Structured Investments. JPMorgan Chase Bank, National Association

Transcription

1 Octber 31, 2016 JPMrgan Chase Bank, Natinal Assciatin Structured Investments Variable Annual Incme Certificates f Depsit Cntingent n the Perfrmance f the J.P. Mrgan Efficiente Plus DS 5 Index (Net ER) due Nvember 30, 2023 The certificates f depsit ( CDs ) are designed fr investrs wh seek variable annual Cupn Payments that each depend n the annualized perfrmance f the J.P. Mrgan Efficiente Plus DS 5 Index (Net ER) frm the pricing date t the relevant Cupn Determinatin Date, subject t the Minimum Cupn Rate. Investrs shuld be willing t frg dividend payments and any return n this investment beynd the Cupn 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 Nvember 22, 2016 and are expected t settle n r abut Nvember 30, CUSIP: 48126XMN2 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-II and Selected Risk Cnsideratins beginning n page TS-8 f this term sheet. Fees and Discunts: J.P. Mrgan Securities LLC, which we refer t as JPMS, and its affiliates will pay all f the selling cmmissins received frm us t ther affiliated r unaffiliated dealers. If the CDs priced tday, the selling cmmissins wuld be apprximately $30.00 per $1,000 CD, and in n event will these selling cmmissins exceed $35.00 per $1,000 CD. If the CDs priced tday, the estimated value f the CDs as determined by JPMS wuld be apprximately $ per $1,000 CD. JPMS s estimated value f the CDs, when the terms f the CDs are set, will be prvided by JPMS in the disclsure supplement and will nt be less than $ per $1,000 CD. See JPMS s Estimated Value f the CDs in this term sheet fr additinal infrmatin. Our affiliate, JPMS, certain f its affiliates and ther brker-dealers may use this term sheet and the accmpanying disclsure statement in cnnectin with ffers and sales f the CDs after the date heref. Term sheet t the disclsure statement dated January 29, 2015 and underlying supplement n. CD-19-II dated May 3, 2016

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. Minimum Cupn Rate: Between 0.15% and 0.40% per annum (t be prvided in the disclsure supplement) Initial Value: The clsing level f the Index n the Pricing Date Final Value: Fr each Cupn Determinatin Date, the clsing level f the Index n that Cupn Determinatin Date Pricing Date: On r abut Nvember 22, 2016 Original Issue Date (Settlement Date): On r abut Nvember 30, 2016 Cupn Determinatin Dates*: Nvember 27, 2017, Nvember 27, 2018, Nvember 25, 2019, Nvember 24, 2020, Nvember 24, 2021, Nvember 25, 2022 and Nvember 27, 2023 Cupn Payment Dates*: Nvember 30, 2017, Nvember 30, 2018, Nvember 29, 2019, Nvember 30, 2020, Nvember 30, 2021, Nvember 30, 2022 and Nvember 30, Maturity Date*: Nvember 30, 2023 * Subject t pstpnement in the event f a market disruptin event and as described under Supplemental Terms f the CDs Pstpnement f a Determinatin Date CDs linked slely t the ETF Efficiente Index in the accmpanying underlying supplement and General Terms f the CDs Pstpnement f a 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 Subject t the impact f a cmmdity hedging disruptin event as described under General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event Adjustment f Remaining Interest Payments in the accmpanying disclsure statement. In the event f a cmmdity hedging disruptin event, we have the right, but nt the bligatin, t cause the CD calculatin agent t adjust the Cupn Payments payable n each Cupn Payment Date that fllws the ccurrence f that cmmdity hedging disruptin event. See Selected Risk Cnsideratins We May Adjust Further Cupn Payments If a Cmmdity Hedging Disruptin Event Occurs. Cupn Payment : Yu will receive n each Cupn Payment Date fr each $1,000 CD a Cupn Payment equal t: $1,000 Cupn Rate Cupn Rate: The Cupn Rate fr each Cupn Payment Date will be a percentage equal t (a) the Cumulative Index Return n the applicable Cupn Determinatin Date times (b) the Index Factr fr that Cupn Determinatin Date, prvided that the Cupn Rate will nt be less than the Minimum Cupn Rate. Index Factr: The Index Factr fr each Cupn Determinatin Date will be a fractin equal t 1/n, where n is equal t the number f Cupn Determinatin Dates that have ccurred t date, including the Cupn Determinatin Date in questin. See Selected Risk Cnsideratins Because the Index Factr fr Each Cupn Determinatin Date Decreases Over Time, An Earlier Increase in the Index Will Result in a Higher Cupn Payment Than a Later Increase in the Index. Payment at Maturity: Yu will receive a cash payment at maturity, fr each $1,000 CD, equal t (a) $1,000 plus (b) the Cupn Payment applicable t the Maturity Date. Cumulative Index Return: With respect t each Cupn Determinatin Date: (Final Value Initial Value) Initial Value Early Withdrawals: At par upn death r adjudicatin f incmpetence f a beneficial hlder f the CDs. Fr infrmatin abut early withdrawals and the limitatins n such early withdrawals, see General Terms f the CDs Additins and Withdrawals in the accmpanying disclsure statement. TS-1 Structured Investments

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 level f the Index is determined by tracking the return f the ntinal prtfli abve the return f the Cash Cnstituent, less a fee f 0.85% per annum that accrues daily. 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 hypthetical 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 TS-2 Structured Investments

4 10 10% Vanguard Shrt-Term Crprate Bnd ETF VCSH 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% VanEck Vectrs TM 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 * On September 19, 2016, the Vanguard FTSE Emerging Markets ETF cmpleted the transitin frm tracking the FTSE Emerging Markets All Cap China A Transitin Index t tracking the FTSE Emerging Markets All Cap China A Inclusin Index. Accrdingly, since that date, the Vanguard FTSE Emerging Markets ETF has tracked the FTSE Emerging Markets All Cap China A Inclusin Index. Fr mre infrmatin regarding this transitin, see Backgrund n the Vanguard FTSE Emerging Markets ETF in the accmpanying underlying supplement. Fr infrmatin regarding the FTSE Emerging Markets All Cap China A Inclusin Index, see Backgrund n the FTSE GEIS Indices The FTSE Emerging Markets All Cap China A Inclusin Index in the accmpanying underlying supplement. ** 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. "Efficiente " is a registered trademark f JPMrgan Chase & C. 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 illustrates hypthetical Cupn Rates fr different Cupn Payment Dates and the fllwing examples illustrate hypthetical Cupn Payments ver the term f the CDs. The hypthetical Cupn Rates and Cupn Payments set frth belw assume the fllwing: an Initial Value f 100 and a Minimum Cupn Rate f 0.15% per annum. The hypthetical Initial Value f 100 has been chsen fr illustrative purpses nly and may nt represent a likely actual Initial Value. The actual Initial Value will be based n the clsing level f the Index n the Pricing Date and will be prvided in the disclsure supplement. Fr histrical data regarding the actual clsing level f the Index, please see the histrical infrmatin set frth under Hypthetical Back-Tested Data and Histrical Infrmatin in this term sheet. Each hypthetical Cupn Rate and Cupn Payment set frth belw is fr illustrative purpses nly and may nt be the actual Cupn Rate r Cupn Payment applicable t a purchaser f the CDs. The numbers appearing in the fllwing table and examples have been runded fr ease f analysis. Final Value Cumulative Index Return Cupn Rate fr each Cupn Payment Date (1) First Secnd Third Furth Fifth Sixth Seventh % 80.00% 40.00% 26.67% 20.00% 16.00% 13.33% 11.43% % 70.00% 35.00% 23.33% 17.50% 14.00% 11.67% 10.00% % 60.00% 30.00% 20.00% 15.00% 12.00% 10.00% 8.57% % 50.00% 25.00% 16.67% 12.50% 10.00% 8.33% 7.14% % 40.00% 20.00% 13.33% 10.00% 8.00% 6.67% 5.71% % 30.00% 15.00% 10.00% 7.50% 6.00% 5.00% 4.29% % 20.00% 10.00% 6.67% 5.00% 4.00% 3.33% 2.86% % 15.00% 7.50% 5.00% 3.75% 3.00% 2.50% 2.14% % 10.00% 5.00% 3.33% 2.50% 2.00% 1.67% 1.43% % 5.00% 2.50% 1.67% 1.25% 1.00% 0.83% 0.71% % 2.00% 1.00% 0.67% 0.50% 0.40% 0.33% 0.29% % 1.00% 0.50% 0.33% 0.25% 0.20% 0.17% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% % 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% (1) The Cupn Rate fr each Cupn Payment Date will nt be less than 0.15% per annum. TS-4 Structured Investments

6 Example 1 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 2.00% $20.00 Secnd % 1/2 2.00% 2.00% $20.00 Third % 1/3 2.00% 2.00% $20.00 Furth % 1/4 2.00% 2.00% $20.00 Fifth % 1/5 2.00% 2.00% $20.00 Sixth % 1/6 2.00% 2.00% $20.00 Seventh % 1/7 2.00% 2.00% $20.00 Cupn Payment Ttal Cupn Payments: $ Annual Percentage Yield: 1.89% In example 1, the Index increases by apprximately 2.00% during each year ver the term f the CDs. Because, n each Cupn Determinatin Date, the prduct f the Cumulative Index Return and the Index Factr is equal t 2.00%, which is greater than the Minimum Cupn Rate, the Cupn Rate fr each Cupn Determinatin Date is equal t 2.00%. Accrdingly, the investr receives ttal Cupn Payments ver the term f the CDs equal t $ per $1,000 CD. Example 2 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 0.15% $1.50 Secnd % 1/2-2.00% 0.15% $1.50 Third % 1/3-2.00% 0.15% $1.50 Furth % 1/4-2.00% 0.15% $1.50 Fifth % 1/5-2.00% 0.15% $1.50 Sixth % 1/6-2.00% 0.15% $1.50 Seventh % 1/7-2.00% 0.15% $1.50 Cupn Payment Ttal Cupn Payments: $10.50 Annual Percentage Yield: 0.15% In example 2, the Index decreases by apprximately 2.00% during each year ver the term f the CDs. Because, n each Cupn Determinatin Date, the prduct f the Cumulative Index Return and the Index Factr is equal t -2.00%, which is less than the Minimum Cupn Rate, the Cupn Rate fr each Cupn Determinatin Date is equal t the Minimum Cupn Rate. Accrdingly, the investr receives ttal Cupn Payments ver the term f the CDs equal t $10.50 per $1,000 CD. TS-5 Structured Investments

7 Example 3 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 1.00% $10.00 Secnd % 1/2 0.75% 0.75% $7.50 Third % 1/3 2.00% 2.00% $20.00 Furth % 1/4 1.75% 1.75% $17.50 Fifth % 1/5 1.50% 1.50% $15.00 Sixth % 1/6 1.50% 1.50% $15.00 Seventh % 1/7 2.00% 2.00% $20.00 Cupn Payment Ttal Cupn Payments: $ Annual Percentage Yield: 1.44% In example 3, the Index increases by varying amunts during each year ver the term f the CDs. Even thugh the Index increases ver the term f the CDs, due t the applicatin f the Index Factr, the Cupn Payments d nt increase at the same rate and, in sme cases, the Cupn Payments decrease. The investr receives ttal Cupn Payments ver the term f the CDs equal t $ per $1,000 CD. Example 4 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 4.00% $40.00 Secnd % 1/2 4.00% 4.00% $40.00 Third % 1/3 4.00% 4.00% $40.00 Furth % 1/4 1.75% 1.75% $17.50 Fifth % 1/5 0.40% 0.40% $4.00 Sixth % 1/6-0.50% 0.15% $1.50 Seventh % 1/7-1.14% 0.15% $1.50 Cupn Payment Ttal Cupn Payments: $ Annual Percentage Yield: 1.95% In example 4, the Index increases by apprximately 4.00% during each f the first three years f the term f the CDs, then decreases by apprximately 5.00% during each f the final fur years f the term f the CDs. In this example, because the increase in the level f the Index ccurs early in the term f the CDs (and the decrease in the level f the Index ccurs late in the term f the CDs), the Cupn Rate is abve the Minimum Cupn Rate fr five f the seven Cupn Determinatin Dates, and the investr receives ttal Cupn Payments ver the term f the CDs equal t $ per $1,000 CD. TS-6 Structured Investments

8 Example 5 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 0.15% $1.50 Secnd % 1/2-4.00% 0.15% $1.50 Third % 1/3-4.00% 0.15% $1.50 Furth % 1/4-1.75% 0.15% $1.50 Fifth % 1/5-0.40% 0.15% $1.50 Sixth % 1/6 0.50% 0.50% $5.00 Seventh % 1/7 1.14% 1.14% $11.43 Cupn Payment Ttal Cupn Payments: $23.93 Annual Percentage Yield: 0.34% In example 5, the Index decreases by apprximately 4.00% during each f the first three years f the term f the CDs, then increases by apprximately 5.00% during each f the final fur years f the term f the CDs. In this example, because the decrease in the level f the Index ccurs early in the term f the CDs (and the increase in the level f the Index ccurs late in the term f the CDs), the Cupn Rate is equal t the Minimum Cupn Rate fr five f the seven Cupn Determinatin Dates, and the investr receives ttal Cupn Payments ver the term f the CDs equal t $23.93 per $1,000 CD. Example 6 Cupn Determinatin Date Final Value Cumulative Index Return Index Factr Cumulative Index Return Index Factr Cupn Rate First % % 10.00% $ Secnd % 1/ % 10.00% $ Third % 1/ % 10.00% $ Furth % 1/ % 10.00% $ Fifth % 1/ % 10.00% $ Sixth % 1/ % 10.00% $ Seventh % 1/ % 10.00% $ Cupn Payment Ttal Cupn Payments: $ Annual Percentage Yield: 7.88% In example 6, the Index increases by apprximately 10.00% during each year ver the term f the CDs. Because, n each Cupn Determinatin Date, the prduct f the Cumulative Index Return and the Index Factr is equal t 10.00%, which is greater than the Minimum Cupn Rate, the Cupn Rate fr each Cupn Determinatin Date is equal t 10.00%. Accrdingly, the investr receives ttal Cupn Payments ver the term f the CDs equal t $ per $1,000 CD. The hypthetical returns and hypthetical payments n the CDs shwn abve apply nly if yu hld the CDs fr their entire term. These hyptheticals d nt reflect the fees r expenses that wuld be assciated with any sale in the secndary market. If these fees and expenses were included, the hypthetical returns and hypthetical payments shwn abve wuld likely be lwer. TS-7 Structured Investments

9 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 YOU MAY NOT RECEIVE ANY COUPON PAYMENTS ON YOUR CDs IN EXCESS OF THE MINIMUM COUPON RATE FOR EACH COUPON PAYMENT DATE Yur nly return n the CDs will be the annual Cupn Payments paid ver the term f the CDs. If the Index has declined frm the Pricing Date t the applicable Cupn Determinatin Date, resulting in a negative Cumulative Index Return, the Cupn Rate will be equal t the Minimum Cupn Rate f between 0.15% and 0.40% per annum n that Cupn Payment Date. If the Minimum Cupn Rate applies fr each Cupn Payment Date, assuming a Minimum Cupn Rate f 0.15% per annum, yu will receive $10.50 per $1,000 CD in cupn payments ver the term f the CDs. Therefre, the return n yur investment in the CDs may be less than the amunt that wuld be paid n a cnventinal certificate f depsit having a similar maturity issued by us. The Cupn Payments paid ver the term f the CDs may nt cmpensate yu fr any lss in value due t inflatin and ther factrs relating t the value f mney ver time. THE APPLICATION OF THE INDEX FACTOR TO THE CUMULATIVE INDEX RETURN WILL GENERALLY LOWER THE APPLICABLE COUPON RATES AND MAY CAUSE THE RETURN ON THE CDs TO BE LESS THAN THE INDEX PERFORMANCE Althugh the Cumulative Index Return n each Cupn Determinatin Date measures the perfrmance f the Index frm the Pricing Date t that Cupn Determinatin Date, the Index Factr fr the applicable Cupn Determinatin Date is applied t the Cumulative Index Return fr that Cupn Determinatin Date t annualize the Cumulative Index Return. Accrdingly, even if the Cumulative Index Return increases frm ne Cupn Determinatin Date t the next, the Cupn Rate fr each crrespnding Cupn Payment Date may nt increase in the same prprtin and may even decrease. In additin, the return frm the Cupn Payments that yu may receive ver the term f the CDs may be less than the Index perfrmance ver the term f the CDs. See Hypthetical Payut Prfile in this term sheet fr mre infrmatin. BECAUSE THE INDEX FACTOR FOR EACH COUPON DETERMINATION DATE DECREASES OVER TIME, AN EARLIER INCREASE IN THE INDEX WILL RESULT IN A HIGHER COUPON PAYMENT THAN A LATER INCREASE IN THE INDEX The Index Factr fr each Cupn Determinatin Date is less than the Index Factr fr the immediately preceding Cupn Determinatin Date. Accrdingly, its impact n the Cupn Rate is t reduce the Cumulative Index Return ver time. As a result, an earlier increase in the Index will result in a higher Cupn Payment than a single increase in the Index later in the term, unless the later increase is sufficient t ffset the negative effect f the Index Factr. If the Index initially depreciates fllwed by appreciatin in the latter term f the CDs r if the Index appreciates mre later in the term f the CDs than earlier, yur aggregate Cupn Payments may be less than thse yu culd have earned had the Index initially appreciated fllwed by depreciatin in the latter term f the CDs r if the Index had appreciated mre earlier in the term f the CDs than later. The negative impact f the Index Factr will als be greater the lnger the term f the CDs. THE COUPON RATE DOES NOT REFLECT THE ACTUAL PERFORMANCE OF THE INDEX FROM COUPON DETERMINATION DATE TO COUPON DETERMINATION DATE The Cupn Rate fr each annual Cupn Payment Date is determined by multiplying the Cumulative Index Return n the applicable Cupn Determinatin Date by the applicable Index Factr and is intended t reflect the annualized Index return n the applicable Cupn Determinatin Date, subject t the Minimum Cupn Rate. This is different frm, and may be less than, a Cupn Rate determined based n the percentage difference f the clsing levels f the Index between tw Cupn Determinatin Dates. Accrdingly, the Cupn Payments n the CDs may be less than the return yu culd earn n anther instrument linked t the Index that pays annual cupns based n the perfrmance f the Index frm Cupn Determinatin Date t Cupn Determinatin Date. See Hypthetical Payut Prfile in this term sheet fr mre infrmatin. THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A FEE OF 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 TS-8 Structured Investments

10 A depsitr purchasing a principal amunt f CDs in excess f FDIC insurance limits, when aggregated with all ther depsits held by the depsitr in the same right and capacity at JPMrgan Chase Bank, will be subject t the credit risk f JPMrgan Chase Bank. Investrs are dependent n JPMrgan Chase Bank s ability t pay any amunts due n the CDs in excess f FDIC insurance limits. Any actual r ptential change in the creditwrthiness, credit ratings r credit spreads related t us r ur affiliates, as determined by the market fr taking that credit risk, is likely t adversely affect the value f the CDs. WE MAY ADJUST FURTHER COUPON PAYMENTS IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS In making such adjustment, the CD calculatin agent will determine in gd faith and in a cmmercially respnsible manner the price f the embedded ptin representing all f the Cupn Payments frm but excluding the cmmdity hedging disruptin date thrugh and including the maturity date (the Optin Value ) as f the date n which we declare a cmmdity hedging disruptin event (such date, a cmmdity hedging disruptin date ). Thereafter, the Cupn Payment payable n each Cupn Payment Date ccurring after the cmmdity hedging disruptin date (each, an Affected Cupn Payment Date ) will be, instead f the amunt calculated as described under Key Terms Cupn Payment abve, an amunt equal t, fr each $1,000 CD, the Optin Value divided by the number f Affected Cupn Payment Dates, prvided that the Cupn Payment will nt be less than $1,000 the Minimum Cupn Rate. Under these circumstances, the Cupn Payment n each Affected Interest Payment Date will be fixed, regardless f any appreciatin f the Index, which may be significant. Please see General Terms f the CDs Cnsequences f a Cmmdity Hedging Disruptin Event in the accmpanying disclsure statement fr mre infrmatin. POTENTIAL CONFLICTS We and ur affiliates play a variety f rles in cnnectin with the CDs. In perfrming these duties, ur ecnmic interests are ptentially adverse t yur interests as an investr in the CDs. It is pssible that hedging r trading activities f urs r ur affiliates in cnnectin with the CDs culd result in substantial returns fr us r ur affiliates while the value f the CDs declines. Please refer t Risk Factrs Risks Relating t Cnflicts f Interest in the accmpanying disclsure statement. See als Risks Relating t the Index Our Affiliate, JPMS plc, Is the Index Calculatin Agent and May Adjust the Index in a Way that Affects Its Level belw. 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. 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 TS-9 Structured Investments

11 infrmatin, see General Terms f the CDs Additins and Withdrawals and Discunts and Secndary Market in the accmpanying disclsure statement. LIMITATIONS ON FDIC INSURANCE As a general matter, a hlder wh purchases a principal amunt f CDs, tgether with ther depsits that it maintains at JPMrgan Chase Bank in the same wnership capacity, that is greater than the applicable limits set by federal law and regulatin will nt be insured by the FDIC fr the principal amunt exceeding such limit. In additin, under FDIC interpretatins, any prspective Cupn Payment, is nt insured by the FDIC prir t the relevant Cupn Determinatin Date. Any amunts due n the CDs in excess f the applicable FDIC insurance limits will be subject t the credit risk f JPMrgan Chase Bank. Fr mre infrmatin, see Depsit Insurance in the accmpanying disclsure statement. THE FINAL TERMS AND VALUATION OF THE CDs WILL BE PROVIDED IN THE DISCLOSURE SUPPLEMENT Yu shuld cnsider yur ptential investment in the CDs based n the minimums fr JPMS s estimated value and the Minimum Cupn 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 TS-10 Structured Investments

12 The secndary market price f the CDs during their term will be impacted by a number f ecnmic and market factrs, which may either ffset r magnify each ther, aside frm the selling cmmissins, prjected hedging prfits, if any, estimated hedging csts and the level f the Index. Additinally, independent pricing vendrs and/r third party brker-dealers may publish a price fr the CDs, which may als be reflected n custmer accunt statements. This price may be different (higher r lwer) than the price f the CDs, if any, at which JPMS may be willing t purchase yur CDs in the secndary market. See Risk Factrs Risks Relating t the Estimated Value f Secndary Market Prices f the CDs Secndary market prices f the CDs will be impacted by many ecnmic and market factrs in the accmpanying disclsure statement. Risks Relating t the Index OUR AFFILIATE, JPMS PLC, IS THE INDEX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL JPMS plc, ne f ur affiliates, acts as the index calculatin agent and is respnsible fr calculating and maintaining the Index and develping the guidelines and plicies gverning its cmpsitin and calculatin. The rules gverning the Index may be amended at any time by JPMS plc, in its sle discretin, and the rules als permit the use f discretin by JPMS plc in specific instances, such as the right t substitute a Basket Cnstituent. Unlike ther indices, the maintenance f the Index is nt gverned by an independent cmmittee. Althugh judgments, plicies and determinatins cncerning the Index are made by JPMS plc, JPMrgan Chase Bank, as the parent cmpany f JPMS plc, ultimately cntrls JPMS plc. In additin, the plicies and judgments fr which JPMS plc is respnsible culd have an impact, psitive r negative, n the level f the Index and the value f yur CDs. JPMS plc is under n bligatin t cnsider yur interests as an investr in the CDs. Furthermre, the inclusin f the Basket Cnstituents in the Index is nt an investment recmmendatin by us r JPMS plc f the 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 tracking assets that have experienced price declines, but after which experience a sudden price spike. In additin, the Index may decline as a result f tracking assets that have perfrmed well in the past, but then experience price declines. THE 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 TS-11 Structured Investments

13 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 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. FOR EACH ETF CONSTITUENT THAT TRACKS A REFERENCE INDEX, THE PERFORMANCE OF THAT ETF CONSTITUENT S REFERENCE INDEX AS WELL AS ITS NET ASSET VALUE PER SHARE MAY NOT CORRELATE WITH ITS PERFORMANCE AND MARKET VALUE, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY Each ETF Cnstituent may nt fully replicate its reference index and may hld securities different frm thse included in its reference index. In additin, the perfrmance f each ETF Cnstituent will reflect additinal transactin csts and fees that are nt included in the calculatin f its reference index. All f these factrs may lead t a lack f crrelatin between the perfrmance f each ETF Cnstituent and its reference index. In additin, crprate actins with respect t the equity securities underlying the ETF Cnstituents (such as mergers and spin-ffs) may impact the variance between the perfrmances f each ETF Cnstituent TS-12 Structured Investments

14 and its reference index. Finally, because the ETF Cnstituents are traded n public exchanges and are subject t market supply and investr demand, the market value f each ETF Cnstituent may differ frm its net asset value per share. During perids f market vlatility, securities underlying the ETF Cnstituents may be unavailable in the secndary market, market participants may be unable t calculate accurately the net asset value per share f the ETF Cnstituents and the liquidity f the ETF Cnstituents may be adversely affected. This kind f market vlatility may als disrupt the ability f market participants t create and redeem shares f the ETF Cnstituents. Further, market vlatility may adversely affect, smetimes materially, the prices at which market participants are willing t buy and sell shares f the ETF Cnstituents. As a result, under these circumstances, the market value f the ETF Cnstituents may vary substantially frm their net asset values per share. Fr all f the freging reasns, the perfrmance f each ETF Cnstituent may nt crrelate with the perfrmance f its reference index as well as its net asset value per share, which culd materially and adversely affect the value f the CDs in the secndary market and/r reduce any payment n the CDs. THE INDEX MAY BE PARTIALLY UNINVESTED The aggregate weight f the Cash Cnstituent at any given time represents the prtin f the 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 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 in the accmpanying underlying supplement 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% TS-13 Structured Investments