Auto Callable Certificates of Deposit Linked to the J.P. Morgan ETF Efficiente DS 5 Index due December 29, 2023, with Step-Up Call Value

Transcription

1 Nvember 29, 2016 JPMrgan Chase Bank, Natinal Assciatin Structured Investments Linked t the J.P. Mrgan ETF Efficiente DS 5 Index due December 29, 2023, with Step-Up Call Value The certificates f depsit ( CDs ) are designed fr investrs wh seek an early exit prir t maturity at a premium, if, n any Review Date, the clsing level f the J.P. Mrgan ETF Efficiente DS 5 Index (the Index ) is at r abve the applicable Call Value. The Call Value will be equal t a percentage f the Initial Value that increases prgressively ver the term f the CDs, starting at % f the Initial Value n the first Review Date. See Key Terms Call Value fr additinal infrmatin. The earliest date n which an autmatic call may be initiated is December 26, The CDs are als designed fr investrs wh seek expsure t any appreciatin f the Index ver the term f the CDs if the CDs have nt been autmatically called. Investrs shuld be willing t frg interest and dividend payments, while seeking full repayment f principal at maturity r upn an autmatic call. 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 J.P. Mrgan ETF Efficiente DS 5 Index r any f its Basket Cnstituents. Minimum denminatins f $10,000 and integral multiples f $1,000 in excess theref The CDs are expected t price n r abut December 23, 2016 and are expected t settle n r abut December 30, CUSIP: 48126XQS7 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-5 f the accmpanying underlying supplement n. CD-6-I and Selected Risk Cnsideratins beginning n page TS-9 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 $35.00 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-6-I dated December 7, 2012

2 Key Terms Index: The J.P. Mrgan ETF Efficiente DS 5 Index (Blmberg ticker: EEJPDS5E). The level f the Index reflects the deductin f a fee f 1.00% per annum that accrues daily. Call Premium Amunt: The Call Premium Amunt with respect t each Review Date is set frth belw: first Review Date: at least 6.50% x $1,000 secnd Review Date: at least 13.00% x $1,000 third Review Date: at least 19.50% x $1,000 furth Review Date: at least 26.00% x $1,000 fifth Review Date: at least 32.50% x $1,000 final Review Date: at least 39.00% x $1,000 (in each case, t be prvided in the disclsure supplement) Call Value: An amunt that represents: % fr the first Review Date % fr the secnd Review Date % fr the third Review Date % fr the furth Review Date % fr the fifth Review Date % fr the final Review Date Participatin Rate: 100% Pricing Date: On r abut December 23, 2016 Original Issue Date (Settlement Date): On r abut December 30, 2016 Review Dates*: December 26, 2017, December 24, 2018, December 23, 2019, December 23, 2020, December 23, 2021 and December 23, 2022 (final Review Date) Call Settlement Dates*: December 29, 2017, December 28, 2018, December 27, 2019, December 29, 2020, December 29, 2021 and December 29, 2022 Observatin Date*: December 26, 2023 Maturity Date*: December 29, 2023 * 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 the ETF Efficiente Index in the accmpanying underlying supplement and General Terms f the CDs Pstpnement f a Payment Date in the accmpanying disclsure statement Autmatic Call : If the clsing level f the Index n any Review Date is greater than r equal t the applicable Call Value, the CDs will be autmatically called fr a cash payment, fr each $1,000 CD, equal t (a) $1,000 plus (b) the Call Premium Amunt applicable t that Review Date, payable n the applicable Call Settlement Date. N further payments will be made n the CDs. Payment at Maturity: If the CDs have nt been autmatically called, at maturity, yu will receive a cash payment, fr each $1,000 CD, f $1,000 plus the Additinal Amunt, which may be zer. Except fr the applicable Call Premium Amunt payable upn an autmatic call, yu will receive n ther interest r dividend payments during the term f the CDs. If the CDs have nt been autmatically called, 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 : If the CDs have nt been autmatically called, the Additinal Amunt payable at maturity per $1,000 CD will equal: $1,000 the Index Return the Participatin Rate, prvided that the Additinal Amunt will nt be less than zer. Index Return: (Final Value Initial Value) Initial Value Initial Value: The clsing level f the Index n the Pricing Date Final Value: The clsing level f the Index 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. Subject t the impact f a cmmdity hedging disruptin event as described under Supplemental Terms f the CDs in this term sheet. In the event f a cmmdity hedging disruptin event, we have the right, but nt the bligatin, t determine whether the CDs will be autmatically called and t adjust yur payment upn autmatic call r at maturity based n determinatins made by the CD calculatin agent. Under these circumstances, whether the CDs are autmatically called and the payment upn an autmatic call r at maturity will be determined prir t, and withut regard t, the clsing level f the Index n the relevant Review Date r the Observatin Date, as applicable. TS-1 Structured Investments

3 Supplemental Terms f the CDs Fr purpses f the CDs ffered by this term sheet, ntwithstanding anything t the cntrary in the accmpanying disclsure statement, if a cmmdity hedging disruptin event ccurs, we will have the right, but nt the bligatin, t determine whether the CDs will be autmatically called and t adjust yur payment upn autmatic call r at maturity based n determinatins made by the CD calculatin agent as described belw. If a cmmdity hedging disruptin event ccurs and we chse t exercise this right: (1) the CD calculatin agent will determine the estimated value f the CDs (the CHDE estimated value ) as f the date n which the CD calculatin agent determines that a cmmdity hedging disruptin event has ccurred (a cmmdity hedging disruptin date ). The CHDE estimated value will be determined using the same methdlgy as is used t calculate JPMS s estimated value, except that the CHDE estimated value will be determined n the cmmdity hedging disruptin date, prvided that, if the CHDE estimated value cannt be calculated using the same methdlgy as JPMS s estimated value due t the ccurrence f the cmmdity hedging disruptin event, the CD calculatin agent will, in gd faith and in a cmmercially reasnable manner, make such adjustments t that methdlgy as are necessary t determine the CHDE estimated value n the cmmdity hedging disruptin date. See JPMS s Estimated Value f the CDs in this term sheet fr additinal infrmatin abut JPMS s estimated value; and (2) (a) if the CHDE estimated value is greater than r equal t $1,000 and the cmmdity hedging disruptin date ccurs n r befre the final Review Date, the CDs will be autmatically called. Under these circumstances, the payment upn an autmatic call, fr each $1,000 CD, will be equal t the CHDE estimated value, instead f the applicable amunt set frth under Key Terms Autmatic Call abve, and will be payable n the Call Settlement Date applicable t the Review Date ccurring n r immediately fllwing the cmmdity hedging disruptin date; r (b) if the CHDE estimated value is less than $1,000 r the cmmdity hedging disruptin date ccurs after the final Review Date, we will pay yu at maturity, instead f the amunt set frth under Key Terms Payment at Maturity abve, an amunt equal t (i) $1000 plus (ii) the ptin value. The ptin value will be determined by the CD calculatin agent in gd faith and in a cmmercially reasnable manner and will be a fixed amunt representing the price f the embedded ptin representing the Additinal Amunt payable n the CDs at maturity, as f the cmmdity hedging disruptin date, and the price f the embedded ptin representing each f the remaining ptential autmatic calls pursuant t the autmatic call feature f the CDs frm but excluding the cmmdity hedging disruptin date thrugh and including the final Review Date, as f the cmmdity hedging disruptin date, prvided that the ptin value may nt be less than zer. If a cmmdity hedging disruptin event ccurs and we chse t exercise this right, we will prvide, r cause the CD calculatin agent t prvide, written ntice f ur electin t exercise this right t DTC. We, r the CD calculatin agent, will deliver this ntice as prmptly as pssible and in n event later than the fifth business day immediately fllwing the cmmdity hedging disruptin date. Additinally, we will specify in the ntice the CHDE estimated value and, if applicable, the ptin value as determined n the cmmdity hedging disruptin date. TS-2 Structured Investments

4 The J.P. Mrgan ETF Efficiente DS 5 Index The J.P. Mrgan ETF Efficiente DS 5 Index (the Index ) was develped and is maintained and calculated by J.P. Mrgan Securities plc ( JPMS plc ), ne f ur affiliates. JPMS plc acts as the calculatin agent fr the Index (the index calculatin agent ). The Index is a ntinal dynamic basket that tracks the excess return f a prtfli f twelve exchange-traded funds ( ETFs ) (each an ETF Cnstituent, and cllectively the ETF Cnstituents ), with dividends ntinally reinvested, and the JPMrgan Cash Index USD 3 Mnth (including any successr r substitute cash index included in the Index, the Cash Cnstituent ) ver the return f the Cash Cnstituent, less a fee f 1.00% per annum that accrues daily, while targeting a specific vlatility n a daily basis. We refer t the ETF Cnstituents and the Cash Cnstituent tgether as the Basket Cnstituents. The ETF Cnstituents represent a diverse range f asset classes and gegraphic regins. The Index rebalances mnthly a synthetic prtfli cmpsed f the Basket Cnstituents. The Index is based n the mdern prtfli thery apprach t asset allcatin, which suggests hw a ratinal investr shuld allcate his capital acrss the available universe f assets t maximize return fr a given risk appetite. The Index uses the cncept f an efficient frntier t define the asset allcatin f the Index. An efficient frntier fr a prtfli f assets defines the ptimum return f the prtfli fr a given amunt f risk. The Index uses the vlatility f returns f hypthetical prtflis as the measure f risk. This strategy is based n the assumptin that the mst efficient allcatin f assets is ne that maximizes returns per unit f risk. The strategy assigns the weights t the Basket Cnstituents after determining the returns and vlatilities f multiple hypthetical prtflis cmprising the Basket Cnstituents measured ver the previus six mnths. The re-weighting methdlgy seeks t identify the weight fr each Basket Cnstituent that wuld have resulted in the hypthetical prtfli with the highest return ver the relevant measurement perid, subject t an annualized vlatility ver the same perid f 5% r less. Thus, the prtfli exhibiting the highest return with an annualized vlatility f 5% r less is then selected, with the weightings fr that prtfli applied t the Basket Cnstituents. In the event that nne f the prtflis has an annualized vlatility equal t r less than 5%, this vlatility threshld is increased by 1% until a prtfli is selected. In additin, the Index targets an annualized vlatility f 5% n a daily basis by dynamically adjusting its expsure t the synthetic prtfli f Basket Cnstituents. The expsure f the Index t the synthetic prtfli is equal t the target vlatility f 5% divided by the annualized vlatility f the same prtfli ver the prir mnth, subject t certain cnstraints described belw, including a minimum expsure f 0% and a maximum expsure f 150%. Accrdingly, as the vlatility f the prtfli increases, the expsure t the prtfli decreases, and as the vlatility f the prtfli decreases, the expsure t the prtfli increases. Accrdingly, if the vlatility f the synthetic prtfli is less than the target vlatility f 5%, the Index emplys leverage, subject t the maximum expsure f 150%. The aggregate weight f the Cash Cnstituent at any given time represents the prtin f the synthetic prtfli f Basket Cnstituents that is uninvested at that time. In additin, when the expsure f the Index t the synthetic prtfli f Basket Cnstituents is less than 100% n any day, a prtin f the synthetic prtfli will be uninvested. The Index will reflect n return fr any uninvested prtin. The fllwing are the Basket Cnstituents cmpsing the Index and the maximum weighting cnstraints assigned t the relevant sectr and asset type t which each belngs: Sectr Cap Basket Cnstituent Asset Cap 1 Develped Equities (50%) SPDR S&P 500 ETF Trust 20% 2 ishares Russell 2000 ETF 10% 3 ishares MSCI EAFE ETF 20% 4 Bnds (50%) ishares 20+ Year Treasury Bnd ETF 20% 5 ishares ibxx $ Investment Grade Crprate Bnd ETF 20% 6 ishares ibxx $ High Yield Crprate Bnd ETF 20% 7 Emerging Markets (25%) ishares MSCI Emerging Markets ETF 20% 8 ishares J.P. Mrgan USD Emerging Markets Bnd ETF 20% 9 Alternative Investments (25%) ishares U.S. Real Estate ETF 20% 10 ishares S&P GSCI Cmmdity-Indexed Trust 10% 11 SPDR Gld Trust 10% 12 Inflatin Prtected Bnds and ishares TIPS Bnd ETF 50% 13 Cash (50%) JPMrgan Cash Index USD 3 Mnth 50% The Index is reprted by the Blmberg Prfessinal service ( Blmberg ) under the ticker symbl EEJPDS5E. On July 1, 2013, the names f the ishares ETF Cnstituents (ther than the ishares S&P GSCI Cmmdity-Indexed Trust) were changed t the names listed in the table abve. TS-3 Structured Investments

5 Ntwithstanding anything t the cntrary in the accmpanying underlying supplement, the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE, which is the index underlying the ishares J.P. Mrgan USD Emerging Markets Bnd ETF, is a prprietary index that was develped and is maintained and calculated by the Glbal Index Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany. The prices f the bnds included in the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE are prvided by PricingDirect Inc. ( PricingDirect ), a whlly wned subsidiary f JPMrgan Chase & C. See Selected Risk Cnsideratins Risks Relating t the CDs Generally Ptential Cnflicts. GIRG and PricingDirect are separated by infrmatin barriers frm each ther, and frm the JPMrgan Chase & C. s sales and trading teams. GIRG and PricingDirect will make all determinatins and calculatins in gd faith and in a cmmercially reasnable manner. See The J.P. Mrgan ETF Efficiente DS 5 Index in the accmpanying underlying supplement fr mre infrmatin abut the Index and the Basket Cnstituents. Efficiente is a trademark f JPMrgan Chase & C. TS-4 Structured Investments

6 Hw the CDs Wrk Payment upn an Autmatic Call Review Dates Cmpare the clsing level f the Index t the applicable Call Value n each Review Date r until any earlier autmatic call. Autmatic Call The clsing level f the Index is greater than r equal t the applicable Call Value. The CDs will be autmatically called n the applicable Call Settlement Date, and yu will receive (a) $1,000 plus (b) the Call Premium Amunt applicable t that Review Date. Call Value N further payments will be made n the CDs. N Autmatic Call The clsing level f the Index is less than the applicable Call Value. The CDs will nt be autmatically called. Prceed t the next Review Date, if any. Payment at Maturity If the CDs Have Nt Been Autmatically Called Review Dates Observatin Date Payment at Maturity The clsing level f the Index is less than the applicable Call Value n each f the Review Dates The Final Value f the Index is greater than the Initial Value. Yu will receive:$1,000 + ($1,000 the Index Return the Participatin Rate) The CDs have nt been autmatically called. Prceed t the payment at maturity. The Final Value f the Index is less than r equal t the Initial Value. Yu will receive: $1,000 Call Premium Amunt The table belw illustrates the hypthetical Call Premium Amunt per $1,000 CD fr each Review Date based n the minimum call premiums set frth under Key Terms Call Premium Amunt abve. The actual Call Premium Amunts will be prvided in the disclsure supplement and will be nt less than the minimum Call Premium Amunts set frth under Key Terms Call Premium Amunt. Review Date First $65.00 Secnd $ Third $ Furth $ Fifth $ Final $ Call Premium Amunt TS-5 Structured Investments

7 Hypthetical Payut Prfile Assuming N Autmatic Call The fllwing table and graph illustrate the hypthetical payment at maturity n the CDs linked t a hypthetical Index. hypthetical payments set frth belw assume the fllwing: the CDs have nt been autmatically called an Initial Value f 100 and a Participatin Rate f %. 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 Index n the Pricing Date and will be prvided in the disclsure supplement. Fr histrical data regarding the actual clsing level f the Index, 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. The Final Value Index Return Additinal Amunt Payment at Maturity Annual Percentage Yield % $1, $2, % % $1, $2, % % $1, $2, % % $ $1, % % $ $1, % % $ $1, % % $ $1, % % $ $1, % % $ $1, % % $50.00 $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, % % N/A $1, % TS-6 Structured Investments

8 The fllwing graph demnstrates the hypthetical ttal returns and hypthetical payments at maturity n the CDs at maturity fr a subset f Index Returns detailed in the table abve (-30% t 40%). We cannt give yu assurance that the perfrmance f the Index will result in a payment at maturity in excess f $1,000 per $1,000 CD. Hypthetical Payut Examples The fllwing examples illustrate payments n the CDs linked t a hypthetical Index, assuming a range f perfrmances fr the hypthetical Index n the Review Dates. The hypthetical payments set frth belw assume the fllwing: an Initial Value f 100; fr the first Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the secnd Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the third Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the furth Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the fifth Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the final Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and the minimum call premiums set frth under Key Terms Call Premium Amunt abve. 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 the clsing level f the Index n the Pricing Date and will be prvided in the disclsure supplement. Fr histrical data regarding the actual clsing levels f the Index, please see the histrical infrmatin set frth under Hypthetical Back- Tested Data and Histrical Infrmatin in this term sheet. Each hypthetical payment set frth belw is fr illustrative purpses nly and may nt be the actual payment applicable t a purchaser f the CDs. The numbers appearing in the fllwing examples have been runded fr ease f analysis. Example 1 CDs are autmatically called n the first Review Date. Date Clsing Level First Review Date CDs are autmatically called Applicable Payment $1, (6.50% return) Because the clsing level f the Index n the first Review Date is greater than r equal t the applicable Call Value, the CDs will be autmatically called fr a cash payment, fr each $1,000 CD, f $1, (r $1,000 plus the Call Premium Amunt applicable t the first Review Date), payable n the applicable Call Settlement Date. N further payments will be made n the CDs. TS-7 Structured Investments

9 Example 2 CDs are autmatically called n the final Review Date. Date Clsing Level First Review Date CDs NOT autmatically called Secnd Review Date CDs NOT autmatically called Third thrugh fifth Review Dates Final Review Date All belw Call Value Applicable Payment CDs NOT autmatically called CDs are autmatically called $1, (39.00% return) Because the clsing level f the Index n the final Review Date is greater than r equal t the Call Value, the CDs will be autmatically called fr a cash payment, fr each $1,000 CD, f $1, (r $1,000 plus the Call Premium Amunt applicable t the final Review Date), payable n the applicable Call Settlement Date. N further payments will be made n the CDs Example 3 CDs have NOT been autmatically called and the Final Value is greater than the Initial Value. Date Clsing Level First Review Date CDs NOT autmatically called Secnd Review Date CDs NOT autmatically called Third Review Date thrugh final Review Dates All belw Call Value CDs NOT autmatically called Observatin Date CDs NOT autmatically called; Final Value is greater than Initial Value Applicable Payment $1, (5.00% return) Because the CDs have nt been autmatically called, the Final Value is greater than the Initial Value and the Index Return is 5.00%, the payment at maturity, fr each $1,000 CD, will be $1,050.00, calculated as fllws: $1,000 + ($1, % 100%) = $1, Example 4 CDs have NOT been autmatically called and the Final Value is less than the Initial Value. Date Clsing Level First Review Date CDs NOT autmatically called Secnd Review Date CDs NOT autmatically called Third Review Date thrugh final Review Dates All belw Call Value CDs NOT autmatically called Observatin Date CDs NOT autmatically called; Final Value is less than Initial Value Applicable Payment $1, (0.00% return) Because the CDs have nt been autmatically called and the Final Value is less than the Initial Value, the Additinal Amunt will be zer and the payment at maturity, fr each $1,000 CD, will be $1, TS-8 Structured Investments

10 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 CDs have nt been autmatically called and 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 FEE OF 1.00% PER ANNUM This fee will be deducted daily. As a result f the deductin f this fee, the level f the Index will trail the value f a hypthetical identically cnstituted synthetic prtfli frm which n such fee is deducted. 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. THE APPRECIATION POTENTIAL WITH RESPECT TO THE FIRST FIVE POINT NINE EIGHT YEARS OF THE TERM OF THE CDs IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE CDs, regardless f any appreciatin in the value f the Index, which may be significant. WE WILL HAVE THE RIGHT TO ADJUST THE TIMING AND AMOUNT OF ANY PAYMENT ON THE CDs 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, determine whether the CDs will be autmatically called and t adjust yur payment upn autmatic call r at maturity based n determinatins made by the CD calculatin agent. Under these circumstances, whether the CDs are autmatically called and the payment upn an autmatic call r at maturity will be determined in a manner different frm that described under Key Terms Autmatic Call r Key Terms Payment at Maturity, as applicable, and will be determined prir t, and withut regard t, the clsing level f the Index n the relevant Review Date r the Observatin Date, as applicable. In additin, under these circumstances, the amunt due and payable n yur CDs will nt reflect any appreciatin f the Index after this early determinatin and may be significantly less than the amunt yu wuld have been entitled t receive had we nt exercised this right. See Supplemental Terms f the CDs in this term sheet 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. In additin, ne f ur affiliates, JPMS, is the spnsr f ne f the Basket Cnstituents (the Cash Cnstituent). The Glbal Index Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany, develped and maintains and calculates the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE, which is the index underlying the ishares J.P. Mrgan USD Emerging Markets Bnd ETF, ne f the Basket Cnstituents. The J.P. Mrgan Emerging Markets Bnd Index Glbal CORE makes use f certain weights, prices, values, levels r dates that are determined by PricingDirect Inc. ( PricingDirect ). GIRG is part f JPMrgan Chase & C. s Glbal Research divisin and resides within JPMS. PricingDirect is JPMrgan Chase & C. s whlly wned subsidiary and prvides valuatin and ther metrics data fr fixed-incme securities and derivatives. PricingDirect determines these prices thrugh a prprietary evaluatin prcess that takes int accunt market-based evaluatins (such as market intelligence fr traded, quted securities). In additin, under sme circumstances, the pricing infrmatin prvided by PricingDirect n the bnds underlying the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE may be derived slely frm price qutatins r internal valuatins made by ne r mre f ur affiliates. Accrdingly, cnflicts f interest exist between GIRG TS-9 Structured Investments

11 and PricingDirect, n the ne hand, and yu, n the ther hand. Nne f JPMS, GIRG r PricingDirect will have any bligatin t cnsider yur interests as a hlder f the CDs in taking any actins that might affect the value f yur CDs. YOU WILL NOT RECEIVE THE CALL PREMIUM AMOUNT APPLICABLE TO A REVIEW DATE IF THE INDEX DOES NOT APPRECIATE TO OR ABOVE THE APPLICABLE CALL VALUE FOR THAT REVIEW DATE The CDs will be autmatically called nly if the clsing level f the Index n a Review Date is at r abve the applicable Call Value n that Review Date. The Call Value fr each Review Date is greater than 100% f the Initial Value and increases with each Review Date, starting at % f the Initial Value fr the first Review Date. Even if the clsing level f the Index appreciates ver the term f the CDs, it may nt appreciate sufficiently fr yu t earn any Call Premium Amunt. Because the Call Value increases frm ne Review Date t the next, the likelihd f the CDs being autmatically called decreases the lnger the CDs remain utstanding. THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT If yur CDs are autmatically called, the term f the CDs may be reduced t as shrt as apprximately ne year. There is n guarantee that yu wuld be able t reinvest the prceeds frm an investment in the CDs at a cmparable return fr a similar level f risk. Even in cases where the CDs are called befre maturity, CD hlders are nt entitled t any fees and cmmissins described n the frnt cver f this term sheet. YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE BASKET CONSTITUENTS OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. 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 JPMS and its affiliates may have published research r ther pinins that call int questin the investment view implicit in an investment in the CDs. 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, the Basket Cnstituents and the securities, cmmdities, cmmdity futures cntracts and ther assets underlying the Basket Cnstituents included in the Index. 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, a hlder wh purchases a principal amunt f CDs, r tgether with ther depsits that it maintains at JPMrgan Chase Bank in the same wnership capacity, that is 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 Call Premium Amunts. 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 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. TS-10 Structured Investments

12 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 Index. 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 Index OUR AFFILIATE, JPMS PLC, IS THE INDEX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL JPMS plc, ne f ur affiliates, acts as the index calculatin agent and is respnsible fr calculating and maintaining the Index and develping the guidelines and plicies gverning its cmpsitin and calculatin. The rules gverning the Index 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 a Basket Cnstituent. Unlike ther indices, the maintenance f the Index is nt gverned by an independent cmmittee. Althugh judgments, plicies and determinatins cncerning the Index 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 Index and the value f yur CDs. JPMS plc is under n bligatin t cnsider yur interests as an investr in the CDs. Furthermre, the inclusin f the Basket Cnstituents in the Index is nt an investment recmmendatin by us r JPMS plc f the TS-11 Structured Investments

13 Basket Cnstituents r any f the securities, cmmdities, cmmdity futures cntracts r ther assets underlying the Basket Cnstituents. OWNING THE CDs INVOLVES THE RISKS ASSOCIATED WITH THE INDEX S MOMENTUM INVESTMENT STRATEGY The Index emplys a mathematical mdel intended t implement what is generally knwn as a mmentum investment strategy, which seeks t capitalize n psitive market price trends based n the suppsitin that psitive market price trends may cntinue. This strategy is different frm a strategy that seeks lng-term expsure t a prtfli cnsisting f cnstant cmpnents with fixed weights. The Index may fail t realize gains that culd ccur as a result f tracking assets that have experienced price declines, but after which experience a sudden price spike. In additin, the Index may decline as a result f tracking assets that have perfrmed well in the past, but then experience price declines. THE CDs MAY BE SUBJECT TO INCREASED VOLATILITY DUE TO THE USE OF LEVERAGE As part f the daily dynamic adjustment f its expsure t the synthetic prtfli f Basket Cnstituents, the Index may have an expsure t the synthetic prtfli f up t 150%. When the vlatility f the synthetic prtfli ver the relevant measurement perid is less than the target vlatility f 5%, the Index will emply leverage t increase the expsure f the prtfli, up t 150%. When the synthetic prtfli is leveraged, any mvements in the values f the Basket Cnstituents may result in greater changes in the value f the Basket Cnstituents than if leverage was nt used. In particular, the use f leverage will magnify any negative perfrmance f the Basket Cnstituents, which, in turn, culd affect adversely any payments n the CDs. THE INDEX MAY NOT ACHIEVE ITS TARGET VOLATILITY The expsure f the Index t the synthetic prtfli f Basket Cnstituents is determined by a tw-step prcess, cmpsed f a mnthly selectin prcess t determine the weighting assigned t each Basket Cnstituent in the synthetic prtfli tracked by the Index and a daily dynamic adjustment f the expsure t the synthetic prtfli intended t achieve a target annualized vlatility f 5% n a daily basis. The mnthly weights and daily adjustments are based n the histrical vlatility f the synthetic prtfli ver specified measurement perids and are subject t maximum aggregate and individual weighting cnstraints and minimum and maximum expsure limits. Hwever, there is n guarantee that trends existing in the relevant measurement perid will cntinue in the future. The vlatility f the synthetic prtfli n any day may change quickly and unexpectedly. Accrdingly, the actual realized annualized vlatility f the Index n a daily basis may be greater than r less than 5%, which may adversely affect the level f the Index and the value f the CDs. THE DAILY ADJUSTMENT OF THE EXPOSURE OF THE INDEX TO THE SYNTHETIC PORTFOLIO OF BASKET CONSTITUENTS MAY CAUSE THE INDEX NOT TO REFLECT FULLY ANY PRICE APPRECIATION OR TO MAGNIFY ANY PRICE DEPRECIATION OF THE SYNTHETIC PORTFOLIO As discussed abve, in an effrt t achieve the target vlatility f 5% n a daily basis, the Index adjusts its expsure t the synthetic prtfli f Basket Cnstituents daily based n the histrical vlatility f the synthetic prtfli ver a specified measurement perid, subject t maximum and minimum expsure limits. When the histrical vlatility is greater than the target vlatility, the Index will reduce the expsure t the synthetic prtfli. When the histrical vlatility is less than the target vlatility, the Index will increase the expsure t the synthetic prtfli. The expsure may vary between 0% and 150%. Due t the daily expsure adjustments, the Index may fail t realize gains due t price appreciatin f the synthetic prtfli at a time when the expsure is less than 100% r may suffer increased lsses due t price depreciatin f the synthetic prtfli when the expsure is abve 100%. As a result, the Index may underperfrm a similar index that des nt include a daily expsure adjustment feature. THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES MONTHLY REBALANCING AND WEIGHTING CAPS THAT ARE APPLIED TO THE BASKET CONSTITUENTS AND DAILY ADJUSTMENTS TO THE EXPOSURE TO THE SYNTHETIC PORTFOLIO CONSISTING OF THE BASKET CONSTITUENTS The Basket Cnstituents are subject t mnthly rebalancing and maximum weighting caps by asset type and n subsets f assets based n histrical vlatility and daily adjustments t the expsure t the synthetic prtfli cnsisting f the Basket Cnstituents. By cntrast, a synthetic prtfli that des nt rebalance mnthly and is nt subject t any weighting caps r daily expsure adjustments in this manner culd see greater cmpunded gains ver time thrugh expsure t a cnsistently and rapidly appreciating prtfli cnsisting f the Basket Cnstituents. Therefre, yur return n the CDs may be less than the return yu culd realize n an alternative investment in the Basket Cnstituents that is nt subject t mnthly rebalancing, weighting caps r daily expsure adjustments. CHANGES IN THE VALUES OF THE BASKET CONSTITUENTS MAY OFFSET EACH OTHER TS-12 Structured Investments

14 Because the CDs are linked t the Index, which is linked t the perfrmance f the Basket Cnstituents, which cllectively represent a diverse range f asset classes and gegraphic regins, price mvements between the Basket Cnstituents representing different asset classes r gegraphic regins may nt crrelate with each ther. At a time when the value f a Basket Cnstituent representing a particular asset class r gegraphic regin increases, the value f ther Basket Cnstituents representing a different asset class r gegraphic regin may nt increase as much r may decline. Therefre, in calculating the level f the Index, increases in the values f sme f the Basket Cnstituents may be mderated, r mre than ffset, by lesser increases r declines in the values f ther Basket Cnstituents. FOR EACH ETF CONSTITUENT THAT TRACKS A REFERENCE INDEX, THE PERFORMANCE OF THAT ETF CONSTITUENT S REFERENCE INDEX AS WELL AS ITS NET ASSET VALUE PER SHARE MAY NOT CORRELATE WITH ITS PERFORMANCE AND MARKET VALUE, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY Each ETF Cnstituent may nt fully replicate its reference index and may hld securities different frm thse included in its reference index. In additin, the perfrmance f each ETF Cnstituent will reflect additinal transactin csts and fees that are nt included in the calculatin f its reference index. All f these factrs may lead t a lack f crrelatin between the perfrmance f each ETF Cnstituent and its reference index. In additin, crprate actins with respect t the equity securities underlying the ETF Cnstituents (such as mergers and spin-ffs) may impact the variance between the perfrmances f each ETF Cnstituent and its reference index. Finally, because the ETF Cnstituents are traded n public exchanges and are subject t market supply and investr demand, the market value f each ETF Cnstituent may differ frm its net asset value per share. During perids f market vlatility, securities underlying the ETF Cnstituents may be unavailable in the secndary market, market participants may be unable t calculate accurately the net asset value per share f the ETF Cnstituents and the liquidity f the ETF Cnstituents may be adversely affected. This kind f market vlatility may als disrupt the ability f market participants t create and redeem shares f the ETF Cnstituents. Further, market vlatility may adversely affect, smetimes materially, the prices at which market participants are willing t buy and sell shares f the ETF Cnstituents. As a result, under these circumstances, the market value f the ETF Cnstituents may vary substantially frm their net asset values per share. Fr all f the freging reasns, the perfrmance f each ETF Cnstituent may nt crrelate with the perfrmance f its reference index as well as its net asset value per share, which culd materially and adversely affect the value f the CDs in the secndary market and/r reduce any payment n the CDs. THE INDEX MAY BE PARTIALLY UNINVESTED The aggregate weight f the Cash Cnstituent at any given time represents the prtin f the synthetic prtfli that is uninvested at that time. The Index will reflect n return fr any uninvested prtin (including any prtin represented by the Cash Cnstituent). While the weight f the Cash Cnstituent is nrmally limited by a weighting cnstraint f 50%, if, as a result f an extrardinary event, any Basket Cnstituent is replaced with the Cash Cnstituent, the aggregate weight f the Cash Cnstituent wuld be allwed t exceed 50% because a prtin f that aggregate weight wuld be subject t the weighting cnstraints specific t the replaced Basket Cnstituent and nt the weighting cnstraints specific t the Cash Cnstituent. See The Basket Cnstituents Cmpsing the Index May Be Replaced by a Substitute ETF r Index belw. In additin, when the expsure f the Index t the synthetic prtfli f Basket Cnstituents is less than 100% n any day, a prtin f the synthetic prtfli will be uninvested. Fr example, if the daily expsure is set at 70%, and assuming the weight f the Cash Cnstituent is 0%, 30% f the synthetic prtfli will be uninvested. The Index will reflect n return fr any uninvested prtin. HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS The hypthetical back-tested perfrmance f the Index set frth under Hypthetical Back-tested Data and Histrical Infrmatin in this term sheet is purely theretical and des nt represent the actual histrical perfrmance f the Index and has nt been verified by an independent third party. Fr time perids prir t the launch f an ETF Cnstituent and that ETF Cnstituent s initial satisfactin f a minimum liquidity standard, the hypthetical back-tested perfrmance set frth under Hypthetical Back-tested Data and Histrical Infrmatin in this term sheet was calculated using alternative perfrmance infrmatin derived frm a related index, after deducting hypthetical fund fees, rather than the perfrmance infrmatin fr that ETF Cnstituent. Alternative mdeling techniques r assumptins may prduce different hypthetical histrical infrmatin that might prve t be mre apprpriate and that might differ significantly frm the hypthetical histrical infrmatin set frth under Hypthetical Backtested Data and Histrical Infrmatin in this term sheet. In additin, back-tested, hypthetical histrical results have inherent limitatins. These back-tested results are achieved by means f a retractive applicatin f a back-tested mdel designed with the TS-13 Structured Investments

15 benefit f hindsight. As with actual histrical data, hypthetical back-tested data shuld nt be taken as an indicatin f future perfrmance. THE BASKET CONSTITUENTS COMPOSING THE INDEX MAY BE REPLACED BY A SUBSTITUTE ETF OR INDEX If the index calculatin agent determines in its discretin that n suitable substitute ETF r index is available fr an affected Basket Cnstituent (ther than the Cash Cnstituent), then the index calculatin agent will replace such Basket Cnstituent with the Cash Cnstituent as its substitute. Under these circumstances, the aggregate weight f the Cash Cnstituent in the Index may be greater than the maximum 50% weight limit allcated t the Cash Cnstituent because a prtin f such aggregate weight wuld be subject t the separate maximum weight limit specific t the affected Basket Cnstituent. THE COMMODITY FUTURES CONTRACTS UNDERLYING ONE OF THE BASKET CONSTITUENTS ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES Legal r regulatry develpments affecting the cmmdity futures cntracts underlying ne f the Basket Cnstituents, the ishares S&P GSCI Cmmdity-Indexed Trust, may result in the index calculatin agent exercising its discretinary right t exclude r substitute Basket Cnstituents r the ccurrence f a cmmdity hedging disruptin event r may therwise adversely affect the value f the CDs. See We May Determine the Additinal Amunt fr Yur CDs Early If a Cmmdity Hedging Disruptin Event Occurs abve and Risk Factrs Risks Relating t the Cmmdity ETF Cnstituents in the accmpanying underlying supplement. OTHER KEY RISKS: THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE BASKET CONSTITUENTS. THE INDEX WAS ESTABLISHED ON SEPTEMBER 25, 2012, AND THEREFORE HAS A LIMITED OPERATING HISTORY AND MAY PERFORM IN UNANTICIPATED WAYS. THE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST. THE CDs ARE SUBJECT TO CURRENCY EXCHANGE RISK BECAUSE THE PRICES OF SOME OR ALL OF THE SECURITIES COMPOSING THE ishares MSCI EAFE ETF AND THE ishares MSCI EMERGING MARKETS ETF ARE CONVERTED INTO U.S. DOLLARS FOR PURPOSES OF CALCULATING THE VALUE OF THE RELEVANT BASKET CONSTITUENT. AN INVESTMENT IN THE CDs IS SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS, INCLUDING EMERGING MARKETS BECAUSE SOME OR ALL OF THE EQUITY SECURITIES THAT ARE HELD BY THE ishares MSCI EAFE ETF AND THE ishares MSCI EMERGING MARKETS ETF HAVE BEEN ISSUED BY NON-U.S. COMPANIES. THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING INTEREST RATE-RELATED RISKS BECAUSE FIVE OF THE BASKET CONSTITUENTS ARE BOND ETFs THAT ATTEMPT TO TRACK THE PERFORMANCE OF INDICES COMPOSED OF FIXED-INCOME SECURITIES. THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH HIGH-YIELD FIXED INCOME SECURITIES, INCLUDING CREDIT RISK. INVESTMENTS RELATED TO THE VALUES OF THE COMMODITIES TEND TO BE MORE VOLATILE THAN TRADITIONAL CD INVESTMENTS. HIGHER FUTURE PRICES OF THE COMMODITY FUTURES CONTRACTS CONSTITUTING THE ishares S&P GSCI TM COMMODITY-INDEXED TRUST RELATIVE TO THEIR CURRENT PRICES MAY DECREASE THE AMOUNT PAYABLE AT MATURITY. RISKS ASSOCIATED WITH THE REAL ESTATE INDUSTRY WILL AFFECT THE VALUE OF YOUR CDs BECAUSE THE ishares U.S. REAL ESTATE ETF HOLDS A VARIETY OF REAL ESTATE-RELATED SECURITIES. AN INVESTMENT IN THE CDs IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS BECAUSE THE EQUITY SECURITIES HELD BY THE ishares RUSSELL 2000 ETF AND INCLUDED IN THE RUSSELL 2000 INDEX HAVE BEEN ISSUED BY COMPANIES WITH RELATIVELY SMALL MARKET CAPITALIZATION. THE MARKET PRICE OF GOLD WILL AFFECT THE VALUE OF THE CDs. Please refer t the Risk Factrs sectin f the accmpanying underlying supplement fr mre details regarding the abve-listed and ther risks. TS-14 Structured Investments