Certificates of Deposit Linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER) due October 31, 2019

Transcription

1 March 30, 2015 JPMrgan Chase Bank, Natinal Assciatin Structured Investments Certificates f Depsit Linked t the J.P. Mrgan Efficiente Plus DS 5 Index (Net ER) due Octber 31, 2019 The certificates f depsit ( CDs ) are designed fr investrs wh seek expsure t any appreciatin f the J.P. Mrgan Efficiente Plus DS 5 Index (Net ER) ver the term f the CDs. Investrs shuld be willing t frg interest and dividend 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 Efficiente Plus DS 5 Index (Net ER) r any f its Basket Cnstituents. Minimum denminatins f $1,000 and integral multiples theref The CDs are expected t price n r abut April 27, 2015 and are expected t settle n r abut April 30, CUSIP: 48125T7G4 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-19-I and Selected Risk Cnsideratins beginning n page TS-5 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 $20.00 per $1,000 CD, and in n event will these selling cmmissins exceed $31.50 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-19-I dated February 20, 2015

2 Key Terms Index: The J.P. Mrgan Efficiente Plus DS 5 Index (Net ER) (Blmberg ticker: EFPLUS5D). The level f the Index reflects the deductin f a fee f 0.85% per annum that accrues daily. Participatin Rate: At least 100% (t be prvided in the disclsure supplement) Initial Value: The clsing level f the Index n the Pricing Date Final Value: The clsing level f the Index n the Observatin Date Pricing Date: On r abut April 27, 2015 Original Issue Date (Settlement Date): On r abut April 30, 2015 Observatin Date*: Octber 28, 2019 Maturity Date*: Octber 31, 2019 * 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 an Index 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 Index) and General Terms f the CDs Pstpnement f a Payment Date in the accmpanying disclsure statement Index Return: Early Withdrawals: (Final Value Initial Value) Initial Value 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. Payment at Maturity: At maturity, yu will receive a cash payment, fr each $1,000 CD, f $1,000 plus the Additinal Amunt, which may be zer. Yu will receive n ther interest r dividend payments during the term f the CDs. The repayment f yur full principal amunt applies nly at maturity, subject t the credit risk f JPMrgan Chase Bank and applicable FDIC limits. Additinal Amunt : The Additinal Amunt payable at maturity per $1,000 CD will equal: $1,000 the Index Return the Participatin Rate, prvided that the Additinal Amunt will nt be less than zer. Subject t the impact f a cmmdity hedging disruptin event as described under General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event Adjustment f the Payment at Maturity in the accmpanying disclsure statement. In the event f a cmmdity hedging disruptin event, we have the right, but nt the bligatin, t cause the CD calculatin agent t determine n the cmmdity hedging disruptin date the value f the Additinal Amunt payable at maturity. Under these circumstances, the value f the Additinal Amunt payable at maturity will be determined prir t, and withut regard t the clsing level f the Index n, the Observatin Date. TS-1 Structured Investments

3 The J.P. Mrgan Efficiente Plus DS 5 Index (Net ER) The J.P. Mrgan Efficiente Plus DS 5 Index (Net ER) (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 19 exchange-traded funds ( ETFs ) (each an ETF Cnstituent, and cllectively the ETF Cnstituents ) and ne exchange-traded nte ( ETN ) (the Nte Cnstituent ), in each case with distributins 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 0.85% per annum that accrues daily, while targeting a specific vlatility n a daily basis. We refer t the ETF Cnstituents and the Nte Cnstituent tgether as the Exchange-Traded Cnstituents and t the Exchange-Traded Cnstituents and the Cash Cnstituent tgether as the Basket Cnstituents. The Exchange-Traded Cnstituents represent a diverse range f asset classes and gegraphic regins. The Index identifies mnthly a ntinal prtfli cmpsed f the Basket Cnstituents based n the mdern prtfli thery apprach t asset allcatin, which suggests hw a ratinal investr shuld allcate 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 cmpsed f the Basket Cnstituents measured ver the previus six mnths. The re-weighting methdlgy seeks t identify weights fr the Basket Cnstituents 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 ntinal prtfli f Basket Cnstituents. The expsure f the Index t the ntinal 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%, a variable maximum expsure and a maximum daily expsure change f 50%. Accrdingly, as the vlatility f the prtfli increases, the expsure prvided by the Index t the prtfli decreases, and as the vlatility f the prtfli decreases, the expsure prvided by the Index t the prtfli increases. The maximum expsure will vary s as t limit the aggregate weight f the Exchange-Traded Cnstituents included in the mnthly reference prtfli, as adjusted by the expsure, t 100%. The maximum expsure applied t the ntinal prtfli as a whle will nt be greater than 200%. The aggregate weight f the Cash Cnstituent at any given time represents the prtin f the ntinal prtfli f Basket Cnstituents that is uninvested at that time. In additin, when the expsure f the Index t the ntinal prtfli f Basket Cnstituents is less than 100% n any day, a prtin f the ntinal 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 Asset Cap Basket Cnstituent Blmberg Ticker 1 Equities (50%) 20% Vanguard S&P 500 ETF VOO 2 10% Vanguard Small-Cap ETF VB 3 20% Vanguard FTSE Develped Markets ETF VEA 4 10% ishares MSCI EAFE Small-Cap ETF SCZ 5 20% Vanguard FTSE Emerging Markets ETF VWO 6 Investment Grade Fixed- 20% ishares 20+ Year Treasury Bnd ETF TLT 7 Incme (50%)* 20% ishares 7-10 Year Treasury Bnd ETF IEF 8 20% ishares ibxx $ Investment Grade Crprate Bnd ETF LQD 9 10% ishares TIPS Bnd ETF TIP 10 10% Vanguard Shrt-Term Crprate Bnd ETF VCSH TS-2 Structured Investments

4 Sectr Cap Asset Cap Basket Cnstituent Blmberg Ticker 11 Other Fixed-Incme (50%) 20% SPDR Barclays High Yield Bnd ETF JNK 12 10% PIMCO 0-5 Year High Yield Crprate Bnd Index ETF HYS 13 10% PwerShares Senir Lan Prtfli BKLN 14 10% ishares U.S. Preferred Stck ETF PFF 15 10% ishares J.P. Mrgan USD Emerging Markets Bnd ETF EMB 16 Alternatives (50%) 10% Vanguard REIT ETF VNQ 17 20% Market Vectrs Gld Miners ETF GDX 18 10% ETRACS Alerian MLP Infrastructure Index ETN MLPI 19 10% PwerShares DB Cmmdity Index Tracking Fund DBC 20 10% ishares Gld Trust IAU 21 N/A* 50% JPMrgan Cash Index USD 3 Mnth JPCAUS3M * In additin, the investment grade fixed-incme sectr and the Cash Cnstituent tgether are subject t a cmbined maximum weighting cnstraint f 75%. The Index is reprted by the Blmberg Prfessinal service ( Blmberg ) under the ticker symbl EFPLUS5D. See The J.P. Mrgan Efficiente Plus Index Series in the accmpanying underlying supplement fr mre infrmatin abut the Index and the Basket Cnstituents. TS-3 Structured Investments

5 Hypthetical Payut Prfile The fllwing table and graph illustrate the hypthetical payment at maturity n the CDs linked t a hypthetical Index. The hypthetical payments set frth belw assume the fllwing: an Initial Value f ; and a Participatin Rate f %. The hypthetical Initial Value f 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 The Index in this term sheet. Each hypthetical payment at maturity set frth belw is fr illustrative purpses nly and may nt be the actual payment at maturity applicable t a purchaser f the CDs. The numbers appearing in the fllwing table and graph have been runded fr ease f analysis. Final Value Index Return Additinal Amunt Payment at Maturity Annual Percentage Yield % $ $1, % % $ $1, % % $ $1, % % $ $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, % 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. TS-4 Structured Investments

6 Payment at Maturity $1,400 CD Payff at Maturity Index Perfrmance $1,300 $1,200 $1,100 $1,000 $900 $800 $700-30% -20% -10% 0% 10% 20% 30% 40% Index Return Hw the CDs Wrk Upside Scenari: If the Final Value is greater than the Initial Value, investrs will receive at maturity the $1,000 principal amunt plus the Additinal Amunt, which is equal t $1,000 times the Index Return times the Participatin Rate, which will be at least %, fr each $1,000 CD. Assuming a hypthetical Participatin Rate f %, if the clsing level f the Index increases 5.00%, investrs will receive at maturity a 5.00% return, r $1, per $1,000 principal amunt nte. Par Scenari: If the Final Value is equal t the Initial Value r is less than the Initial Value, the Additinal Amunt will be zer and investrs will receive at maturity the principal amunt f their CDs. The hypthetical returns and hypthetical payments n the CDs shwn abve apply nly if yu hld the CDs fr their entire term. These hyptheticals d nt reflect the fees r expenses that wuld be assciated with any sale in the secndary market. If these fees and expenses were included, the hypthetical returns and hypthetical payments shwn abve wuld likely be lwer. Selected Risk Cnsideratins An investment in the CDs invlves significant risks. These risks are explained in mre detail in the Risk Factrs sectins f the accmpanying disclsure statement and underlying supplement. Risks Relating t the CDs Generally THE CDs MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY If the Final Value is less than r equal t the Initial Value, yu will receive nly the principal amunt f yur CDs at maturity, and yu will nt be cmpensated fr any lss in value due t inflatin and ther factrs relating t the value f mney ver time. THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A FEE OF 0.85% 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 ntinal 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 TS-5 Structured Investments

7 insurance limits. Any actual r ptential change in the creditwrthiness, credit ratings r credit spreads related t us r ur affiliates, as determined by the market fr taking that credit risk, is likely t adversely affect the value f the CDs. WE MAY DETERMINE THE ADDITIONAL AMOUNT FOR YOUR CDs EARLY IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS If we r ur affiliates are unable t effect transactins necessary t hedge ur bligatins under the CDs due t a cmmdity hedging disruptin event, we may, in ur sle and abslute discretin, cause the CD calculatin agent t determine the Additinal Amunt fr yur CDs early based n the CD calculatin agent s gd faith determinatin f the ptin value fr yur CDs (i.e., the price f the embedded ptin representing the Additinal Amunt payable n the CDs at maturity) n the date n which the CD calculatin agent determines that a cmmdity hedging disruptin event has ccurred, which may be significantly earlier than the Observatin Date. Under these circumstances, the amunt due and payable n yur CDs will be due and payable nly at maturity, and that amunt will nt reflect any appreciatin f the Index after such early determinatin. See General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event in the accmpanying disclsure statement fr mre infrmatin. POTENTIAL CONFLICTS We and ur affiliates play a variety f rles in cnnectin with the CDs. In perfrming these duties, ur ecnmic interests are ptentially adverse t yur interests as an investr in the CDs. It is pssible that hedging r trading activities f urs r ur affiliates in cnnectin with the CDs culd result in substantial returns fr us r ur affiliates while the value f the CDs declines. Please refer t Risk Factrs Risks Relating t Cnflicts f Interest in the accmpanying disclsure statement. In additin, the Glbal Index Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany, develped and maintains and calculates the JPMrgan Cash Index USD 3 Mnth, which is ne f the Basket Cnstituents, and the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE, which is the reference index f the ishares J.P. Mrgan USD Emerging Markets Bnd ETF, ne f the Basket Cnstituents. GIRG is part f JPMrgan Chase & C. s Glbal Research divisin and resides within JPMS. Furthermre, 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 ). 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 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. THE CDs DO NOT PAY INTEREST. 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 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, hlders wh purchase CDs in a principal amunt greater than the applicable limits set by federal law and regulatin will nt be insured by the FDIC fr the principal amunt exceeding such limit. In additin, under FDIC interpretatins, the return n the CDs, which is reflected in the frm f the Additinal Amunt, is nt insured by the FDIC until the Observatin TS-6 Structured Investments

8 Date. Any amunts due n the CDs in excess f the applicable FDIC insurance limits will be subject t the credit risk f JPMrgan Chase Bank. Fr mre infrmatin, see Depsit Insurance in the accmpanying disclsure statement. THE FINAL TERMS AND VALUATION OF THE CDs WILL BE PROVIDED IN THE DISCLOSURE SUPPLEMENT Yu shuld cnsider yur ptential investment in the CDs based n the minimums fr JPMS s estimated value and the Participatin Rate. JPMS S ESTIMATED VALUE OF THE CDs WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE CDs JPMS s estimated value is nly an estimate using several factrs. The riginal issue price f the CDs will exceed JPMS s estimated value because csts assciated with selling, structuring and hedging the CDs are included in the riginal issue price f the CDs. These csts include the selling cmmissins, the prjected prfits, if any, that ur affiliates expect t realize fr assuming 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 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. TS-7 Structured Investments

9 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 Basket Cnstituents r any f the securities, cmmdities, cmmdity futures cntracts, lans 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 hlding assets that have experienced price declines, but after which experience a sudden price spike. THE INDEX SHOULD NOT BE COMPARED TO ANY OTHER INDEX OR STRATEGY SPONSORED BY ANY OF OUR AFFILIATES The Index fllws a ntinal rules-based prprietary strategy that may have bjectives, features and/r cnstituents that are similar t thse f anther index r strategy spnsred by any f ur affiliates (each, a J.P. Mrgan Index ). N assurance can be given that these similarities will frm a basis fr cmparisn between the Index and any ther J.P. Mrgan Index, and n assurance can be given that the Index wuld be mre successful r utperfrm any ther J.P. Mrgan Index. The Index perates independently and des nt necessarily revise, enhance, mdify r seek t utperfrm any ther J.P. Mrgan Index. THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY N assurance can be given that the Index will apprximate its target vlatility. The actual realized vlatility f the Index may be greater r less than 5%. The mnthly weights f the ntinal prtfli(s) tracked by the Index are based n the histrical vlatility f the relevant ntinal prtfli ver a specified measurement perid and are subject t maximum aggregate and individual weighting cnstraints. In additin, the expsure f the Index t the relevant ntinal prtfli(s) is dynamically adjusted n a daily basis, subject t minimum and maximum expsure limits, based n the histrical vlatility f the relevant ntinal prtfli(s) ver specified measurement perids, with the intensin f achieving the target vlatility n a daily basis. Hwever, there is n guarantee that trends existing in the relevant measurement perid will cntinue in the future. The vlatility f the ntinal 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 MONTHLY REFERENCE PORTFOLIO OF BASKET CONSTITUENTS MAY CAUSE THE INDEX NOT TO REFLECT FULLY ANY PRICE APPRECIATION OR TO MAGNIFY ANY PRICE DEPRECIATION OF THE NOTIONAL PORTFOLIO In an effrt t apprximate the target vlatility f 5% n a daily basis, the Index adjusts its expsure t the ntinal prtfli f Basket Cnstituents daily based n the histrical vlatility f the ntinal 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 ntinal prtfli. When the histrical vlatility is less than the target vlatility, the Index will increase the expsure t the ntinal prtfli. The expsure may vary between 0% and a variable maximum expsure, subject t a daily maximum expsure change f 50%. The maximum expsure t the mnthly reference prtfli will nt be greater than 200% and will vary s as t limit the aggregate weight f the Exchange-Traded Cnstituents included in the mnthly reference prtfli, as adjusted by the expsure, t 100%. Due t the daily expsure adjustments, the Index may fail t realize gains due t price appreciatin f the ntinal prtfli at a time when the expsure is less than 100% r may suffer increased lsses due t price depreciatin f the ntinal prtfli when TS-8 Structured Investments

10 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 CDS MAY PROVIDE EXPOSURE TO ANY BASKET CONSTITUENT IN EXCESS OF THE WEIGHTING CONSTRAINT SPECIFIED FOR THAT BASKET CONSTITUENT As explained abve, the maximum expsure t the ntinal prtfli will nt be greater than 200% and will vary s as t limit the aggregate weight f the Exchange-Traded Cnstituents included in the mnthly reference prtfli, as adjusted by the expsure, t 100%. Accrdingly, the Index may prvide expsure t an Exchange-Traded Cnstituent equal t up t twice the weighting cnstraint that applies t that Exchange-Traded Cnstituent in the mnthly prtfli selectin prcess. Any mvements in value f an Exchange-Traded Cnstituent may result in greater changes in the value f that Exchange-Traded Cnstituent than if its expsure were limited t its weighting cnstraint. In particular, expsure t an Exchange-Traded Cnstituent in excess f 100% f its weighting cnstraint will magnify any negative perfrmance f that Exchange-Traded Cnstituent, which, in turn, culd cause yu t receive a lwer return n the CDs than yu wuld have received if the weight f each Exchange-Traded Cnstituent were limited t its weighting cnstraint. THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES MONTHLY REBALANCING AND WEIGHTING CONSTRAINTS THAT ARE APPLIED TO THE BASKET CONSTITUENTS AND DAILY ADJUSTMENTS TO THE EXPOSURE TO THE NOTIONAL PORTFOLIO CONSISTING OF THE BASKET CONSTITUENTS The Basket Cnstituents are subject t mnthly rebalancing and weighting cnstraints by asset type and n subsets f assets based n histrical vlatility and daily adjustments t the expsure t the ntinal prtfli cnsisting f the Basket Cnstituents. By cntrast, a ntinal prtfli that des nt rebalance mnthly and is nt subject t any weighting cnstraints 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 cnstraints r daily expsure adjustments. CHANGES IN THE VALUES OF THE BASKET CONSTITUENTS MAY OFFSET EACH OTHER 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. In additin, high crrelatin during perids f negative returns amng Basket Cnstituents culd have a material adverse effect n the perfrmance f the Index. THE INDEX MAY BE PARTIALLY UNINVESTED The aggregate weight f the Cash Cnstituent at any given time represents the prtin f the ntinal 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, ETN r Index belw. In additin, when the expsure f the Index t the ntinal prtfli f Basket Cnstituents is less than 100% n any day, a prtin f the ntinal 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 ntinal prtfli wuld 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 Exchange-Traded Cnstituent and that Exchange-Traded 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 TS-9 Structured Investments

11 infrmatin derived frm a related index, after deducting hypthetical fund fees, rather than the perfrmance infrmatin fr that Exchange-Traded 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. THE BASKET CONSTITUENTS COMPOSING THE INDEX MAY BE REPLACED BY A SUBSTITUTE ETF, ETN OR INDEX Fllwing the ccurrence f an extrardinary event with respect t a Basket Cnstituent, the affected Basket Cnstituent may be replaced by a substitute ETF, ETN r index, prvided that nly the Nte Cnstituent can be replaced by a substitute ETN and that the Cash Cnstituent can be replaced nly with a substitute index. These extrardinary events include, amng ther things, events that result in material changes t, r the terminatin f, a Basket Cnstituent r, in the case an Exchange-Traded Cnstituent, events that culd result in material changes t its value r liquidity. In particular, a redemptin f the Nte Cnstituent by its issuer wuld cnstitute an extrardinary event, and the issuer f the Nte Cnstituent has the right t redeem the Nte Cnstituent at any time. See The J.P. Mrgan Efficiente Plus Index Series Extrardinary Events fr additinal infrmatin abut extrardinary events. If the index calculatin agent determines in its discretin that n suitable substitute is available fr an affected Basket Cnstituent (ther than the Cash Cnstituent), then the index calculatin agent will replace that Basket Cnstituent with the Cash Cnstituent. 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 PwerShares DB Cmmdity Index Tracking Fund, 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 Exchange-Traded Cnstituents in the accmpanying underlying supplement. THE CDS MAY BE SUBJECT TO THE CREDIT RISK OF TWO ISSUERS As discussed abve, any payment n the CDs in excess f FDIC insurance limits is subject t ur credit risk. In additin, the Nte Cnstituent is a series f debt securities f UBS AG and is subject t the credit risk f UBS AG. Accrdingly, any return n the CDs that reflects the perfrmance f the Index may be subject t the credit risk f bth us and UBS AG, the issuer f the Nte Cnstituent. 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 DECEMBER 31, 2014, 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. THERE ARE RISKS ASSOCIATED WITH THE EXCHANGE-TRADED CONSTITUENTS AND THERE ARE DIFFERENCES BETWEEN THE EXCHANGE-TRADED CONSTITUENTS AND THEIR REFERENCE INDICES. THE CDs ARE SUBJECT TO CURRENCY EXCHANGE RISK BECAUSE THE PRICES OF THE NON-U.S. SECURITIES COMPOSING SEVERAL OF THE ETF CONSTITUENTS ARE CONVERTED INTO U.S. DOLLARS FOR PURPOSES OF CALCULATING THE VALUE OF THE RELEVANT ETF CONSTITUENT. AN INVESTMENT IN THE CDs IS SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS, INCLUDING EMERGING MARKETS. TS-10 Structured Investments

12 THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES AND LOANS, INCLUDING INTEREST RATE-RELATED RISKS AND CREDIT RISK. THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH HIGH-YIELD FIXED INCOME SECURITIES, INCLUDING CREDIT RISK. THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH PREFERRED STOCK. THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH MORTGAGE-BACKED SECURITIES. 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 POWERSHARES DB COMMODITY INDEX TRACKING FUND 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. AN INVESTMENT IN THE CDs IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS. THE MARKET PRICE OF GOLD WILL AFFECT THE VALUE OF THE CDs. Please refer t the Risk Factrs sectin f the accmpanying underlying supplement n. CD-19-I fr mre details regarding the abve-listed risks. Hypthetical Back-Tested Data and Histrical Infrmatin The fllwing graph sets frth the hypthetical back-tested perfrmance f the Index based n the hypthetical back-tested weekly clsing levels f the Index frm January 8, 2010 thrugh December 26, 2014 and the histrical perfrmance f the Index based n the weekly clsing levels f the Index frm January 2, 2015 thrugh March 27, The Index was established n December 31, The clsing level f the Index n March 27, 2015 was We btained the clsing levels belw frm Blmberg, withut independent verificatin. The data fr the hypthetical back-tested perfrmance f the Index set frth in the fllwing graph are purely theretical and d nt represent the actual histrical perfrmance f the Index. Fr time perids prir t the launch f an Exchange-Traded Cnstituent and that Exchange-Traded Cnstituent s initial satisfactin f a minimum liquidity standard, the hypthetical back-tested perfrmance set frth in the fllwing graph was calculated using alternative perfrmance infrmatin derived frm a related index, after deducting hypthetical fund fees, rather than the perfrmance infrmatin fr that Exchange-Traded Cnstituent. See Selected Risk Cnsideratins Hypthetical Back-Tested Data Relating t the Index D Nt Represent Actual Histrical Data and Are Subject t Inherent Limitatins. The hypthetical back-tested and histrical clsing levels f the Index shuld nt be taken as an indicatin f future perfrmance, and n assurance can be given as t the clsing level f the Index n the Pricing Date r the Observatin Date. We cannt give yu assurance that the perfrmance f the Index will result in a payment at maturity in excess f yur principal amunt. TS-11 Structured Investments

13 Index Level 170 Hypthetical Back-Tested and Histrical Perfrmance f the JPMrgan Efficiente PLUS Daily Series 5 Index The hypthetical back-tested clsing levels f the Index have inherent limitatins and have nt been verified by an independent third party. These hypthetical back-tested clsing levels are determined by means f a retractive applicatin f a back-tested mdel designed with the benefit f hindsight. Hypthetical back-tested results are neither an indicatr nr a guarantee f future returns. N representatin is made that an investment in the CDs will r is likely t achieve returns similar t thse shwn. Alternative mdeling techniques r assumptins wuld prduce different hypthetical back-tested clsing levels f the Index that might prve t be mre apprpriate and that might differ significantly frm the hypthetical back-tested clsing levels f the Index set frth abve. Taxed as Cntingent Payment Debt Instruments Yu shuld review carefully the sectin entitled Material U.S. Federal Incme Tax Cnsequences, and in particular the subsectin theref entitled CDs with a Term f Mre than One Year, in the accmpanying disclsure statement. Unlike a traditinal certificate f depsit that prvides fr peridic payments f interest at a single fixed rate, with respect t which a cash-methd investr generally recgnizes incme nly upn receipt f stated interest, the CDs will be treated fr U.S. federal incme tax purpses as cntingent payment debt instruments. As discussed in that subsectin, yu generally will be required t accrue riginal issue discunt n yur CDs in each taxable year at the cmparable yield, as determined by us, althugh we will nt make any payment with respect t the CDs until maturity. Upn sale r exchange (including at maturity), yu will recgnize taxable incme r lss equal t the difference between the amunt received frm the sale r exchange and yur adjusted basis in the CD, which generally will equal the cst theref, increased by the amunt f riginal issue discunt yu have accrued in respect f the CD. Yu generally must treat any incme as interest incme and any lss as rdinary lss t the extent f previus interest inclusins, and the balance as capital lss. The deductibility f capital lsses is subject t limitatins. Purchasers wh are nt initial purchasers f CDs at their issue price shuld cnsult their tax advisers with respect t the tax cnsequences f an investment in CDs, including the treatment f the difference, if any, between the basis in their CDs and the CDs adjusted issue price. Legislatin cmmnly referred t as FATCA, and regulatins prmulgated thereunder, generally impse a 30% withhlding tax n payments t certain nn-u.s. entities (including financial intermediaries) with respect t debt instruments such as the CDs, unless varius U.S. infrmatin reprting and due diligence requirements have been satisfied. An intergvernmental agreement between the United States and the nn-u.s. entity s jurisdictin may mdify these requirements. This regime applies t the payment n yur CDs at maturity (and may als apply t sme r all f the prceeds f any sale r ther dispsitin f a CD prir t maturity). Yu shuld cnsult yur tax adviser regarding the ptential applicatin f FATCA t the CDs. Cmparable Yield and Prjected Payment Schedule Surce: Blmberg We will determine the cmparable yield fr the CDs and will prvide that cmparable yield, and the related prjected payment schedule, in the disclsure supplement fr the CDs. The cmparable yield fr the CDs will be an annual rate f at least 1.69% cmpunded semiannually, and will be determined based upn a variety f factrs, including actual market cnditins and ur brrwing csts fr TS-12 Structured Investments

14 debt instruments f cmparable maturities at the time f issuance. Neither the cmparable yield nr the prjected payment schedule cnstitutes a representatin by us regarding the actual Additinal Amunt, if any, that we will pay n the CDs. JPMS s Estimated Value f the CDs JPMS s estimated value f the CDs set frth n the cver f this term sheet is equal t the sum f the values f the fllwing hypthetical cmpnents: (1) a fixed-incme cmpnent with the same maturity as the CDs, valued using an internal funding rate, and (2) the derivative r derivatives underlying the ecnmic terms f the CDs. JPMS s estimated value des nt represent a minimum price at which JPMS wuld be willing t buy yur CDs in any secndary market (if any exists) at any time. The internal funding rate used in the determinatin f JPMS s estimated value is based n, amng ther things, ur view f the funding value f the CDs as well as the issuance, peratinal and nging liability management csts f the CDs. Fr additinal infrmatin, see Selected Risk Cnsideratins JPMS s Estimated Value Is Derived by Reference t an Internal Funding Rate. The value f the derivative r derivatives underlying the ecnmic terms f the CDs is derived frm JPMS s internal pricing mdels. These mdels are dependent n inputs such as the traded market prices f cmparable derivative instruments and n varius ther inputs, sme f which are market-bservable, and which can include vlatility, dividend rates, interest rates and ther factrs, as well as assumptins abut future market events and/r envirnments. Accrdingly, JPMS s estimated value f the CDs is determined when the terms f the CDs are set based n market cnditins and ther relevant factrs and assumptins existing at that time. JPMS s estimated value f the CDs des nt represent future values f the CDs and may differ frm thers estimates. Different pricing mdels and assumptins culd prvide valuatins fr the CDs that are greater than r less than JPMS s estimated value. In additin, market cnditins and ther relevant factrs in the future may change, and any assumptins may prve t be incrrect. On future dates, the value f the CDs culd change significantly based n, amng ther things, changes in market cnditins, ur creditwrthiness, interest rate mvements and ther relevant factrs, which may impact the price, if any, at which JPMS wuld be willing t buy CDs frm yu in secndary market transactins. JPMS s estimated value f the CDs will be lwer than the riginal issue price f the CDs because csts assciated with selling, structuring and hedging the CDs are included in the riginal issue price f the CDs. These csts include the selling cmmissins paid t JPMS and ther affiliated r unaffiliated dealers, the prjected prfits, if any, that ur affiliates expect t realize fr assuming risks inherent in hedging ur bligatins under the CDs and the estimated cst f hedging ur bligatins under the CDs. Because hedging ur bligatins entails risk and may be influenced by market frces beynd ur cntrl, this hedging may result in a prfit that is mre r less than expected, r it may result in a lss. A prtin f the prfits, if any, realized in hedging ur bligatins under the CDs may be allwed t ther affiliated r unaffiliated dealers, and we r ne r mre f ur affiliates will retain any remaining hedging prfits, if any. See Selected Risk Cnsideratins JPMS s Estimated Value f the CDs Will Be Lwer Than the Original Issue Price (Price t Public) f the CDs in this term sheet. Secndary Market Prices f the CDs Fr infrmatin abut factrs that will impact any secndary market prices f the CDs, see Risk Factrs Risks Relating t the Estimated Value and Secndary Market Prices f the CDs Secndary market prices f the CDs will be impacted by many ecnmic and market factrs in the accmpanying disclsure statement. In additin, we generally expect that sme f the csts included in the riginal issue price f the CDs will be partially paid back t yu in cnnectin with any repurchases f yur CDs by JPMS in an amunt that will decline t zer ver an initial predetermined perid. These csts can include prjected hedging prfits, if any, and, in sme circumstances, estimated hedging csts and ur internal secndary market funding rates fr structured issuances. This initial predetermined time perid is intended t be the shrter f six mnths and ne-half f the stated term f the CDs. The length f any such initial perid reflects the structure f the CDs, whether ur affiliates expect t earn a prfit in cnnectin with ur hedging activities, the estimated csts f hedging the CDs and when these csts are incurred, as determined by JPMS. See Selected Risk Cnsideratins The Value f the CDs as Published by JPMS (and Which May Be Reflected n Custmer Accunt Statements) May Be Higher Than JPMS s Then-Current Estimated Value f the CDs fr a Limited Time Perid. Supplemental Use f Prceeds The CDs are ffered t meet investr demand fr prducts that reflect the risk-return prfile and market expsure prvided by the CDs. See Hypthetical Payut Prfile and Hw the CDs Wrk in this term sheet fr an illustratin f the risk-return prfile f the CDs and The J.P. Mrgan Efficiente Plus DS 5 Index (Net ER) in this term sheet fr a descriptin f the market expsure prvided by the CDs. The riginal issue price f the CDs is equal t JPMS s estimated value f the CDs plus the selling cmmissins paid t JPMS and ther affiliated r unaffiliated dealers, plus (minus) the prjected prfits (lsses) that ur affiliates expect t realize fr assuming risks inherent in hedging ur bligatins under the CDs, plus the estimated cst f hedging ur bligatins under the CDs. TS-13 Structured Investments