6yr ETF Efficiente DS 5 Annual Income CD

Transcription

1 Nrth America Structured Investments 6yr ETF Efficiente DS 5 Annual Incme CD Overview J.P. Mrgan ETF Efficiente DS 5 (the ) is an additin t the JPMrgan Efficiente index family. JPMrgan ETF Efficiente DS emplys a mmentum and mdern prtfli thery framewrk t a mnthly asset allcatin frm a universe f 12 exchange-traded funds and a cash index with the intrductin f a daily vlatility targeting mechanism, which is verlaid n the mnthly asset allcatin (the Mnthly Reference Prtfli ). The targets the 5% vlatility by varying the expsure the takes t the Mnthly Reference Prtfli n a daily basis. The increases the expsure t the Mnthly Reference Prtfli when the vlatility f the prtfli decreases and decreases the expsure when the vlatility f the Mnthly Reference Prtfli increases. The levels incrprate a daily deductin fee f 1.00% per annum. May be apprpriate fr investrs requiring asset and gegraphical diversificatin, full repayment f principal at maturity and FDIC insurance up t applicable limits. Any payment n the CDs in excess f the FDIC insurance limits is subject t the credit risk f JPMrgan Chase Bank, N.A. Summary f Terms Issuer: JPMrgan Chase Bank, N.A. Minimum Denminatin: $10,000 : JPMrgan ETF Efficiente DS 5 Ticker: EEJPDS5E Principal Return: 100% Rate: Cumulative Return x Cumulative Return: (Ending Level Starting Level) / Starting Level : 1/n, where n is equal t the number f Determinatin Dates that have ccurred t date, including the current Determinatin Date. Minimum Rate: 0.00%* Ending Level: The clsing level n a Determinatin Date. Determinatin Dates: Annual Pricing Date: June 19, 2015 Maturity Date: June 30, 2021 CUSIP: 48125YFG4 Preliminary Term Sheet: Fr mre infrmatin abut the estimated value f the CDs, which will be lwer than the price yu paid fr the CDs, please see the hyperlink abve. Hypthetical Payments** Determinatin Date Initial Level Ending Level Cumulative Return Cumulative Return x Rate First % % 0.00% Secnd % 1/2 4.00% 4.00% Third % 1/3 0.00% 0.00% Furth % 1/4 1.75% 1.75% Fifth % 1/5 2.00% 2.00% Sixth % 1/6 1.50% 1.50% Return Prfile The Rate fr each annual Payment Date will be a percentage equal t the Cumulative Return multiplied by the, prvided that the Rate will nt be less than the Minimum Rate. Yu are entitled t repayment in full f yur principal investment at maturity, even if the strategy declines, subject t the credit risk f JPMrgan Chase Bank, N.A. * T be determined n the Pricing Date, but nt less than 0.00% per annum ** Reflects a Minimum Rate f 0.00% fr illustrative purpses. The hypthetical returns and hypthetical payments n the CDs shwn abve apply nly at maturity. These hyptheticals d nt reflect 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 J.P. Mrgan Structured Investments jpm_structured_investments@jpmrgan.cm

2 Nrth America Structured Investments 6yr ETF Efficiente DS 5 Annual Incme CD Selected Benefits The CDs ffer full repayment f principal at maturity. FDIC-insured up t applicable limits, thereafter expsed t credit risk f JPMrgan Chase Bank, N.A. Investment in the CDs is nt subject t a maximum return r averaging in the return calculatin. ETF Efficiente DS targets the 5% vlatility n a daily basis by varying the expsure the takes the mnthly asset allcatin The strategy dynamically allcates amng the fllwing 12 ETFs and cash index: SPDR S&P 500 ETF Trust (SPY) ishares Russell 2000 ETF (IWM) ishares iboxx $ High Yield Crprate Bnd ETF (HYG) ishares Barclays 20+ Year Treasury Bnd ETF (TLT) JPMrgan Cash USD 3 Mnth (JPCAUS3M) (the Cash ) ishares JPMrgan USD Emerging Markets Bnd ETF (EMB) ishares Dw Jnes Real Estate ETF (IYR) ishares S&P GSCI Cmmdity- ed Trust (GSG) ishares MSCI Emerging Markets ETF (EEM) SPDR Gld Trust (GLD) ishares TIPS Bnd ETF (TIP) ishares MSCI EAFE ETF (EFA) ishares iboxx $ Investment Grade Crprate Bnd ETF (LQD) Selected Risks The CDs may nt pay mre than the principal amunt at maturity. The stated payut n the CDs, including the repayment f principal, is nly available at maturity. Fr each cupn determinatin date, if the Cumulative Return is negative yu may nt receive any cupn payments n yur CDs in excess f the Minimum Rate. Selected Risks (cntinued) Yur aggregate cupn payments may yield a lwer return than the perfrmance ver the term f the CDs. The negatively impacts the Rate ver time, which can result in lwer cupn payments fr increases in the later in the term f the CDs. The strategy may nt be successful. It may nt utperfrm an alternative strategy related t the ETF Cnstituents. The strategy is subject t emerging markets risk, fixed incme risks, currency exchange risk, real estate risk, small capitalizatin stck risk and the uncertain legal and regulatry regimes which gvern cmmdities future cntracts. Our affiliate, JPMS plc, is the index calculatin agent and may adjust the index in a way that affects its level. Changes in the value f cnstituents may ffset each ther. Upn the ccurrence f a cmmdity hedging disruptin event, the additinal amunt will be determined by the calculatin agent n the date f such event. Yur payment at maturity will be determined befre the Observatin Date and will nt reflect any ptential appreciatin after this early determinatin. JPMS estimated value des nt represent future values and may differ frm thers estimates. The value f the CDs which may be reflected in custmer accunt statements may be higher than JPMS current estimated value fr a limited time perid. JPMS estimated value is derived by reference t an internal funding rate. The tax cnsequences f the CDs maybe uncertain. Yu shuld cnsult yur tax advisr regarding the U.S federal incme tax cnsequences f an investment in the CDs. Lack f liquidity: JPMrgan Securities, LLC, acting as agent fr the Issuer (and wh we refer t as JPMS), intends t ffer t purchase the CDs in the secndary market but is nt required t d s. The price, if any, at which JPMS will be willing t purchase CDs frm yu in the secndary market, if at all, may result in a significant lss f yur principal. Ptential Cnflicts: we and ur affiliates play a variety f rles in cnnectin with the CDs, including acting as a calculatin agent, hedging ur bligatins under the CDs, and making the assumptins used t determine the pricing f the CDs and the estimated value f the CDs when the terms are set. It is pssible that such hedging r trading activities f urs r ur affiliates culd result in substantial returns fr us r ur affiliates while the value f the CDs decline. The risks identified abve are nt exhaustive. Please see Risk s in the applicable disclsure supplement and underlying supplement and Selected Risk Cnsideratins in the term sheet fr additinal infrmatin. Disclaimer The infrmatin cntained in this dcument is fr discussin purpses nly. Any infrmatin relating t perfrmance cntained in these materials is illustrative and n assurance is given that any indicative returns, perfrmance r results, whether histrical r hypthetical, will be achieved. These terms are subject t change, and J.P. Mrgan undertakes n duty t update this infrmatin. This dcument shall be amended, superseded and replaced in its entirety by a subsequent term sheet, disclsure supplement and/r private placement memrandum, and the dcuments referred t therein. In the event any incnsistency between the infrmatin presented herein and any such term sheet, disclsure supplement and/r private placement memrandum, such term sheet, disclsure supplement and/r private placement memrandum shall gvern. IRS Circular 230 Disclsure: JPMrgan Chase & C. and its affiliates d nt prvide tax advice. Accrdingly, any discussin f U.S. tax matters cntained herein (including any attachments) is nt intended r written t be used, and cannt be used, in cnnectin with the prmtin, marketing r recmmendatin by anyne unaffiliated with JPMrgan Chase & C. f any f the matters address herein r fr the purpse f aviding U.S. taxrelated penalties. Investment suitability must be determined individually fr each investr, and the financial instruments described herein may nt be suitable fr all investrs. This infrmatin is nt intended t prvide and shuld nt be relied upn as prviding accunting, legal, regulatry r tax advice. Investrs shuld cnsult with their wn advisrs as t these matters. This material is nt a prduct f J.P. Mrgan Research Departments. J.P. Mrgan Structured Investments jpm_structured_investments@jpmrgan.cm

3 May 27, 2015 JPMrgan Chase Bank, Natinal Assciatin Structured Investments Variable Annual Incme Certificates f Depsit Cntingent n the Perfrmance f the J.P. Mrgan ETF Efficiente DS 5 due June 30, 2021 The certificates f depsit ( CDs ) are designed fr investrs wh seek variable annual Payments that each depend n the annualized perfrmance f the J.P. Mrgan ETF Efficiente DS 5 frm the pricing date t the relevant Determinatin Date, subject t the Minimum Rate. Investrs shuld be willing t frg dividend payments and any return n this investment beynd the 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 J.P. Mrgan ETF Efficiente DS 5 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 June 19, 2015 and are expected t settle n r abut June 26, CUSIP: 48125YFG4 Investing in the CDs invlves a number f risks. See Risk s beginning n page 7 f the accmpanying disclsure statement, Risk s beginning n page US-5 f the accmpanying underlying supplement n. CD-6-I and Selected Risk Cnsideratins beginning n page TS-6 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 $32.50 per $1,000 CD, and in n event will these selling cmmissins exceed $37.50 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 datedd December 7, 2012

4 Key Terms : The J.P. Mrgan ETF Efficiente DS 5 (Blmberg ticker: EEJPDS5E). The level f the reflects the deductin f a fee f 1.00% per annum that accrues daily. Minimum Rate: At least 0.00% per annum (t be prvided in the disclsure supplement) Initial Value: The clsing level f the n the Pricing Date Final Value: Fr each Determinatin Date, the clsing level f the n that Determinatin Date Pricing Date: On r abut June 19, 2015 Original Issue Date (Settlement Date): On r abut June 26, 2015 Determinatin Dates*: June 27, 2016, June 27, 2017, June 26, 2018, June 25, 2019, June 25, 2020 and June 25, 2021 Payment Dates*: June 30, 2016, June 30, 2017, June 29, 2018, June 28, 2019, June 30, 2020 and June 30, 2021 Maturity Date*: June 30, 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 the ETF Efficiente 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 Underlying (Other Than a Cmmdity ) and General Terms f the CDs Pstpnement f a Payment Date in the accmpanying disclsure statement 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 Remaining Interest Payments 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 adjust the Payments payable n each Payment Date that fllws the ccurrence f that cmmdity hedging disruptin event. See Selected Risk Cnsideratins We May Adjust Further Payments If a Cmmdity Hedging Disruptin Event Occurs. Payment : Yu will receive n each Payment Date fr each $1,000 CD a Payment equal t: $1,000 Rate If the Rate applicable t a particular Payment Date is equal t the Minimum Rate, yu will nt receive a Payment n that Payment Date. Accrdingly, if the Rate fr each Payment Date is equal t the Minimum Rate, yu will nt receive any Payments ver the term f the CDs. Rate: The Rate fr each Payment Date will be a percentage equal t (a) the Cumulative Return n the applicable Determinatin Date times (b) the fr that Determinatin Date, prvided that the Rate will nt be less than the Minimum Rate. : The fr each Determinatin Date will be a fractin equal t 1/n, where n is equal t the number f Determinatin Dates that have ccurred t date, including the Determinatin Date in questin. See Selected Risk Cnsideratins Because the fr Each Determinatin Date Decreases Over Time, An Earlier Increase in the Will Result in a Higher Payment Than a Later Increase in the. Payment at Maturity: Yu will receive a cash payment at maturity, fr each $1,000 CD, equal t (a) $1,000 plus (b) the Payment applicable t the Maturity Date. Cumulative Return: With respect t each Determinatin Date: (Final Value Initial Value) Initial Value 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

5 The J.P. Mrgan ETF Efficiente DS 5 The J.P. Mrgan ETF Efficiente DS 5 (the ) 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 (the index calculatin agent ). The 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 USD 3 Mnth (including any successr r substitute cash index included in the, 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 rebalances mnthly a synthetic prtfli cmpsed f the Basket Cnstituents. The 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 uses the cncept f an efficient frntier t define the asset allcatin f the. An efficient frntier fr a prtfli f assets defines the ptimum return f the prtfli fr a given amunt f risk. The 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 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 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 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 t the synthetic prtfli f Basket Cnstituents is less than 100% n any day, a prtin f the synthetic prtfli will be uninvested. The will reflect n return fr any uninvested prtin. The fllwing are the Basket Cnstituents cmpsing the 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-ed Trust 10% 11 SPDR Gld Trust 10% 12 Inflatin Prtected Bnds and ishares TIPS Bnd ETF 50% 13 Cash (50%) JPMrgan Cash USD 3 Mnth 50% The 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-ed Trust) were changed t the names listed in the table abve. Ntwithstanding anything t the cntrary in the accmpanying underlying supplement, the J.P. Mrgan Emerging Markets Bnd 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 Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent TS-2 Structured Investments

6 cmpany. The prices f the bnds included in the J.P. Mrgan Emerging Markets Bnd 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. "Efficiente" is a registered trademark f JPMrgan Chase & C. See The J.P. Mrgan ETF Efficiente DS 5 in the accmpanying underlying supplement fr mre infrmatin abut the and the Basket Cnstituents. Hypthetical Payut Prfile The fllwing table illustrates hypthetical Rates fr different Payment Dates and the fllwing examples illustrate hypthetical Payments ver the term f the CDs. The hypthetical Rates and Payments set frth belw assume the fllwing: an Initial Value f 100 and a Minimum Rate f 0.00% per annum. 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 Rate and Payment set frth belw is fr illustrative purpses nly and may nt be the actual Rate r Payment applicable t a purchaser f the CDs. The numbers appearing in the fllwing table and examples have been runded fr ease f analysis. Final Value Cumulative Return Rate fr each Payment Date First Secnd Third Furth Fifth Sixth % 80.00% 40.00% 26.67% 20.00% 16.00% 13.33% % 70.00% 35.00% 23.33% 17.50% 14.00% 11.67% % 60.00% 30.00% 20.00% 15.00% 12.00% 10.00% % 50.00% 25.00% 16.67% 12.50% 10.00% 8.33% % 40.00% 20.00% 13.33% 10.00% 8.00% 6.67% % 30.00% 15.00% 10.00% 7.50% 6.00% 5.00% % 20.00% 10.00% 6.67% 5.00% 4.00% 3.33% % 15.00% 7.50% 5.00% 3.75% 3.00% 2.50% % 10.00% 5.00% 3.33% 2.50% 2.00% 1.67% % 5.00% 2.50% 1.67% 1.25% 1.00% 0.83% % 2.00% 1.00% 0.67% 0.50% 0.40% 0.33% % 1.00% 0.50% 0.33% 0.25% 0.20% 0.17% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% TS-3 Structured Investments

7 Example 1 Determinatin Date Final Value Cumulative Return Cumulative Return Rate First % % 2.00% $20.00 Secnd % 1/2 2.00% 2.00% $20.00 Third % 1/3 2.00% 2.00% $20.00 Furth % 1/4 2.00% 2.00% $20.00 Fifth % 1/5 2.00% 2.00% $20.00 Sixth % 1/6 2.00% 2.00% $20.00 Payment Ttal Payments: $ Annual Percentage Yield: 1.91% In example 1, the increases by apprximately 2% during each year ver the term f the CDs. Because, n each Determinatin Date, the prduct f the Cumulative Return and the is equal t 2%, which is greater than the Minimum Rate, the Rate fr each Determinatin Date is equal t 2%. Accrdingly, the investr receives ttal Payments ver the term f the CDs equal t $ per $1,000 CD. Example 2 Determinatin Date Final Value Cumulative Return Cumulative Return Rate First % % 0.00% $0.00 Secnd % 1/2-2.00% 0.00% $0.00 Third % 1/3-2.00% 0.00% $0.00 Furth % 1/4-2.00% 0.00% $0.00 Fifth % 1/5-2.00% 0.00% $0.00 Sixth % 1/6-2.00% 0.00% $0.00 Payment Ttal Payments: $0.00 Annual Percentage Yield: 0.00% In example 2, the decreases by apprximately 2% during each year ver the term f the CDs. Because, n each Determinatin Date, the prduct f the Cumulative Return and the is equal t 2%, which is less than the Minimum Rate, the Rate fr each Determinatin Date is equal t the Minimum Rate f 0%. Accrdingly, the investr des nt receive any Payments ver the term f the CDs. TS-4 Structured Investments

8 Example 3 Determinatin Date Final Value Cumulative Return Cumulative Return Rate First % % 1.00% $10.00 Secnd % 1/2 0.75% 0.75% $7.50 Third % 1/3 2.00% 2.00% $20.00 Furth % 1/4 1.75% 1.75% $17.50 Fifth % 1/5 1.50% 1.50% $15.00 Sixth % 1/6 1.50% 1.50% $15.00 Payment Ttal Payments: $85.00 Annual Percentage Yield: 1.37% In example 3, the increases by varying amunts during each year ver the term f the CDs. Even thugh the increases ver the term f the CDs, due t the applicatin f the, the Payments d nt increase at the same rate and, in sme cases, the Payments decrease. The investr receives ttal Payments ver the term f the CDs equal t $85.00 per $1,000 CD. Example 4 Determinatin Date Final Value Cumulative Return Cumulative Return Rate First % % 4.00% $40.00 Secnd % 1/2 4.00% 4.00% $40.00 Third % 1/3 4.00% 4.00% $40.00 Furth % 1/4 1.75% 1.75% $17.50 Fifth % 1/5 0.40% 0.40% $4.00 Sixth % 1/6-0.50% 0.00% $0.00 Payment Ttal Payments: $ Annual Percentage Yield: 2.23% In example 4, the increases by apprximately 4% during each f the first three years f the term f the CDs, then decreases by apprximately 5% during each f the final three years f the term f the CDs. In this example, because the increase in the level f the ccurs early in the term f the CDs (and the decrease in the level f the ccurs late in the term f the CDs), the Rate is abve the Minimum Rate fr five f the six Determinatin Dates, and the investr receives ttal Payments ver the term f the CDs equal t $ per $1,000 CD. TS-5 Structured Investments

9 Example 5 Determinatin Date Final Value Cumulative Return Cumulative Return Rate First % % 0.00% $0.00 Secnd % 1/2-4.00% 0.00% $0.00 Third % 1/3-4.00% 0.00% $0.00 Furth % 1/4-1.75% 0.00% $0.00 Fifth % 1/5-0.40% 0.00% $0.00 Sixth % 1/6 0.50% 0.50% $5.00 Payment Ttal Payments: $5.00 Annual Percentage Yield: 0.08% In example 5, the decreases by apprximately 4% during each f the first three years f the term f the CDs, then increases by apprximately 5% during each f the final three years f the term f the CDs. In this example, because the decrease in the level f the ccurs early in the term f the CDs (and the increase in the level f the ccurs late in the term f the CDs), the Rate is equal t the Minimum Rate fr five f the six Determinatin Dates, and the investr receives ttal Payments ver the term f the CDs equal t $5.00 per $1,000 CD. Example 6 Determinatin Date Final Value Cumulative Return Cumulative Return Rate First % % 10.00% $ Secnd % 1/ % 10.00% $ Third % 1/ % 10.00% $ Furth % 1/ % 10.00% $ Fifth % 1/ % 10.00% $ Sixth % 1/ % 10.00% $ Payment Ttal Payments: $ Annual Percentage Yield: 8.15% In example 6, the increases by apprximately 10% during each year ver the term f the CDs. Because, n each Determinatin Date, the prduct f the Cumulative Return and the is equal t 10%, which is greater than the Minimum Rate, the Rate fr each Determinatin Date is equal t 10%. Accrdingly, the investr receives ttal Payments ver the term f the CDs equal t $ per $1,000 CD. 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. TS-6 Structured Investments

10 Selected Risk Cnsideratins An investment in the CDs invlves significant risks. These risks are explained in mre detail in the Risk s sectins f the accmpanying disclsure statement and underlying supplement. Risks Relating t the CDs Generally YOU MAY NOT RECEIVE ANY COUPON PAYMENTS ON YOUR CDs Yur nly return n the CDs will be the annual Payments paid ver the term f the CDs. If the has declined frm the Pricing Date t the applicable Determinatin Date, resulting in a negative Cumulative Return, yu will nt receive a Payment n that Payment Date. If the Minimum Rate applies fr each Payment Date, yu will nt receive any cupn payments ver the term f the CDs. Therefre, the return n yur investment in the CDs may be less than the amunt that wuld be paid n a cnventinal certificate f depsit having a similar maturity issued by us. The Payments, if any, paid ver the term f the CDs may nt cmpensate yu fr any lss in value due t inflatin and ther factrs relating t the value f mney ver time. THE APPLICATION OF THE INDEX FACTOR TO THE CUMULATIVE INDEX RETURN WILL GENERALLY LOWER THE APPLICABLE COUPON RATES AND MAY CAUSE THE RETURN ON THE CDs TO BE LESS THAN THE INDEX PERFORMANCE Althugh the Cumulative Return n each Determinatin Date measures the perfrmance f the frm the Pricing Date t that Determinatin Date, the fr the applicable Determinatin Date is applied t the Cumulative Return fr that Determinatin Date t annualize the Cumulative Return. Accrdingly, even if the Cumulative Return increases frm ne Determinatin Date t the next, the Rate fr each crrespnding Payment Date may nt increase in the same prprtin and may even decrease. In additin, the return frm the Payments, if any, that yu may receive ver the term f the CDs may be less than the perfrmance ver the term f the CDs. See Hypthetical Payut Prfile in this term sheet fr mre infrmatin. BECAUSE THE INDEX FACTOR FOR EACH COUPON DETERMINATION DATE DECREASES OVER TIME, AN EARLIER INCREASE IN THE INDEX WILL RESULT IN A HIGHER COUPON PAYMENT THAN A LATER INCREASE IN THE INDEX The fr each Determinatin Date is less than the fr the immediately preceding Determinatin Date. Accrdingly, its impact n the Rate is t reduce the Cumulative Return ver time. As a result, an earlier increase in the will result in a higher Payment than a single increase in the later in the term, unless the later increase is sufficient t ffset the negative effect f the. If the initially depreciates fllwed by appreciatin in the latter term f the CDs r if the appreciates mre later in the term f the CDs than earlier, yur aggregate Payments, if any, may be less than thse yu culd have earned had the initially appreciated fllwed by depreciatin in the latter term f the CDs r if the had appreciated mre earlier in the term f the CDs than later. The negative impact f the will als be greater the lnger the term f the CDs. THE COUPON RATE DOES NOT REFLECT THE ACTUAL PERFORMANCE OF THE INDEX FROM COUPON DETERMINATION DATE TO COUPON DETERMINATION DATE The Rate fr each annual Payment Date is determined by multiplying the Cumulative Return n the applicable Determinatin Date by the applicable and is intended t reflect the annualized return n the applicable Determinatin Date, subject t the Minimum Rate. This is different frm, and may be less than, a Rate determined based n the percentage difference f the clsing levels f the between tw Determinatin Dates. Accrdingly, the Payments, if any, n the CDs may be less than the return yu culd earn n anther instrument linked t the that pays annual cupns based n the perfrmance f the frm Determinatin Date t Determinatin Date. See Hypthetical Payut Prfile in this term sheet fr mre infrmatin. 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 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 TS-7 Structured Investments

11 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 ADJUST FURTHER COUPON PAYMENTS IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS In making such adjustment, the CD calculatin agent will determine in gd faith and in a cmmercially respnsible manner the price f the embedded ptin representing all f the Payments frm but excluding the cmmdity hedging disruptin date thrugh and including the maturity date (the Optin Value ) as f the date n which we declare a cmmdity hedging disruptin event (such date, a cmmdity hedging disruptin date ). Thereafter, the Payment payable n each Payment Date ccurring after the cmmdity hedging disruptin date (each, an Affected Payment Date ) will be, instead f the amunt calculated as described under Key Terms Payment abve, an amunt equal t, fr each $1,000 CD, the Optin Value divided by the number f Affected Payment Dates, prvided that the Payment will nt be less than $1,000 the Minimum Rate. Under these circumstances, the Payment n each Affected Interest Payment Date will be fixed, regardless f any appreciatin f the, which may be significant. Please 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 s 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 Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany, develped and maintains and calculates the J.P. Mrgan Emerging Markets Bnd 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 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 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 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 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 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. 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. TS-8 Structured Investments

12 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, any prspective Payment, is nt insured by the FDIC prir t the relevant Determinatin 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 Minimum 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 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 TS-9 Structured Investments

13 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 s 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 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 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 a Basket 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. Furthermre, the inclusin f the Basket Cnstituents in the is nt an investment recmmendatin by us r JPMS plc f the 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 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 may fail t realize gains that culd ccur as a result f hlding assets that have experienced price declines, but after which experience a sudden price spike. 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 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 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 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 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 n a daily basis may be greater than r less than 5%, which may adversely affect the level f the 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 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 will reduce the expsure t the synthetic prtfli. When the histrical vlatility is less than the target vlatility, the will increase the expsure t the synthetic prtfli. The expsure may vary between 0% and 150%. Due t the daily TS-10 Structured Investments

14 expsure adjustments, the 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 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 Because the CDs are linked t the, 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, 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. 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 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 May Be Replaced by a Substitute ETF r belw. In additin, when the expsure f the 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 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 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 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 benefit f hindsight. As with actual histrical data, hypthetical back-tested data shuld nt be taken as an indicatin f future perfrmance. TS-11 Structured Investments