Certificates of Deposit Linked to the J.P. Morgan Dorsey Wright Focus 5 Balanced Index 8.5% due April 30, 2024

Transcription

1 March 31, 2016 JPMrgan Chase Bank, Natinal Assciatin Structured Investments Certificates f Depsit Linked t the J.P. Mrgan Drsey Wright Fcus 5 due April 30, 2024 The certificates f depsit ( CDs ) are designed fr investrs wh seek expsure t any appreciatin f the J.P. Mrgan Drsey Wright Fcus 5 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 Index, any f the Target Cnstituents r any f the securities cmpsing any f the Target Cnstituents. Minimum denminatins f $1,000 and integral multiples theref The CDs are expected t price n r abut April 26, 2016 and are expected t settle n r abut April 29, CUSIP: 48125YN34 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-18-II 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 $30.00 per $1,000 CD and in n event will these selling cmmissins exceed $45.00 per $1,000 CD. If the CDs priced tday, the estimated value f the CDs as determined by JPMS wuld be apprximately $ per $1,000 CD. JPMS s estimated value f the CDs, when the terms f the CDs are set, will be prvided by JPMS in the disclsure supplement and will nt be less than $ per $1,000 CD. See JPMS s Estimated Value f the CDs in this term sheet fr additinal infrmatin. Our affiliate, JPMS, certain f its affiliates and ther brker-dealers may use this term sheet and the accmpanying disclsure statement in cnnectin with ffers and sales f the CDs after the date heref. Term sheet t the disclsure statement dated January 29, 2015 and underlying supplement n. CD-18-II dated September 28, 2015

2 Key Terms Index: J.P. Mrgan Drsey Wright Fcus 5 (Blmberg ticker: JPUSBLFV <Index>). The level f the Index reflects the deductin f a fee f 0.50% per annum that accrues daily. Participatin Rate: Between 100% and 115% (t be prvided in the disclsure supplement) Pricing Date: On r abut April 26, 2016 Original Issue Date (Settlement Date): On r abut April 29, 2016 Observatin Date*: April 25, 2024 Maturity Date*: April 30, 2024 *Subject t pstpnement in the event f a market disruptin event and as described under Supplemental Terms f the CDs Pstpnement f a Determinatin Date CDs linked slely t a Balanced Index in the accmpanying underlying supplement and General Terms f the CDs Pstpnement f a Payment Date in the accmpanying disclsure statement. Index Return: (Final Value Initial Value) Initial Value Initial Value: The clsing level f the Index n the Pricing Date Final Value: The clsing level f the Index n the Observatin Date 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. 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. 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 cease making further Cntingent Interest Payments and 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 level f the Index n, the Observatin Date. See Selected Risk Cnsideratins We May Cease Making Further Cntingent Interest Payments and Adjust Yur Payment at Maturity If a Cmmdity Hedging Disruptin Event Occurs. TS-1 Structured Investments

3 The J.P. Mrgan Drsey Wright Fcus 5 The J.P. Mrgan Drsey Wright Fcus 5 (the Index ) was develped and is maintained and calculated by J.P. Mrgan Securities LLC ( JPMS ). The Index has been calculated n a live basis (i.e., using real-time data) since Octber 31, The Index is designed t track the perfrmance f a hypthetical investment in a ntinal dynamic prtfli that cnsists f the First Trust Drsey Wright Fcus 5 ETF (the Equity Cnstituent ), with dividends reinvested, the J.P. Mrgan Dynamic Treasury Futures Index (USD) (the Bnd Cnstituent and tgether with the Equity Cnstituent, each, a Target Cnstituent and cllectively, the Target Cnstituents ), and a cash cnstituent (the Cash Cnstituent and tgether with the Target Cnstituents, the Cnstituents ) bearing interest at a blended rate, while seeking t maintain a target vlatility (the Target Vlatility ) f 8.5%, subject t minimum expsure f 0% and a maximum expsure f 100% fr each Target Cnstituent and fr the final reference prtfli used t calculated the Index. The Cash Cnstituent f the Index earns interest daily at a blended rate, which is a cmpsite rate f interest determined based n the 3-mnth and 2-mnth LIBOR rates that is intended t track the vernight rate f return f a ntinal psitin in a 3-mnth time depsit in the U.S. dllar. Hwever, because the brrwing cst deducted frm the level f the Index charges interest at the same blended rate as the Cash Cnstituent, any prtin f the ntinal prtfli allcated t the Cash Cnstituent at any time represents an uninvested prtin, which earns n return. The J.P. Mrgan Drsey Wright Fcus 5 is subject t a daily deductin f an index fee f 0.50% per annum and a daily deductin, frm the daily returns f its Equity Cnstituent and Cash Cnstituent, f a brrwing cst calculated based n the cmpsite LIBOR rates. The First Trust Drsey Wright Fcus 5 ETF seeks investment results that crrespnd generally t the price and yield (befre fees and expenses) f the Drsey Wright Fcus Five Index, which is designed t prvide targeted expsure t the five sectr-based exchange traded funds ( ETFs ) spnsred by First Trust Advisrs L.P. ( First Trust ) that are expected t ffer the greatest ptential t utperfrm the ther First Trust sectr-based ETFs based n the prprietary Relative Strength methdlgy f Drsey, Wright & Assciates. The J.P. Mrgan Dynamic Treasury Futures Index (USD) seeks t track the returns f a lng psitin in a weekly rebalanced synthetic prtfli f fur J.P. Mrgan Treasury futures tracker indices, each f which tracks certain futures cntracts n the U.S. Treasury securities f a specified maturity (with respect t the relevant Treasury futures tracker index, the Relevant Treasury Securities ), with allcatin f index weights t each f the Treasury futures tracker indices determined based n (i) the rati f the aggregate principal amunt f the utstanding Relevant Treasury Securities and the aggregate principal amunt f the utstanding Relevant Treasury Securities f all Treasury futures tracker indices and (ii) its realized vlatility cmpared with the realized vlatility f the J.P. Mrgan Glbal Gvernment Bnd Index US Bnds Only in USD. Additinal infrmatin relating t the First Trust Drsey Wright Fcus 5 ETF, the J.P. Mrgan Dynamic Treasury Futures Index (USD), the J.P. Mrgan Futures Tracker Indices and the J.P. Mrgan Glbal Gvernment Bnd Index US Bnds Only can be fund under Backgrund n the First Trust Drsey Wright Fcus 5 ETF, Backgrund n the J.P. Mrgan Dynamic Treasury Futures Index (USD), Backgrund n the J.P. Mrgan Futures Tracker Indices and Backgrund n the J.P. Mrgan Glbal Gvernment Bnd Index US Bnds Only in USD in the accmpanying underlying supplement. LIBOR, which stands fr Lndn Interbank Offered Rate, is the average interest rate estimated by leading banks in Lndn that they wuld be charged if brrwing frm ther banks. The methdlgy used t determine the value f LIBOR is the subject f recent natinal, internatinal and ther regulatry guidance, prpsals fr refrm and investigatins. On each Index Calculatin Day (as defined in the accmpanying underlying supplement), the Index first seeks t select a prtfli (the Reference Prtfli ) cnsisting slely f the Target Cnstituents (the Target Prtfli ) fr each f tw measurement perids (a lngterm measurement perid and a shrt-term measurement perid) such that the Target Prtfli will (i) be fully allcated between the tw Target Cnstituents, subject t a minimum expsure f 0% and a maximum expsure f 100% (the Maximum Expsure ) fr each Target Cnstituent, and (ii) have an annualized realized vlatility (the Histrical Vlatility ), determined based n the realized vlatility f each f the Target Cnstituents and the crrelatin between the vlatilities f the Target Cnstituents fr the relevant measurement perid, equal t the Target Vlatility. Fr each measurement perid, up t tw Target Prtflis may meet the cnditins described abve. If nly ne Target Prtfli that meets the cnditins described abve can be identified fr a measurement perid, the Index will select that Target Prtfli fr that measurement perid. If tw Target Prtflis that meet the cnditins described abve can be identified fr a measurement perid, the Index will select the Target Prtfli that gives greater expsure t the Target Cnstituent with a higher realized vlatility. Hwever, if every Target Prtfli fr a measurement perid that is fully allcated between the tw Target Cnstituents and satisfies the minimum expsure and Maximum Expsure cnstraints has a Histrical Vlatility less than the Target Vlatility, the Target Prtfli fr that measurement perid will be deemed t be allcated entirely t the Target Cnstituent with the higher realized vlatility, prvided that if the realized vlatility f the Equity Cnstituent and the Bnd Cnstituent is the same, the Target Prtfli will be deemed t be allcated entirely t the Equity Cnstituent. On the ther hand, if every Target Prtfli fr a measurement perid that is fully allcated between the tw Target Cnstituents and satisfies the minimum expsure and Maximum Expsure cnstraints has a Histrical Vlatility greater than the Target Vlatility (but there exists a Target Prtfli with allcatins utside f the minimum expsure and Maximum Expsure cnstraints that has a Histrical Vlatility equal t the Target Vlatility), the Target Prtfli fr that measurement perid will be deemed t be allcated entirely t the Target Cnstituent with the lwer realized vlatility and then subject t scaling dwn as described belw, prvided that if the realized vlatility f the Equity Cnstituent and the Bnd Cnstituent is the same, the Target Prtfli will be deemed t be allcated entirely t the Equity Cnstituent. If n Target Prtfli described in the immediately preceding paragraph can be identified fr a measurement perid (because the Histrical Vlatility f every Target Prtfli fr that measurement perid that is fully allcated between the tw Target Cnstituents, regardless f the minimum expsure r Maximum Expsure cnstraints, is greater than the Target Vlatility), the Index will then select the Target Prtfli fr that measurement perid that (i) is fully allcated between the tw Target Cnstituents, subject t the minimum expsure f 0% and the Maximum Expsure fr each Target Cnstituent and (ii) wuld have had the lwest Histrical Vlatility. TS-2 Structured Investments

4 After a Target Prtfli has been determined fr a measurement perid pursuant t the steps set frth in the tw immediately preceding paragraphs, the Reference Prtfli fr that measurement perid will then be determined by scaling dwn, if necessary, the expsure t that Target Prtfli and assigning the remaining allcatin t the Cash Cnstituent s that the resulting Reference Prtfli wuld have a Histrical Vlatility equal t the Target Vlatility. This methdlgy is implemented based n the vlatilities and crrelatin f the Target Cnstituents fr tw measurement perids, a lng-term and a shrt-term measurement perid. Frm the tw resulting Reference Prtflis, the prtfli with the lwer allcatin t the Equity Cnstituent will be selected as the final Reference Prtfli and used t calculate the level f the Index fr that Index Calculatin Day. The Index is an excess return index because it is intended t reflect the return n a ntinal investment in a ntinal prtfli cnsisting f the Cnstituents where the investment is made thrugh the use f brrwed funds. As a result, the return n each Cnstituent (ther than the Bnd Cnstituent) will reflect the deductin f a synthetic brrwing cst. On each Index Calculatin Day, the return f the Index is calculated based n three cmpnents: (1) the weighted returns f each f the Cnstituents included in the Reference Prtfli selected fr that Index Calculatin Day, with dividends reinvested in the case f the Equity Cnstituent; (2) the daily deductin frm the Equity Cnstituent and the Cash Cnstituent f a synthetic brrwing cst assciated with prviding expsure t the Reference Prtfli, which is calculated based n the blended rate used t calculate the Cash Cnstituent; and (3) the daily deductin f an index fee f 0.50% per annum. See The J.P. Mrgan Drsey Wright Fcus 5 Balanced Index Series in the accmpanying underlying supplement n. CD-18- II fr mre infrmatin abut the Index 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, % TS-4 Structured Investments

6 Payment at Maturity The fllwing graph demnstrates the hypthetical ttal returns and hypthetical payments at maturity n the CDs at maturity fr a subset f 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. $1,600 $1,500 $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 between % and %, 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 CD. Par Scenari: If the Final Value is equal t the Initial Value r is less than the Initial Value, the Additinal Amunt will be zer and investrs will receive at maturity the principal amunt f their CDs. The hypthetical returns and hypthetical payments n the CDs shwn abve apply nly if yu hld the CDs fr their entire term. These hyptheticals d nt reflect the fees r expenses that wuld be assciated with any sale in the secndary market. If these fees and expenses were included, the hypthetical returns and hypthetical payments shwn abve wuld likely be lwer. TS-5 Structured Investments

7 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 0.50% PER ANNUM AND A BORROWING COSTS CALCULATED BASED ON THE RELEVANT LIBOR RATES This index fee and brrwing cst will be deducted daily. As a result f the deductin f this index fee and brrwing cst, the level f the Index will trail the value f a hypthetical identically cnstituted synthetic prtfli frm which n such fee r cst is deducted. CREDIT RISK OF JPMORGAN CHASE BANK A depsitr purchasing a principal amunt f CDs in excess f FDIC insurance limits, when aggregated with all ther depsits held by the depsitr in the same right and capacity at JPMrgan Chase Bank, will be subject t the credit risk f JPMrgan Chase Bank. Investrs are dependent n JPMrgan Chase Bank s ability t pay any amunts due n the CDs in excess f FDIC insurance limits. Any actual r ptential change in the creditwrthiness, credit ratings r credit spreads related t us r ur affiliates, as determined by the market fr taking that credit risk, is likely t adversely affect the value f the CDs. POTENTIAL CONFLICTS We and ur affiliates play a variety f rles in cnnectin with the CDs. In perfrming these duties, ur ecnmic interests are ptentially adverse t yur interests as an investr in the CDs. It is pssible that hedging r trading activities f urs r ur affiliates in cnnectin with the CDs culd result in substantial returns fr us r ur affiliates while the value f the CDs declines. Please refer t Risk Factrs Risks Relating t Cnflicts f Interest in the accmpanying disclsure statement. THE BOND CONSTITUENT OF THE INDEX AND ITS CONSTITUENT INDICES AND REFERENCE INDEX ARE ALL J.P. MORGAN PROPRIETARY INDICES The Bnd Cnstituent f the Index, the J.P. Mrgan Dynamic Treasury Futures Index (USD), is a J.P. Mrgan prprietary index. The levels f the Bnd Cnstituent are calculated by reference t the levels and vlatilities f its fur cnstituent Treasury futures tracker indices and a reference index, all f which are J.P. Mrgan prprietary indices. J.P. Mrgan Securities plc ( JPMS plc ) is the spnsr f the Bnd Cnstituent and its cnstituent Treasury futures tracker indices, and the Glbal Index Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany, is the spnsr f the reference index f the Bnd Cnstituent, the J.P. Mrgan Glbal Gvernment Bnd Index US Bnds Only in USD. The reference index f the Bnd Cnstituent makes use f certain weights, prices, values, levels r dates that are determined by PricingDirect Inc. ( PricingDirect ). PricingDirect is a whllywned subsidiary f JPMrgan Chase & C. Under sme circumstances, the pricing infrmatin prvided by PricingDirect n the bnds underlying the reference index may be derived slely frm price qutatins r internal valuatins made by ne r mre f ur affiliates. Accrdingly, cnflicts f interest exist between JPMS plc, GIRG and PricingDirect, n the ne hand, and yu, n the ther hand. Nne f JPMS plc, 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 TARGET CONSTITUENTS OR THE SECURITIES OR FUTURES CONTRACTS UNDERLYING THE TARGET CONSTITUENTS OR HAVE ANY RIGHTS WITH RESPECT TO THE TARGET CONSTITUENTS OR THOSE SECURITIES OR FUTURES CONTRACTS. JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE CDs, AND MAY DO SO IN THE FUTURE Any research, pinins r recmmendatins culd affect the market value f the CDs. Investrs shuld undertake their wn independent investigatin f the merits f investing in the CDs and the Target Cnstituents and the securities r futures cntracts cmpsing the Target Cnstituents. TS-6 Structured Investments

8 LACK OF LIQUIDITY The CDs will nt be listed n an rganized securities exchange. JPMS and its affiliates may ffer t purchase the CDs upn terms and cnditins acceptable t them, but are nt required t d s. Yu may nt be able t sell yur CDs. The CDs are nt designed t be shrt-term trading instruments. Accrdingly, yu shuld be able and willing t hld yur CDs t maturity. Fr mre infrmatin, see General Terms f the CDs Additins and Withdrawals and Discunts and Secndary Market in the accmpanying disclsure statement. LIMITATIONS ON FDIC INSURANCE As a general matter, hlders wh purchase CDs in a principal amunt greater than the applicable limits set by federal law and regulatin will nt be insured by the FDIC fr the principal amunt exceeding such limit. In additin, under FDIC interpretatins, the return n the CDs, which is reflected in the frm f the Additinal Amunt, is nt insured by the FDIC until the Observatin Date. Any amunts due n the CDs in excess f the applicable FDIC insurance limits will be subject t the credit risk f JPMrgan Chase Bank. Fr mre infrmatin, see Depsit Insurance in the accmpanying disclsure statement. THE FINAL TERMS AND VALUATION OF THE CDs WILL BE PROVIDED IN THE DISCLOSURE SUPPLEMENT Yu shuld cnsider yur ptential investment in the CDs based n the minimums fr JPMS s estimated value and the Participatin Rate. JPMS S ESTIMATED VALUE OF THE CDs WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE CDs JPMS s estimated value is nly an estimate using several factrs. The riginal issue price f the CDs will exceed JPMS s estimated value because csts assciated with selling, structuring and hedging the CDs are included in the riginal issue price f the CDs. These csts include the selling cmmissins, the prjected prfits, if any, that ur affiliates expect t realize fr assuming 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. TS-7 Structured Investments

9 SECONDARY MARKET PRICES OF THE CDs WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS The secndary market price f the CDs during their term will be impacted by a number f ecnmic and market factrs, which may either ffset r magnify each ther, aside frm the selling cmmissins, prjected hedging prfits, if any, estimated hedging csts and the level f the Index. Additinally, independent pricing vendrs and/r third party brker-dealers may publish a price fr the CDs, which may als be reflected n custmer accunt statements. This price may be different (higher r lwer) than the price f the CDs, if any, at which JPMS may be willing t purchase yur CDs in the secndary market. See Risk Factrs Risks Relating t the Estimated Value f Secndary Market Prices f the CDs Secndary market prices f the CDs will be impacted by many ecnmic and market factrs in the accmpanying disclsure statement. Risks Relating t the Index OUR AFFILIATE, JPMS, IS THE INDEX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL JPMS, 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, in its sle discretin, and the rules als permit the use f discretin by JPMS in specific instances, such as the right t substitute a Target 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, JPMrgan Chase Bank, as the parent cmpany f JPMS, ultimately cntrls JPMS. In additin, the plicies and judgments fr which JPMS is respnsible culd have an impact, psitive r negative, n the level f the Index and the value f yur CDs. JPMS is under n bligatin t cnsider yur interests as an investr in the CDs. Furthermre, the inclusin f the Target Cnstituents in the Index is nt an investment recmmendatin by us r JPMS f any f the Target Cnstituents, r any f the securities cmpsing any f the Target Cnstituents. THE INDEX MAY NOT ACHIEVE ITS TARGET VOLATILITY The Index emplys a mathematical algrithm intended t target a specified vlatility level n a daily basis by dynamically allcating its expsure between the Target Cnstituents (and, in certain circumstances, the Cash Cnstituent) in a manner designed t cause the Index t cntrl the level f risk taken with respect t its Target Cnstituents. N assurance can be given that the actual realized vlatility f the Index will be at its target level. The allcatin f expsures f the Index t its Target Cnstituents n any given day is based n the bserved histrical vlatilities and crrelatin f the Target Cnstituents ver specified measurement perids and is subject t a maximum expsure limit. That is, the weights f the Target Cnstituents are adjusted n a daily basis s that the histrical vlatility f the Index wuld less than r equal t its target vlatility. Because the Target Cnstituents are given weights in the Index based n their histrical vlatilities and crrelatin, and because the vlatility f a Target Cnstituent and its crrelatin with the vlatility f the ther Target Cnstituent at any time may change rapidly and differ significantly frm their histrical levels, there can be n assurance that the weights given t the Target Cnstituents in the Index will result in the Index realizing an actual vlatility equal t its target vlatility level. The actual realized vlatility f the Index culd be significantly greater r less than its target vlatility level. THE DAILY ADJUSTMENT OF THE EXPOSURE OF THE INDEX TO ITS TARGET CONSTITUENTS WILL VARY, AND THE INDEX MAY BE PARTIALLY UNINVESTED As discussed abve, in an effrt t achieve its target vlatility level n a daily basis, the Index adjusts its expsure t its Target Cnstituents daily based n the histrical vlatilities and crrelatin f the Target Cnstituents ver tw specified measurement perids, subject t a minimum expsure f 0% and maximum expsure limit f 100%. On each day, the Index will first attempt t select, fr each measurement perid, a Target Prtfli, cnsisting slely f the Target Cnstituents, which wuld be fully allcated between the tw Target Cnstituents, subject t a minimum expsure f 0% and a specified maximum expsure fr each Target Cnstituent, and have had an annualized realized vlatility equal t its target vlatility. Fr each measurement perid, up t tw Target Prtflis may meet the cnditins described abve. If n Target Prtfli fr a measurement perid that is fully allcated between the tw Target Cnstituents can have an annualized realized vlatility equal t its target vlatility, regardless f the minimum expsure r maximum expsure cnstraints, the Index will then attempt t select a Target Prtfli fr that measurement perid that is fully allcated between the tw Target Cnstituents, subject t the minimum expsure f 0% and maximum expsure f 100% fr each Target Cnstituent, and wuld have had the lwest realized vlatility. The Index will then determine the final reference prtfli fr that measurement perid that will be used t calculate the Index fr that day by scaling dwn, if necessary, its expsure t the Target Prtfli determined pursuant t the steps described abve and reallcating that amunt f expsure t the Cash Cnstituent. Once a final reference prtfli has been identified fr each f the lng-term and shrt-term measurement perids, the ne with the lwer allcatin assigned t the Equity Cnstituent is selected fr calculating the clsing level f the Index TS-8 Structured Investments

10 fr that day. The Index s expsure t each f its Target Cnstituents may vary between the minimum expsure f 0% and the maximum expsure f 100%. When the expsure f the Index t its Target Cnstituents is less than 100% n any day, a prtin f the Index will be uninvested in the Target Cnstituents and the Index will realize nly a prtin f any gains due t price appreciatin f the Target Cnstituents, with the remainder allcated t the Cash Cnstituent. Fr example, if the Index s daily cmbined expsure t the Target Cnstituents is set at 70% n any day, 30% f the synthetic prtfli will be uninvested in the Target Cnstituents and will be allcated t the Cash Cnstituent. As a result, the Index may underperfrm a similar index that des nt include a daily expsure adjustments feature. Mrever, any allcatin t the Cash Cnstituent at any given time represents the prtin f the Index that is uninvested at that time. The Index will reflect n return fr any uninvested prtin (i.e., any prtin represented by the Cash Cnstituent). BY REDUCING ITS EXPOSURE TO ITS EQUITY CONSTITUENT, THE INDEX MAY SIGNIFICANTLY UNDERPERFORM ITS EQUITY CONSTITUENT The Index is designed t allcate its expsure between its Equity Cnstituent and Bnd Cnstituent in an attempt t achieve an annualized realized vlatility level equal t its target vlatility level n each day. It is nt pssible t predict the level f expsure that the Index will have t either Target Cnstituent ver any given perid f time. See The expsure f the Index t its Bnd Cnstituent may be greater, perhaps significantly greater, than its expsure t its Equity Cnstituent belw. Cnsequently, if the Equity Cnstituent increases in value ver the applicable perid, the Index will likely underperfrm the Equity Cnstituent, pssibly significantly, ver the same perid if its Bnd Cnstituent declines r des nt increase in value t the same extent ver that perid. If the Equity Cnstituent and the Bnd Cnstituent are negatively crrelated and the Index has relatively high expsure t the Bnd Cnstituent and relatively lw expsure t the Equity Cnstituent, the Index may experience a significant negative perfrmance even as the Equity Cnstituent rises. Under these circumstances, yur payment n the CDs may be less than what yu wuld have received by investing the same principal amunt in an instrument linked directly t the Equity Cnstituent r in the securities underlying the Equity Cnstituent. THE EXPOSURE OF THE INDEX TO ITS BOND CONSTITUENT MAY BE GREATER, PERHAPS SIGNIFICANTLY GREATER, THAN ITS EXPOSURE TO ITS EQUITY CONSTITUENT The Index includes tw Target Cnstituents, an Equity Cnstituent and a Bnd Cnstituent. The Index may have significant expsure fr an extended perid f time t the Bnd Cnstituent, and that expsure may be greater, perhaps significantly greater, than its expsure t the Equity Cnstituent. The Index is mre likely t have greater expsure t the Bnd Cnstituent than t the Equity Cnstituent where the bserved histrical vlatility f the Equity Cnstituent is significantly greater than the Index s target vlatility level, the bserved histrical vlatility f the Bnd Cnstituent is near the target vlatility level and the Target Cnstituents have a psitive crrelatin. In that circumstance, if the Target Cnstituents have a high psitive crrelatin, the Index s expsure t the Bnd Cnstituent is likely t be significantly greater than its expsure t the Equity Cnstituent. Mrever, under certain circumstances where (i) the bserved histrical vlatility f the Target Prtfli is less than the target vlatility level and the bserved histrical vlatility f the Bnd Cnstituent is greater than the Equity Cnstituent r (ii) the bserved histrical vlatility f the Target Prtfli is greater than the target vlatility level and the bserved histrical vlatility f the Bnd Cnstituent is less than the Equity Cnstituent, the Index may have n expsure t the Equity Cnstituent. If the Index has greater expsure t its Bnd Cnstituent than t its Equity Cnstituent, then the Index s returns will be influenced by the returns f the Bnd Cnstituent t a greater extent than by the returns f the Equity Cnstituent. Hwever, the returns f the Bnd Cnstituent may be significantly lwer than the returns f the Equity Cnstituent, and pssibly even negative while the returns f the Equity Cnstituent are psitive. THE INDEX MAY HAVE SIGNIFICANT EXPOSURE TO ITS CASH CONSTITUENT Once a Target Prtfli is btained, the Index will scale dwn, if necessary, the weight f each Target Cnstituent within that Target Prtfli by the rati f its target vlatility level t the annualized realized vlatility level f that Target Prtfli, subject t the minimum expsure f 0%. The Index s expsures t its Equity Cnstituent, Bnd Cnstituent and Cash Cnstituent in aggregate equal the maximum expsure. Accrdingly, after scaling dwn, if necessary, the expsures t the applicable Target Cnstituent r Target Cnstituents t adjust the reference prtfli s vlatility level, the difference between the maximum expsure f the Index and the sum f the expsures t the applicable Target Cnstituents is the expsure allcated t the Cash Cnstituent. Therefre, the Index may have a significant expsure t its Cash Cnstituent n any given day, and as a result, the Index will realize nly a prtin f any gains due t appreciatin f the Target Cnstituents. Any allcatin t the Cash Cnstituent at any given time represents the prtin f the Index that is uninvested at that time and the Index will reflect n return fr any uninvested prtin. TS-9 Structured Investments

11 THE RETURNS OF THE TARGET CONSTITUENTS MAY OFFSET EACH OTHER OR MAY BECOME CORRELATED IN DECLINE At a time when the value f ne Target Cnstituent increases, the value f the ther Target Cnstituent may nt increase as much r may even decline. This may ffset the ptentially psitive effect f the perfrmance f the frmer Target Cnstituent n the perfrmance f the Index. During the term f the CDs, it is pssible that the value f the Index may decline even if the value f ne Target Cnstituent rises, because f the ffsetting effect f a decline in the ther Target Cnstituent. It is als pssible that the returns f the Target Cnstituents may be psitively crrelated with each ther. In this case, a decline in ne Target Cnstituent wuld be accmpanied by a decline in the ther Target Cnstituent, which may adversely affect the perfrmance f the Index. As a result, the Index may nt perfrm as well as an alternative index that tracks nly ne Target Cnstituent r the ther. THE INDEX IS SUBJECT TO THE NEGATIVE IMPACT OF AN INTEREST DEDUCTION The Index is an excess return index intended t reflect the return n a synthetic investment in a prtfli cnsisting f the Cnstituents where the investment in the Equity Cnstituent and the Cash Cnstituent is made thrugh the use f brrwed funds. Therefre, the level f the Index reflects the weighted returns f the Cnstituents less an interest deductin frm the Equity Cnstituent and the Cash Cnstituent calculated based n the relevant LIBOR rates. As a result, the perfrmance f the Index will be subject t the negative impact f the interest deductin. 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 r inceptin f the Target Cnstituents, the hypthetical back-tested perfrmance set frth under Hypthetical Back-Tested Data and Histrical Infrmatin in this term sheet was calculated using (i) with respect t the Equity Cnstituent, alternative perfrmance infrmatin derived frm a related index, after deducting hypthetical fund fees, rather than the perfrmance infrmatin fr the Equity Cnstituent, and (ii) with respect t the Bnd Cnstituent, hypthetical back-tested perfrmance infrmatin f the Bnd Cnstituent, calculated n materially the same basis as the perfrmance f the Bnd Cnstituent is nw calculated, neither f which represents the actual histrical perfrmance f the relevant Target Cnstituent during the relevant perid. 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 Back- Tested 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 INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES DAILY ADJUSTMENTS TO ITS SYNTHETIC EXPOSURE TO ITS TARGET CONSTITUENTS The Index is subject t daily adjustments t its synthetic expsure t its Target Cnstituents. By cntrast, a synthetic prtfli that is nt subject t 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 Target Cnstituents. Therefre, yur return n the CDs may be less than the return yu culd realize n an alternative investment in the Target Cnstituents that is nt subject t daily expsure adjustments. N assurance can be given that the investment strategy used t cnstruct the Index will utperfrm any alternative investment in the Target Cnstituents f the Index. THE EQUITY CONSTITUENT IS AN ETF. THE PERFORMANCE OF THE EQUITY CONSTITUENT S REFERENCE INDEX AS WELL AS THE EQUITY CONSTITUENT S NET ASSET VALUE PER SHARE (AN ETF SHARE ) MAY NOT CORRELATE WITH THE PERFORMANCE AND MARKET VALUE OF EACH ETF SHARE, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY The Equity Cnstituent may nt fully replicate its reference index and may hld securities different frm thse included in that reference index. In additin, the perfrmance f the ETF Shares will reflect additinal transactin csts and fees that are nt included in the calculatin f the relevant reference index. All f these factrs may lead t a lack f crrelatin between the perfrmance f the ETF Shares and the relevant reference index. In additin, crprate actins with respect t the equity securities underlying the ETF Shares (such as mergers and spin-ffs) may impact the variance between the perfrmances f the ETF Shares and the relevant reference index. Finally, because the ETF Shares are traded n public exchanges and are subject t market supply and investr demand, the market value f ne ETF Share may differ frm the net asset value per ETF Share. TS-10 Structured Investments

12 During perids f market vlatility, securities underlying the ETF Shares may be unavailable in the secndary market, market participants may be unable t calculate accurately the net asset value per ETF Share and the liquidity f the ETF Shares may be adversely affected. This kind f market vlatility may als disrupt the ability f market participants t create and redeem ETF Shares. Further, market vlatility may adversely affect, smetimes materially, the prices at which market participants are willing t buy and sell ETF Shares. As a result, under these circumstances, the market value f the ETF Shares may vary substantially frm the net asset value per ETF Share. Fr all f the freging reasns, the perfrmance f the ETF Shares may nt crrelate with the perfrmance f the relevant reference index as well as the net asset value per ETF Share, which culd materially and adversely affect the value f the CDs in the secndary market and/r reduce yur payment at maturity. A TARGET CONSTITUENT OF THE INDEX MAY BE REPLACED BY A SUBSTITUTE INDEX OR ETF IN CERTAIN EXTRAORDINARY EVENTS Fllwing the ccurrence f certain extrardinary events with respect t a Target Cnstituent as described in the accmpanying underlying supplement, a Target Cnstituent may be replaced by a substitute index r ETF, and an Index Cnstituent may be substituted by an ETF and an ETF Cnstituent may be substituted by an index. Yu shuld realize that changing a Target Cnstituent may affect the perfrmance f the Index, and therefre, the return n the CDs, as the substitute index r ETF may perfrm significantly better r wrse than the riginal Target Cnstituent. Mrever, the plicies f the spnsr f the substitute index r ETF cncerning the methdlgy and calculatin f the substitute index r ETF, including decisins regarding additins, deletins r substitutins f the assets underlying the substitute index r ETF culd affect the level r price f the substitute index r ETF and therefre the value f the CDs. The amunt payable n the CDs and their market value culd als be affected if the spnsr f a substitute index r the spnsr f the underlying reference index f a substitute ETF discntinues r suspends calculatin r disseminatin f the relevant index, in which case it may becme difficult t determine the market value f the CDs. The spnsr f the substitute index r ETF will have n bligatin t cnsider yur interests in calculating r revising such substitute index r ETF. THE EQUITY CONSTITUENT OF THE INDEX IS SUBJECT TO RISKS RELATING TO ITS SELECTION METHODOLOGY The First Trust Drsey Wright Fcus 5 ETF, the Equity Cnstituent f the Index, seeks investment results that crrespnd generally t the price and yield (befre fees and expenses) f the Drsey Wright Fcus Five Index (the Drsey Wright Index ). The Drsey Wright Index is rebalanced weekly t make any change t its five cnstituent First Trust sectr-based ETFs based n their respective recent perfrmance. If market cnditins d nt represent a cntinuatin f prir bserved trends, r prir bserved trends have changed befre the Drsey Wright Index can adjust via its weekly balancing, the level f the Drsey Wright Index may decline. Furthermre, the Drsey Wright Index emplys a mmentum investing strategy, which is nt as effective at identifying market directin in nn-trending, sideways markets. Cnsequently, the Drsey Wright Index may perfrm prly in nn-trending, chppy markets characterized by shrt-term vlatility. THE BOND CONSTITUENT OF THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS The Bnd Cnstituent f the Index is cmpsed f fur J.P. Mrgan Treasury futures tracker indices (each a Futures Tracker and cllectively, the Futures Trackers ), each f which tracks certain futures cntracts n U.S. Treasury securities. In additin t the price f the underlying asset referenced by it, the price f a futures cntract futures cntract is als affected by changing supply and demand relatinships, interest rates, gvernmental and regulatry plicies and the plicies f the exchanges n which the futures cntracts trade. The futures markets are als subject t temprary distrtins r ther disruptins due t the lack f liquidity in the markets, the participatin f speculatrs and gvernment regulatin and interventin. These factrs and thers can cause the prices f futures cntracts t be vlatile. OTHER KEY RISKS: THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE TARGET CONSTITUENTS. THE CDs ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING INTEREST RATE-RELATED RISKS AND CREDIT RISK. IF THE VALUE OF A TARGET CONSTITUENT CHANGES, THE LEVEL OF THE INDEX AND THE MARKET VALUE OF YOUR CDs MAY NOT CHANGE IN THE SAME MANNER. THE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THE INDEX, WHICH WAS ESTABLISHED ON OCTOBER 31, 2014, AND THE TARGET CONSTITUENTS AND ONE OF THE CONSTITUENT TREASURY FUTURES TRACKER INDICES OF THE BOND CONSTITUENT, WHICH WERE ESTABLISHED IN 2014, EACH HAS A LIMITED OPERATING HISTORY AND MAY PERFORM IN UNANTICIPATED WAYS. TS-11 Structured Investments

13 O O O O O O O THE CDs ARE EXPOSED TO THE PRICE PERFORMANCE AND CREDIT PERFORMANCE OF THE TARGET CONSTITUENTS. THE EQUITY CONSTITUENT INVESTS IN OTHER ETFS AND IS SUBJECT TO RISKS ASSOCIATED WITH OWNING AN ETF. EACH ETF IN WHICH THE EQUITY CONSTITUENT MAY INVEST IS SUBJECT TO RISKS ASSOCIATED WITH A PARTICULAR INDUSTRY. THE EQUITY CONSTITUENT IS SUBJECT TO NON-DIVERSIFICATION RISK. SOME OF THE ETFS IN WHICH THE EQUITY CONSTITUENT MAY INVEST MAY BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS, INCLUDING EMERGING MARKETS. THE CDs WILL BE SUBJECT TO CURRENCY EXCHANGE RISK. THE BOND CONSTITUENT AND THE FUTURES TRACKERS ARE PRICE RETURN INDICES THAT DO NOT REFLECT ROLL YIELDS OR TOTAL RETURNS. THE BOND CONSTITUENT MAY BE AFFECTED BY SIGNIFICANT VOLATILITY IN THE FUTURES TRACKERS, EACH OF WHICH IS SUBJECT TO THE VOLATILITY ASSOCIATED WITH FUTURES CONTRACTS. SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE VALUE OF YOUR CDs. THE BOND CONSTITUENT MAY NOT BE SUCCESSFUL IN APPROXIMATING THE VOLATILITY LEVEL OF THE U.S. TREASURY SECURITIES MARKET. THE INVESTMENT STRATEGY USED TO CONSTRUCT THE BOND CONSTITUENT INVOLVES REGULAR REBALANCING. MOVEMENTS IN THE FUTURES TRACKERS MAY BE HIGHLY CORRELATED. CHANGES IN THE LEVELS OF THE FUTURES TRACKERS MAY OFFSET EACH OTHER. THE VALUE OF THE CDs MAY BE INFLUENCED BY UNPREDICTABLE CHANGES IN THE UNITED STATES AND ITS ECONOMY. THE BOND CONSTITUENT MAY BE AFFECTED BY CHANGES IN THE PERCEIVED CREDITWORTHINESS OF THE UNITED STATES. 2-MONTH AND 3-MONTH USD LIBOR RATES ARE AFFECTED BY A NUMBER OF FACTORS AND MAY BE VOLATILE. THE METHOD PURSUANT TO WHICH THE LIBOR RATES ARE DETERMINED MAY CHANGE, AND ANY SUCH CHANGE ADVERSELY AFFECT THE VALUE OF THE CDs. Please refer t the Risk Factrs sectin f the accmpanying underlying supplement n. CD-18-II fr mre details regarding the abve-listed risks. TS-12 Structured Investments

14 Index Level 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 7, 2011 thrugh Octber 24, 2014, and the histrical perfrmance f the Index based n the weekly clsing levels f the Index frm Octber 31, 2014 thrugh March 24, The clsing level f the Index was nt published n March 25, 2016 in bservance f the Gd Friday Hliday. The Index was established n Octber 31, The clsing level f the Index n March 30, 2016 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 r inceptin f the Target Cnstituents, the hypthetical back-tested perfrmance set frth in the fllwing graph was calculated using (i) with respect t the Equity Cnstituent, alternative perfrmance infrmatin derived frm a related index, after deducting hypthetical fund fees, rather than the perfrmance infrmatin fr the Equity Cnstituent, and (ii) with respect t the Bnd Cnstituent, hypthetical back-tested perfrmance infrmatin f the Bnd Cnstituent, calculated n materially the same basis as the perfrmance f the Bnd Cnstituent is nw calculated, neither f which represents the actual histrical perfrmance f the relevant Target Cnstituent during the relevant perid. 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. 190 Hypthetical Back-Tested and Histrical Perfrmance f the JPMrgan Drsey Wright Fcus Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 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 Surce: Blmberg 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 TS-13 Structured Investments