr assuming TS-5 Structured Investments

7 risks inherent in hedging ur bligatins under the CDs and the estimated cst f hedging ur bligatins under the CDs. See JPMS s Estimated Value f the CDs in this term sheet. JPMS S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE CDs AND MAY DIFFER FROM OTHERS ESTIMATES See JPMS s Estimated Value f 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 determinatin f JPMS s estimated value is based n, amng ther things, ur view f the funding value f the CDs as well as the issuance, peratinal and nging liability management csts f the CDs. Our use f an internal funding rate and any ptential changes t these rates may have an adverse effect n the terms f the CDs and any secndary market prices f the CDs. See JPMS s Estimated Value f 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 sme f the csts included in the riginal issue price f the CDs will be partially paid back t yu in cnnectin with any repurchases f yur CDs by JPMS in an amunt that will decline t zer ver an initial predetermined perid. See Secndary Market Prices f the CDs in this term sheet fr additinal infrmatin relating t this initial perid. Accrdingly, the estimated value f yur CDs during this initial perid may be lwer than the value f the CDs as published by JPMS (and which may be shwn n yur custmer accunt statements). SECONDARY MARKET PRICES OF THE CDs WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE CDs Any secndary market prices f the CDs will likely be lwer than the riginal issue price f the CDs because, amng ther things, secndary market prices take int accunt ur internal secndary market funding rates fr structured issuances and, als, because secndary market prices (a) exclude selling cmmissins and (b) may exclude prjected hedging prfits, if any, and estimated hedging csts that are included in the riginal issue price f the CDs. As a result, the price, if any, at which JPMS will be willing t buy the CDs frm yu in secndary market transactins, if at all, is likely t be lwer than the riginal issue price. Any sale by yu prir t the Maturity Date culd result in a substantial lss t yu. In additin, if JPMS purchases yur CDs in the secndary market within six days after their initial issuance, yu will be subject t early withdrawal penalties we are required t impse pursuant t Regulatin D f the Federal Reserve Bard. Under these circumstances, the repurchase price will be less than the riginal issue price f the CDs. SECONDARY MARKET PRICES OF THE CDs WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS The secndary market price f the CDs during their term will be impacted by a number f ecnmic and market factrs, which may either ffset r magnify each ther, aside frm the selling cmmissins, prjected hedging prfits, if any, estimated hedging csts and the level f the. Additinally, independent pricing vendrs and/r third party brker-dealers may publish a price fr the CDs, which may als be reflected n custmer accunt statements. This price may be different (higher r lwer) than the price f the CDs, if any, at which JPMS may be willing t purchase yur CDs in the secndary market. See Risk Factrs Risks Relating t the Estimated Value f Secndary Market Prices f the CDs Secndary market prices f the CDs will be impacted by many ecnmic and market factrs in the accmpanying disclsure statement. Risks Relating t the OUR AFFILIATE, JPMS PLC, IS THE OPTIMAX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL JPMS plc, ne f ur affiliates, acts as the Optimax Calculatin Agent and is respnsible fr calculating and maintaining the and develping the guidelines and plicies gverning its cmpsitin and calculatin. The rules gverning the may be amended at any time by JPMS plc, in its sle discretin, and the rules als permit the use f discretin by JPMS plc in specific instances, such as the right t substitute r exclude a Cnstituent. Unlike ther indices, the maintenance f the is nt gverned by an independent cmmittee. Althugh judgments, plicies and determinatins cncerning the are made by JPMS plc, JPMrgan Chase Bank, as the parent cmpany f JPMS plc, ultimately cntrls JPMS plc. In additin, the plicies and judgments fr which JPMS plc is respnsible culd have an impact, psitive r negative, n the level f the and the value f yur CDs. JPMS plc is under n bligatin t cnsider yur interests as an investr in the CDs. TS-6 Structured Investments

8 Furthermre, the inclusin f the Cnstituents in the is nt an investment recmmendatin by us r JPMS plc f the Cnstituents r any cntracts related t the r its Cnstituents. THE COMMODITY FUTURES CONTRACTS UNDERLYING THE CONSTITUENTS ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES The cmmdity futures cntracts underlying the Cnstituents are subject t legal and regulatry regimes that may change in ways that culd adversely affect ur ability t hedge ur bligatins under the CDs and affect the level f the. Any future regulatry changes, including but nt limited t changes resulting frm the Ddd-Frank Wall Street Refrm and Cnsumer Prtectin Act (the Ddd-Frank Act ), may have a substantial adverse effect n the value f yur CDs. Additinally, under authrity prvided by the Ddd-Frank Act, the U.S. Cmmdity Futures Trading Cmmissin (the CFTC ) n Nvember 5, 2013 prpsed rules t establish psitin limits that will apply t 28 agricultural, metal and energy futures cntracts and futures, ptins and swaps that are ecnmically equivalent t thse futures cntracts. The limits wuld apply t a number f cmmdity futures cntracts underlying the Cnstituents. The limits will apply t a persn s cmbined psitin in futures, ptins, and swaps n the same underlying cmmdity. The rules als wuld set new aggregatin standards fr purpses f these psitin limits and wuld specify the requirements fr designated cntract markets and swap executin facilitates t impse psitin limits n cntracts traded n thse markets. The rules, if enacted in their prpsed frm, may reduce liquidity in the exchange-traded market fr thse cmmdity-based futures cntracts and may result in the Optimax Calculatin Agent exercising its discretinary right t exclude r substitute Cnstituents, which may, in turn, have an adverse effect n the level f the and yur payment at maturity. Furthermre, we r ur affiliates may be unable as a result f thse restrictins t effect transactins necessary t hedge ur bligatins under the CDs resulting in a cmmdity hedging disruptin event, in which case we may, in ur sle and abslute discretin, cause the CD calculatin agent t determine the value f the Additinal Amunt fr yur CDs early. Please see We May Determine the Additinal Amunt fr Yur CDs Early If a Cmmdity Hedging Disruptin Event Occurs abve and General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event in the accmpanying disclsure statement fr mre infrmatin. IF A NEGATIVE WEIGHTING IS ASSIGNED TO A CONSTITUENT, SIGNIFYING A SHORT POSITION RELATIVE TO SUCH CONSTITUENT, THERE IS UNLIMITED LOSS EXPOSURE TO SUCH CONSTITUENT AND SUCH EXPOSURE MAY RESULT IN A SIGNIFICANT DROP IN THE LEVEL OF THE INDEX The emplys a technique generally knwn as a lng-shrt strategy. This means the may include a number f ntinal lng psitins and a number f ntinal shrt psitins. Shrt psitins in any investment carry the risk f unlimited lss expsure. If a negative weighting is assigned t a Cnstituent, a psitive return n such Cnstituent will have a negative impact n the clsing level f such. If a negatively weighted Cnstituent psts significant psitive returns, it may have a large negative impact n the clsing level f such. Because the Cnstituent weightings are scheduled t be rebalanced nly nce per mnth, there is a risk that a lss-causing negative weighting will remain in place fr a significant perid f time. In additin, due t the shrt psitins, the level f the culd ptentially fall t zer withut the value f any f the Cnstituents falling t zer. THE INDEX MAY NOT ACHIEVE ITS VOLATILITY CAP OF 5%. THERE ARE RISKS ASSOCIATED WITH THE USE OF A MOMENTUM STRATEGY The is cnstructed, in part, using a mathematical mdel intended t implement what is generally knwn as a mmentum strategy, which generally seeks t capitalize n trends in the prices f assets. As such, the assigns weights t the Cnstituents in part based n the perfrmance f the Cnstituents during the immediately preceding twelve mnths. Hwever, there is n guarantee that trends existing in the preceding twelve mnths will cntinue in the future. In nn-trending, sideways markets, mmentum investment strategies are subject t whipsaws. A whipsaw ccurs when the market reverses and des the ppsite f what is indicated by the trend indicatr, resulting in a trading lss during the particular perid. Cnsequently, the may perfrm prly in nn-trending, chppy markets characterized by shrt-term vlatility. THE MATHEMATICAL MODEL USED TO REBALANCE THE INDEX DOES NOT CONSIDER THE SKEW OR KURTOSIS OF THE POSSIBLE RETURNS On each mnthly rebalancing date, the is rebalanced accrding t a mathematical mdel designed t maximize its expected returns ver the cming mnths, subject t the vlatility caps and ther cnstraints applicable t the. Hwever, this mdel nly takes int accunt the expected return f the fllwing the rebalancing, and des nt cnsider the specific distributin f pssible returns resulting frm any rebalancing. Because it des nt accunt fr the skew f the distributin f pssible returns (the extent t which the distributins f pssible returns is asymmetric arund the mean) and the level f kurtsis in the distributin f pssible returns (the size f the tails ), the rebalancing mdel may result in the having many pssible returns that are substantially abve r substantially belw the expected return. Mrever, the may have higher prbabilities f very high TS-7 Structured Investments

9 returns r very lw returns than wuld be the case if the expected pssible returns f the were nrmally distributed arund the mean (the expected return). HIGHER OR LOWER FUTURE PRICES OF THE COMMODITY FUTURES CONTRACTS UNDERLYING THE CONSTITUENTS, RELATIVE TO THEIR CURRENT PRICES, MAY AFFECT THE VALUE OF THE INDEX The Cnstituents are themselves cmpsed f futures cntracts n physical cmmdities. Unlike equities, which typically entitle the hlder t a cntinuing stake in a crpratin, cmmdity futures cntracts nrmally specify a certain date fr delivery f the underlying physical cmmdity. As the exchange-traded futures cntracts that cmpse the Cnstituents apprach expiratin, they are replaced by cntracts that have a later expiratin. Thus, fr example, a cntract purchased and held in August may specify an Octber expiratin. As time passes, the cntract expiring in Octber is replaced by a cntract fr delivery in Nvember. This prcess is referred t as rlling. If the market fr these cntracts is (putting aside ther cnsideratins) in backwardatin, where the prices are lwer in the distant delivery mnths than in the nearer delivery mnths, the sale f the Octber cntract wuld take place at a price that is higher than the price f the Nvember cntract, thereby creating a psitive rll yield. The presence f backwardatin culd adversely affect the value f the Cnstituents with a shrt weighting at the time and thus the level f the. While many f the cntracts included in the Cnstituents have histrically exhibited cnsistent perids f backwardatin, backwardatin will mst likely nt exist at all times. The presence f cntang in the cmmdity markets, where the prices are higher in the distant delivery mnths than in the nearer delivery mnths, culd result in negative rll yields, which culd adversely affect the value f the Cnstituents with a lng weighting at that time and thus the level f the. THE SUM OF THE WEIGHTS FOR THE CONSTITUENTS MAY NOT BE EQUAL TO ZERO AT ALL TIMES The is referred t as Market-Neutral because the sum f the weights f all Cnstituents immediately after rebalancing is zer. Hwever, because the dllar weights f the Cnstituents may fluctuate in between rebalancing dates, the net weight f the prtfli f Cnstituents that cmprise the may nt always sum t zer, and the may have net lng r shrt expsure in between rebalancing dates. THE PERFORMANCE OF CONSTITUENTS MAY OFFSET EACH OTHER The cnsists f 18 different Cnstituents, each f which will be assigned a weight based n the rebalancing algrithm. The algrithm under which the weights fr the Cnstituents are established and rebalanced allws varius Cnstituents t be weighted psitively r negatively (i.e., a shrt psitin culd be established fr ne r mre Cnstituents) r accrded zer weight. Fr any perid f time, gains attributable t lng r shrt psitins in particular Cnstituents culd be reduced, ffset r mre than ffset by lsses attributable t the perfrmance f ther Cnstituents. Similarly, lsses attributable t lng r shrt psitins in particular Cnstituents culd be reduced, ffset r mre than ffset by gains attributable t the perfrmance f ther Cnstituents. OTHER KEY RISKS: THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE CONSTITUENTS. THE INDEX IS NOT REPRESENTATIVE OF A PURE COMMODITIES ALLOCATION AND IS NOT DESIGNED TO REPLICATE OR TRACK COMMODITIES MARKETS, THE S&P GSCI TM OR ANY OR ALL OF THE SUB-INDICES OF THE S&P GSCI TM. THE MARKET PRICES OF THE COMMODITIES UNDERLYING THE FUTURES CONTRACTS INCLUDED IN THE INDEX WILL AFFECT THE VALUE OF THE CDs. A DECISION BY AN EXCHANGE ON WHICH THE FUTURES CONTRACTS UNDERLYING THE INDEX ARE TRADED TO INCREASE MARGIN REQUIREMENTS MAY AFFECT THE LEVEL OF THE INDEX. THE CDs DO NOT OFFER DIRECT EXPOSURE TO COMMODITY SPOT PRICES. OWNING THE CDs IS NOT THE SAME AS OWNING ANY COMMODITIES OR COMMODITY FUTURES CONTRACTS. SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE COMMODITY MARKETS AND RELATED FUTURES MARKETS MAY ADVERSELY AFFECT THE LEVEL OF THE INDEX, AND THEREFORE THE LEVEL OF THE CDs. THE CDs ARE LINKED TO AN EXCESS RETURN INDEX AND NOT A TOTAL RETURN INDEX. Please refer t the Risk Factrs sectin f the accmpanying underlying supplement n. CD-12-I fr mre details regarding the abve-listed risks. TS-8 Structured Investments

10 Level Histrical Infrmatin The fllwing graph sets frth the histrical perfrmance f the based n the weekly histrical clsing levels f the frm January 8, 2010 thrugh Nvember 20, The clsing level f the n Nvember 25, 2015 was We btained the clsing levels belw frm Blmberg, withut independent verificatin. The histrical clsing levels f the shuld nt be taken as an indicatin f future perfrmance, and n assurance can be given as t the clsing level f the n the Pricing Date r the Observatin Date. We cannt give yu assurance that the perfrmance f the will result in a payment at maturity in excess f yur principal amunt. Histrical Perfrmance f the JPMrgan Optimax Market-Neutral Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Surce: Blmberg Taxed as Cntingent Payment Debt Instruments Yu shuld review carefully the sectin entitled Material U.S. Federal Incme Tax Cnsequences, and in particular the subsectin theref entitled CDs with a Term f Mre than One Year, in the accmpanying disclsure statement. Unlike a traditinal certificate f depsit that prvides fr peridic payments f interest at a single fixed rate, with respect t which a cash-methd investr generally recgnizes incme nly upn receipt f stated interest, the CDs will be treated fr U.S. federal incme tax purpses as cntingent payment debt instruments. As discussed in that subsectin, yu generally will be required t accrue riginal issue discunt n yur CDs in each taxable year at the cmparable yield, as determined by us, althugh we will nt make any payment with respect t the CDs until maturity. Upn sale r exchange (including at maturity), yu will recgnize taxable incme r lss equal t the difference between the amunt received frm the sale r exchange and yur adjusted basis in the CD, which generally will equal the cst theref, increased by the amunt f riginal issue discunt yu have accrued in respect f the CD. Yu generally must treat any incme as interest incme and any lss as rdinary lss t the extent f previus interest inclusins, and the balance as capital lss. The deductibility f capital lsses is subject t limitatins. Purchasers wh are nt initial purchasers f CDs at their issue price shuld cnsult their tax advisers with respect t the tax cnsequences f an investment in CDs, including the treatment f the difference, if any, between the basis in their CDs and the CDs adjusted issue price. Withhlding under legislatin cmmnly referred t as FATCA may apply t the payment n yur CD at maturity, as well as t the grss prceeds f a sale r ther dispsitin f a CD prir t maturity. Hwever, under a recent IRS ntice, this regime will nt apply t payments f grss prceeds (ther than any amunt treated as interest) f a sale r ther dispsitin f a CD ccurring befre January 1, Yu shuld cnsult yur tax adviser regarding the ptential applicatin f FATCA t the CDs. TS-9 Structured Investments

11 Nn-U.S. hlders shuld als nte that, ntwithstanding anything t the cntrary in the accmpanying disclsure statement, recently prmulgated Treasury regulatins impsing a withhlding tax n certain dividend equivalents under certain equity linked instruments will nt apply t the CDs. Cmparable Yield and Prjected Payment Schedule We will determine the cmparable yield fr the CDs and will prvide that cmparable yield, and the related prjected payment schedule, in the disclsure supplement fr the CDs. The cmparable yield fr the CDs will be an annual rate f at least 1.67% cmpunded semiannually, and will be determined based upn a variety f factrs, including actual market cnditins and ur brrwing csts fr debt instruments f cmparable maturities at the time f issuance. Neither the cmparable yield nr the prjected payment schedule cnstitutes a representatin by us regarding the actual Additinal Amunt, if any, that we will pay n the CDs. JPMS s Estimated Value f the CDs JPMS s estimated value f the CDs set frth n the cver f this term sheet is equal t the sum f the values f the fllwing hypthetical cmpnents: (1) a fixed-incme cmpnent with the same maturity as the CDs, valued using an internal funding rate, and (2) the derivative r derivatives underlying the ecnmic terms f the CDs. JPMS s estimated value des nt represent a minimum price at which JPMS wuld be willing t buy yur CDs in any secndary market (if any exists) at any time. The internal funding rate used in the determinatin f JPMS s estimated value is based n, amng ther things, ur view f the funding value f the CDs as well as the issuance, peratinal and nging liability management csts f the CDs. Fr additinal infrmatin, see Selected Risk Cnsideratins JPMS s Estimated Value Is Derived by Reference t an Internal Funding Rate. The value f the derivative r derivatives underlying the ecnmic terms f the CDs is derived frm JPMS s internal pricing mdels. These mdels are dependent n inputs such as the traded market prices f cmparable derivative instruments and n varius ther inputs, sme f which are market-bservable, and which can include vlatility, interest rates and ther factrs, as well as assumptins abut future market events and/r envirnments. Accrdingly, JPMS s estimated value f the CDs is determined when the terms f the CDs are set based n market cnditins and ther relevant factrs and assumptins existing at that time. JPMS s estimated value f the CDs des nt represent future values f the CDs and may differ frm thers estimates. Different pricing mdels and assumptins culd prvide valuatins fr the CDs that are greater than r less than JPMS s estimated value. In additin, market cnditins and ther relevant factrs in the future may change, and any assumptins may prve t be incrrect. On future dates, the value f the CDs culd change significantly based n, amng ther things, changes in market cnditins, ur creditwrthiness, interest rate mvements and ther relevant factrs, which may impact the price, if any, at which JPMS wuld be willing t buy CDs frm yu in secndary market transactins. JPMS s estimated value f the CDs will be lwer than the riginal issue price f the CDs because csts assciated with selling, structuring and hedging the CDs are included in the riginal issue price f the CDs. These csts include the selling cmmissins paid t JPMS and ther affiliated r unaffiliated dealers, the prjected prfits, if any, that ur affiliates expect t realize fr assuming risks inherent in hedging ur bligatins under the CDs and the estimated cst f hedging ur bligatins under the CDs. Because hedging ur bligatins entails risk and may be influenced by market frces beynd ur cntrl, this hedging may result in a prfit that is mre r less than expected, r it may result in a lss. A prtin f the prfits, if any, realized in hedging ur bligatins under the CDs may be allwed t ther affiliated r unaffiliated dealers, and we r ne r mre f ur affiliates will retain any remaining hedging prfits, if any. See Selected Risk Cnsideratins JPMS s Estimated Value f the CDs Will Be Lwer Than the Original Issue Price (Price t Public) f the CDs in this term sheet. Secndary Market Prices f the CDs Fr infrmatin abut factrs that will impact any secndary market prices f the CDs, see Risk Factrs Risks Relating t the Estimated Value and Secndary Market Prices f the CDs Secndary market prices f the CDs will be impacted by many ecnmic and market factrs in the accmpanying disclsure statement. In additin, we generally expect that sme f the csts included in the riginal issue price f the CDs will be partially paid back t yu in cnnectin with any repurchases f yur CDs by JPMS in an amunt that will decline t zer ver an initial predetermined perid. These csts can include prjected hedging prfits, if any, and, in sme circumstances, estimated hedging csts and ur internal secndary market funding rates fr structured issuances. This initial predetermined time perid is intended t be the shrter f six mnths and ne-half f the stated term f the CDs. The length f any such initial perid reflects the structure f the CDs, whether ur affiliates expect t earn a prfit in cnnectin with ur hedging activities, the estimated csts f hedging the CDs and when these csts are incurred, as determined by JPMS. See Selected Risk Cnsideratins The Value f the CDs as Published by JPMS (and Which May Be Reflected n Custmer Accunt Statements) May Be Higher Than JPMS s Then-Current Estimated Value f the CDs fr a Limited Time Perid. TS-10 Structured Investments

12 Supplemental Use f Prceeds The CDs are ffered t meet investr demand fr prducts that reflect the risk-return prfile and market expsure prvided by the CDs. See Hypthetical Payut Prfile and Hw the CDs Wrk in this term sheet fr an illustratin f the risk-return prfile f the CDs and The JPMrgan Optimax Market-Neutral in this term sheet fr a descriptin f the market expsure prvided by the CDs. The riginal issue price f the CDs is equal t JPMS s estimated value f the CDs plus the selling cmmissins paid t JPMS and ther affiliated r unaffiliated dealers, plus (minus) the prjected prfits (lsses) that ur affiliates expect t realize fr assuming risks inherent in hedging ur bligatins under the CDs, plus the estimated cst f hedging ur bligatins under the CDs. Supplemental Plan f Distributin We expect that delivery f the CDs will be made against payment fr the CDs n r abut the settlement date set frth n the frnt cver f this term sheet, which will be the fifth business day fllwing the expected pricing date f the CDs (this settlement cycle being referred t as T+5). Under Rule 15c6-1 under the Securities Exchange Act f 1934, as amended, trades in the secndary market generally are required t settle in three business days, unless the parties t that trade expressly agree therwise. Accrdingly, purchasers wh wish t trade CDs n the pricing date r the succeeding business day will be required t specify an alternate settlement cycle at the time f any such trade t prevent a failed settlement and shuld cnsult their wn advisrs. Additinal Terms Specific t the CDs Yu may revke yur ffer t purchase the CDs at any time prir t the time at which we accept such ffer by ntifying the applicable dealer. We reserve the right t change the terms f, r reject any ffer t purchase, the CDs prir t their issuance. In the event f any changes t the terms f the CDs, we will ntify yu and yu will be asked t accept such changes in cnnectin with yur purchase. Yu may als chse t reject such changes, in which case we may reject yur ffer t purchase. Yu shuld read this term sheet tgether with the disclsure statement dated January 29, 2015 and underlying supplement n. CD-12-I dated July 31, This term sheet, tgether with the dcuments listed belw, cntains the terms f the CDs and supersedes all ther prir r cntempraneus ral statements as well as any ther written materials, including preliminary r indicative pricing terms, crrespndence, trade ideas, structures fr implementatin, sample structures, fact sheets, brchures r ther educatinal materials f urs and, t the extent f any incnsistency, any certificate f depsit disclsure statement prduced and furnished by any unaffiliated dealer. Yu shuld carefully cnsider, amng ther things, the matters set frth in Risk Factrs in the accmpanying disclsure statement and Risk Factrs in the accmpanying underlying supplement, as the CDs invlve risks nt assciated with cnventinal certificates f depsit. We urge yu t cnsult yur investment, legal, tax, accunting and ther advisers befre yu invest in the CDs. Yu may access these dcuments n ur website: Disclsure statement dated January 29, 2015: Underlying supplement n. CD-12-I dated July 31, 2013: Yu may access infrmatin related t the unaudited semiannual Cnslidated Financial Statements f JPMrgan Chase Bank, Natinal Assciatin fr the six mnths ended June 30, 2015 and 2014 and the audited annual Cnslidated Financial Statements f JPMrgan Chase Bank, Natinal Assciatin fr the three years ended December 31, 2014, 2013 and 2012 at the fllwing URL: As used in this term sheet, we, us, ur and JPMrgan Chase Bank refer t JPMrgan Chase Bank, Natinal Assciatin. TS-11 Structured Investments