7yrNC1yr ETF Efficiente Plus DS 5 Callable CD

Transcription

1 Nrth America Structured Investments 7yrNC1yr ETF Efficiente Plus DS 5 Callable CD Overview J.P. Mrgan ETF Efficiente DS 5 Index (the Index ) is an additin t the JPMrgan Efficiente index family. JPMrgan ETF Efficiente DS emplys a mmentum and mdern prtfli thery framewrk t a mnthly asset allcatin frm a universe f 12 exchange-traded funds and a cash index with the intrductin f a daily vlatility targeting mechanism, which is verlaid n the mnthly asset allcatin (the Mnthly Reference Prtfli ). The Index targets the 5% vlatility by varying the expsure the Index takes t the Mnthly Reference Prtfli n a daily basis. The Index increases the expsure t the Mnthly Reference Prtfli when the vlatility f the prtfli decreases and decreases the expsure when the vlatility f the Mnthly Reference Prtfli increases. The Index levels incrprate a daily deductin fee f 1.00% per annum. The CDs are designed fr investrs wh seek an early exit prir t maturity at a premium, if, n any Review Date, the clsing level f the Index is at r abve the applicable Call Value. The Call Value will be equal t a percentage f the Initial Value that increases prgressively ver the term f the CDs, starting at % f the clsing level f the Index n the pricing date. May be apprpriate fr investrs requiring asset and gegraphical diversificatin, full repayment f principal at maturity and FDIC insurance up t applicable limits. Any payment n the CDs in excess f the FDIC insurance limits is subject t the credit risk f JPMrgan Chase Bank, N.A. Summary f Terms Issuer: JPMrgan Chase Bank, N.A. Minimum Denminatin: $1,000 Underlying: J.P Mrgan ETF Efficiente Plus DS 5 Index (Net ER) Underlying Ticker: EEJPDS5E Review Date Call Value Call Premium* First 3.00% At least 8.75% Secnd 6.00% At least 17.50% Third 9.00% At least 26.25% Furth 12.00% At least 35.00% Fifth 15.00% At least 43.75% Sixth (Final) 18.00% At least 52.50% Autmatic Call: If the clsing level f the Index n any Review Date is greater than r equal t the applicable Call Value, the CD will be autmatically called fr a cash payment, fr each $1,000 CD, equal t (a) $1,000 plus (b) the Call Premium Amunt applicable t that Review Date, payable n the applicable Call Settlement Date. N further payments will be made n the CDs. Payment At Maturity: If the CDs have nt been autmatically called, at maturity, yu will receive a cash payment, fr each $1,000 CD, f $1,000 plus the Additinal Amunt, which may be zer. Participatin Rate: 100% Call Review Dates: Annual Pricing Date: March 23, 2018 Maturity Date: March 27, 2025 CUSIP: 48126YN82 Preliminary Term Sheet: Fr mre infrmatin abut the Annual Percentage Yield ( APY ) r the estimated value f the CDs, which will be lwer than the price yu paid fr the CDs, please see the hyperlink abve. Hypthetical Examples f Amunts Upn Autmatic Call r at Maturity** Index Return at Review Date Ttal Return if Called at First Review Date* Ttal Return at Third Review Date* Ttal Return at Fifth Review Date* Maturity 40.00% 8.75% % 35.00% 40.00% 25.00% 8.75% 26.25% 35.00% 25.00% 15.00% 8.75% 26.25% N/A 15.00% 5.00% 8.75% N/A N/A 5.00% 0.00% N/A N/A N/A 0.00% -5.00% N/A N/A N/A 0.00% % N/A N/A N/A 0.00% % N/A N/A N/A 0.00% % N/A N/A N/A 0.00% % N/A N/A N/A 0.00% % N/A N/A N/A 0.00% % N/A N/A N/A 0.00% N/A indicates that the ntes wuld nt be called n the applicable Review Date and n payment wuld be made fr that date * Reflects a call premium f 8.75%. The call premium will be determined n the Pricing Date and will nt be less than 8.75% per annum, annualized. ** The hypthetical returns n the CDs shwn abve apply nly if yu hld the CDs fr their entire term. These hyptheticals d nt reflect fees r expenses that wuld be assciated with any sale in the secndary market. If these fees and expenses were included, the hypthetical returns wuld likely be lwer J.P. Mrgan Structured Investments jpm_structured_investments@jpmrgan.cm

2 Nrth America Structured Investments 7yrNC1yr ETF Efficiente Plus DS 5 Callable CD Selected Benefits The CDs ffer full repayment f principal at maturity. FDIC-insured up t applicable limits, thereafter expsed t credit risk f JPMrgan Chase Bank, N.A. Investment in the CDs is nt subject t a maximum return r averaging in the return calculatin. ETF Efficiente DS targets the 5% vlatility n a daily basis by varying the expsure the Index takes the mnthly asset allcatin. The strategy dynamically allcates amng the fllwing 12 ETFs and cash index: Selected Risks The CDs may nt pay mre than the principal amunt at maturity. Selected Risks (cntinued) The Index has a limited perating histry. Hypthetical back-tested data related t the Index des nt represent actual histrical data and are subject t inherent limitatins. The strategy may nt be successful. It may nt utperfrm an alternative strategy related t the Basket Cnstituents. The CDs d nt have any interest r dividend payments The CDs may be subject t the credit risk f JPMrgan Chase Bank, N.A. and UBS AG, the issuer f the ETN. The autmatic call feature may frce a ptential early exit. There is n guarantee that yu will be able t reinvest the prceeds at a cmparable rate f return fr a similar level f risk The strategy is subject t emerging market risks, fixed incme risks, currency exchange risk, real estate risk, small capitalizatin stck risk, MLP-related risks, preferred stck and lan-related risks, risks assciated with cmmdity futures and gld, and the uncertain legal and regulatry regimes, which gvern cmmdities future cntracts. JPMS intends t ffer t purchase the CDs in the secndary market but is nt required t d s. Our affiliate, JPMS plc, is the index calculatin agent and Index Spnsr and may adjust the index in a way that affects its level. Changes in the value f Index cnstituents may ffset each ther. Upn the ccurrence f a cmmdity hedging disruptin event, we will have the right t adjust the timing and amunt f any payment n the CDs. Yur payment n the CDs may be significantly less than the amunt yu wuld have been entitled t receive had we nt exercised this right. JPMS s estimated value des nt represent future values and may differ frm thers estimates. The value f the CDs, which may be reflected in custmer accunt statements, may be higher than JPMS s current estimated value fr a limited time perid. JPMS s estimated value is derived by reference t an internal funding rate. The tax cnsequences f the CDs may be uncertain. Yu shuld cnsult yur tax advisr regarding the U.S. federal incme tax cnsequences f an investment in the CDs. Lack f liquidity: J.P. Mrgan Securities LLC, acting as agent fr the Issuer (and wh we refer t as JPMS), intends t ffer t purchase the CDs in the secndary market but is nt required t d s. The price, if any, at which JPMS will be willing t purchase CDs frm yu in the secndary market, if at all, may result in a significant lss f yur principal. Ptential cnflicts: We and ur affiliates play a variety f rles in cnnectin with the CDs, including acting as a calculatin agent, hedging ur bligatins under the CDs and making the assumptins used t determine the pricing f the CDs and the estimated value f the CDs when the terms are set. It is pssible that such hedging r trading activities f urs r ur affiliates culd result in substantial returns fr us r ur affiliates while the value f the CDs decline. The risks identified abve are nt exhaustive. Please see Risk Factrs in the applicable disclsure supplement and underlying supplement and Selected Risk Cnsideratins in the term sheet fr additinal infrmatin. Disclaimer The infrmatin cntained in this dcument is fr discussin purpses nly. Any infrmatin relating t perfrmance cntained in these materials is illustrative and n assurance is given that any indicative returns, perfrmance r results, whether histrical r hypthetical, will be achieved. These terms are subject t change, and J.P. Mrgan undertakes n duty t update this infrmatin. This dcument shall be amended, superseded and replaced in its entirety by a subsequent term sheet, disclsure supplement and/r private placement memrandum, and the dcuments referred t therein. In the event any incnsistency between the infrmatin presented herein and any such term sheet, disclsure supplement and/r private placement memrandum, such term sheet, disclsure supplement and/r private placement memrandum shall gvern. IRS Circular 230 Disclsure: JPMrgan Chase & C. and its affiliates d nt prvide tax advice. Accrdingly, any discussin f U.S. tax matters cntained herein (including any attachments) is nt intended r written t be used, and cannt be used, in cnnectin with the prmtin, marketing r recmmendatin by anyne unaffiliated with JPMrgan Chase & C. f any f the matters address herein r fr the purpse f aviding U.S. taxrelated penalties. Investment suitability must be determined individually fr each investr, and the financial instruments described herein may nt be suitable fr all investrs. This infrmatin is nt intended t prvide and shuld nt be relied upn as prviding accunting, legal, regulatry r tax advice. Investrs shuld cnsult with their wn advisrs as t these matters. This material is nt a prduct f J.P. Mrgan Research Departments. J.P. Mrgan Structured Investments jpm_structured_investments@jpmrgan.cm

3 February 26, 2018 JPMrgan Chase Bank, Natinal Assciatin Structured Investments Linked t the J.P. Mrgan ETF Efficiente DS 5 Index due March 27, 2025, with Step-Up Call Value The certificates f depsit ( CDs ) are designed fr investrs wh seek an early exit prir t maturity at a premium, if, n any Review Date, the clsing level f the J.P. Mrgan ETF Efficiente DS 5 Index (the Index ) is at r abve the applicable Call Value. The Call Value will be equal t a percentage f the Initial Value that increases prgressively ver the term f the CDs, starting at % f the Initial Value n the first Review Date. See Key Terms Call Value fr additinal infrmatin. The earliest date n which an autmatic call may be initiated is March 25, The CDs are als designed fr investrs wh seek expsure t any appreciatin f the Index ver the term f the CDs if the CDs have nt been autmatically called. Investrs shuld be willing t frg interest and dividend payments, while seeking full repayment f principal at maturity r upn an autmatic call. The CDs are issued by JPMrgan Chase Bank, Natinal Assciatin ( JPMrgan Chase Bank ). The CDs are insured nly within the limits and t the extent described in this term sheet and in the accmpanying disclsure statement. See Selected Risk Cnsideratins Limitatins n FDIC Insurance in this term sheet. Any payment n the CDs in excess f FDIC insurance limits is subject t the credit risk f JPMrgan Chase Bank. Investing in the CDs is nt equivalent t investing in a cnventinal CD r directly in the J.P. Mrgan ETF Efficiente DS 5 Index r any f its Basket Cnstituents. Minimum denminatins f $1,000 and integral multiples theref The CDs are expected t price n r abut March 23, 2018 and are expected t settle n r abut March 29, CUSIP: 48126YN82 Investing in the CDs invlves a number f risks. See Risk Factrs beginning n page 7 f the accmpanying disclsure statement, Risk Factrs beginning n page US-5 f the accmpanying underlying supplement n. CD-6-I and Selected Risk Cnsideratins beginning n page TS-9 f this term sheet. Issue Price: $1,000 per $1,000 CD 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. In additin, JPMS may pay a structuring fee f $5.00 per $1,000 CD t ther affiliated r unaffiliated dealers within 30 days f the Settlement Date. If the CDs priced tday, the estimated value f the CDs as determined by JPMS wuld be apprximately $ per $1,000 CD. JPMS s estimated value f the CDs, when the terms f the CDs are set, will be prvided by JPMS in the disclsure supplement and will nt be less than $ per $1,000 CD. See JPMS s Estimated Value f the CDs in this term sheet fr additinal infrmatin. Our affiliate, JPMS, certain f its affiliates and ther brker-dealers may use this term sheet and the accmpanying disclsure statement in cnnectin with ffers and sales f the CDs after the date heref. Term sheet t the disclsure statement dated January 29, 2015 and underlying supplement n. CD-6-I dated December 7, 2012

4 Key Terms Index: The J.P. Mrgan ETF Efficiente DS 5 Index (Blmberg ticker: EEJPDS5E). The level f the Index reflects the deductin f a fee f 1.00% per annum that accrues daily and a ntinal financing cst deducted daily. Call Premium Amunt: The Call Premium Amunt with respect t each Review Date is set frth belw: first Review Date: at least 8.75% x $1,000 secnd Review Date: at least 17.50% x $1,000 third Review Date: at least 26.25% x $1,000 furth Review Date: at least 35.00% x $1,000 fifth Review Date: at least 43.75% x $1,000 final Review Date: at least 52.50% x $1,000 (in each case, t be prvided in the disclsure supplement) Call Value: An amunt that represents: % f the Initial Value fr the first Review Date % f the Initial Value fr the secnd Review Date % f the Initial Value fr the third Review Date % f the Initial Value fr the furth Review Date % f the Initial Value fr the fifth Review Date % f the Initial Value fr the final Review Date Participatin Rate: % Pricing Date: On r abut March 23, 2018 Original Issue Date (Settlement Date): On r abut March 29, 2018 Review Dates*: March 25, 2019, March 23, 2020, March 23, 2021, March 23, 2022, March 23, 2023 and March 25, 2024 (final Review Date) Call Settlement Dates*: March 28, 2019, March 26, 2020, March 26, 2021, March 28, 2022, March 28, 2023 and March 28, 2024 Observatin Date*: March 24, 2025 Maturity Date*: March 27, 2025 * Subject t pstpnement in the event f a market disruptin event and as described under Supplemental Terms f the CDs Pstpnement f a Determinatin Date CDs linked slely t the ETF Efficiente Index in the accmpanying underlying supplement and General Terms f the CDs Pstpnement f a Payment Date in the accmpanying disclsure statement Autmatic Call : If the clsing level f the Index n any Review Date is greater than r equal t the applicable Call Value, the CDs will be autmatically called fr a cash payment, fr each $1,000 CD, equal t (a) $1,000 plus (b) the Call Premium Amunt applicable t that Review Date, payable n the applicable Call Settlement Date. N further payments will be made n the CDs. Payment at Maturity: If the CDs have nt been autmatically called, at maturity, yu will receive a cash payment, fr each $1,000 CD, f $1,000 plus the Additinal Amunt, which may be zer. Except fr the applicable Call Premium Amunt payable upn an autmatic call, yu will receive n ther interest r dividend payments during the term f the CDs. If the CDs have nt been autmatically called, the repayment f yur full principal amunt applies nly at maturity, subject t the credit risk f JPMrgan Chase Bank and applicable FDIC limits. Additinal Amunt : If the CDs have nt been autmatically called, the Additinal Amunt payable at maturity per $1,000 CD will equal: $1,000 the Index Return the Participatin Rate, prvided that the Additinal Amunt will nt be less than zer. Index Return: (Final Value Initial Value) Initial Value Initial Value: The clsing level f the Index n the Pricing Date Final Value: The clsing level f the Index n the Observatin Date Early Withdrawals: At par upn death r adjudicatin f incmpetence f a beneficial hlder f the CDs. Fr infrmatin abut early withdrawals and the limitatins n such early withdrawals, see General Terms f the CDs Additins and Withdrawals in the accmpanying disclsure statement. Subject t the impact f a cmmdity hedging disruptin event as described under Supplemental Terms f the CDs in this term sheet. In the event f a cmmdity hedging disruptin event, we have the right, but nt the bligatin, t determine whether the CDs will be autmatically called and t adjust yur payment upn autmatic call r at maturity based n determinatins made by the CD calculatin agent. Under these circumstances, whether the CDs are autmatically called and the payment upn an autmatic call r at maturity will be determined prir t, and withut regard t, the clsing level f the Index n the relevant Review Date r the Observatin Date, as applicable. TS-1 Structured Investments

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

6 The J.P. Mrgan ETF Efficiente DS 5 Index The J.P. Mrgan ETF Efficiente DS 5 Index (the Index ) was develped and is maintained and calculated by J.P. Mrgan Securities plc ( JPMS plc ), ne f ur affiliates. JPMS plc acts as the calculatin agent fr the Index (the index calculatin agent ). The Index is a ntinal dynamic basket that tracks the excess return f a prtfli f twelve exchange-traded funds ( ETFs ) (each an ETF Cnstituent, and cllectively the ETF Cnstituents ), with dividends ntinally reinvested, and the JPMrgan Cash Index USD 3 Mnth (including any successr r substitute cash index included in the Index, the Cash Cnstituent ), less a fee f 1.00% per annum that accrues daily and a ntinal financing cst deducted daily, while targeting a specific vlatility n a daily basis. We refer t the ETF Cnstituents and the Cash Cnstituent tgether as the Basket Cnstituents. The ETF Cnstituents represent a diverse range f asset classes and gegraphic regins. The Index rebalances mnthly a synthetic prtfli cmpsed f the Basket Cnstituents. The Index is based n the mdern prtfli thery apprach t asset allcatin, which suggests hw a ratinal investr shuld allcate his capital acrss the available universe f assets t maximize return fr a given risk appetite. The Index uses the cncept f an efficient frntier t define the asset allcatin f the Index. An efficient frntier fr a prtfli f assets defines the ptimum return f the prtfli fr a given amunt f risk. The Index uses the vlatility f returns f hypthetical prtflis as the measure f risk. This strategy is based n the assumptin that the mst efficient allcatin f assets is ne that maximizes returns per unit f risk. The ntinal financing cst is intended t apprximate the cst f maintaining a psitin in the Basket Cnstituents using brrwed funds at the rate f interest underlying the Cash Cnstituent, which is calculated based n 3-mnth USD LIBOR rates. 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 withut pledging any cllateral r security. On July 27, 2017, the Chief Executive f the U.K. Financial Cnduct Authrity (the FCA ), which regulates LIBOR, annunced that the FCA intends t stp persuading r cmpelling banks t submit rates fr the calculatin f LIBOR rates t the LIBOR administratr after It is impssible t predict the impact f this annuncement n LIBOR rates, whether LIBOR rates will cease t be published r supprted befre r after 2021, the impact f any alternative reference rates r whether any additinal refrms t LIBOR may be enacted in the United Kingdm r elsewhere. Uncertainty as t the nature f alternative reference rates and as t ptential changes r ther refrms t LIBOR may affect the 3- mnth USD LIBOR rates referenced by the Cash Cnstituent and used t determine the ntinal financing cst during the term f the CDs, which may adversely affect the Index and therefre the return n and market value f the CDs. See Selected Risk Cnsideratins Risks Relating t the Index Uncertainty Abut the Future f LIBOR May Affect 3-Mnth U.S. Dllar LIBOR Rates, Which May Adversely Affect the Index and Therefre the Return n and Market Value f the CDs in this term sheet. The Index is an excess return index and nt a ttal return index because the perfrmance f each Basket Cnstituent is reduced by the perfrmance f the Cash Cnstituent. The strategy assigns the weights t the Basket Cnstituents after determining the returns and vlatilities f multiple hypthetical prtflis cmprising the Basket Cnstituents measured ver the previus six mnths. The re-weighting methdlgy seeks t identify the weight fr each Basket Cnstituent that wuld have resulted in the hypthetical prtfli with the highest return ver the relevant measurement perid, subject t an annualized vlatility ver the same perid f 5% r less. Thus, the prtfli exhibiting the highest return with an annualized vlatility f 5% r less is then selected, with the weightings fr that prtfli applied t the Basket Cnstituents. In the event that nne f the prtflis has an annualized vlatility equal t r less than 5%, this vlatility threshld is increased by 1% until a prtfli is selected. In additin, the Index targets an annualized vlatility f 5% n a daily basis by dynamically adjusting its expsure t the synthetic prtfli f Basket Cnstituents. The expsure f the Index t the synthetic prtfli is equal t the target vlatility f 5% divided by the annualized vlatility f the same prtfli ver the prir mnth, subject t certain cnstraints described belw, including a minimum expsure f 0% and a maximum expsure f 150%. Accrdingly, as the vlatility f the prtfli increases, the expsure t the prtfli decreases, and as the vlatility f the prtfli decreases, the expsure t the prtfli increases. Accrdingly, if the vlatility f the synthetic prtfli is less than the target vlatility f 5%, the Index emplys leverage, subject t the maximum expsure f 150%. The aggregate weight f the Cash Cnstituent at any given time represents the prtin f the synthetic prtfli f Basket Cnstituents that is uninvested at that time. In additin, when the expsure f the Index t the synthetic prtfli f Basket Cnstituents is less than 100% n any day, a prtin f the synthetic prtfli will be uninvested. The Index will reflect n return fr any uninvested prtin. The fllwing are the Basket Cnstituents cmpsing the Index and the maximum weighting cnstraints assigned t the relevant sectr and asset type t which each belngs: Sectr Cap Basket Cnstituent Asset Cap 1 Develped Equities (50%) SPDR S&P 500 ETF Trust 20% 2 ishares Russell 2000 ETF 10% 3 ishares MSCI EAFE ETF 20% TS-3 Structured Investments

7 4 Bnds (50%) ishares 20+ Year Treasury Bnd ETF 20% 5 ishares ibxx $ Investment Grade Crprate Bnd ETF 20% 6 ishares ibxx $ High Yield Crprate Bnd ETF 20% 7 Emerging Markets (25%) ishares MSCI Emerging Markets ETF 20% 8 ishares J.P. Mrgan USD Emerging Markets Bnd ETF 20% 9 Alternative Investments (25%) ishares U.S. Real Estate ETF 20% 10 ishares S&P GSCI Cmmdity-Indexed Trust 10% 11 SPDR Gld Trust 10% 12 Inflatin Prtected Bnds and ishares TIPS Bnd ETF 50% Cash (50%) 13 JPMrgan Cash Index USD 3 Mnth 50% The Index is reprted by the Blmberg Prfessinal service ( Blmberg ) under the ticker symbl EEJPDS5E. On July 1, 2013, the names f the ishares ETF Cnstituents (ther than the ishares S&P GSCI Cmmdity-Indexed Trust) were changed t the names listed in the table abve. As f August 2, 2017, the current primary exchange f the ishares J.P. Mrgan USD Emerging Markets Bnd ETF (Blmberg Ticker: EMB) is The Nasdaq Stck Market. Ntwithstanding anything t the cntrary in the accmpanying underlying supplement, the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE, which is the index underlying the ishares J.P. Mrgan USD Emerging Markets Bnd ETF, is a prprietary index that was develped and is maintained and calculated by the Glbal Index Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany. The prices f the bnds included in the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE are prvided by PricingDirect Inc. ( PricingDirect ), a whlly wned subsidiary f JPMrgan Chase & C. See Selected Risk Cnsideratins Risks Relating t the CDs Generally Ptential Cnflicts. GIRG and PricingDirect are separated by infrmatin barriers frm each ther, and frm the JPMrgan Chase & C. s sales and trading teams. GIRG and PricingDirect will make all determinatins and calculatins in gd faith and in a cmmercially reasnable manner. See The J.P. Mrgan ETF Efficiente DS 5 Index in the accmpanying underlying supplement fr mre infrmatin abut the Index and the Basket Cnstituents. "Efficiente " is a registered trademark f JPMrgan Chase & C. TS-4 Structured Investments

8 Hw the CDs Wrk Payment upn an Autmatic Call Review Dates Cmpare the clsing level f the Index t the applicable Call Value n each Review Date r until any earlier autmatic call. Autmatic Call The clsing level f the Index is greater than r equal t the applicable Call Value. The CDs will be autmatically called n the applicable Call Settlement Date, and yu will receive (a) $1,000 plus (b) the Call Premium Amunt applicable t that Review Date. Call Value N further payments will be made n the CDs. N Autmatic Call The clsing level f the Index is less than the applicable Call Value. The CDs will nt be autmatically called. Prceed t the next Review Date, if any. Payment at Maturity If the CDs Have Nt Been Autmatically Called Review Dates Observatin Date Payment at Maturity The clsing level f the Index is less than the applicable Call Value n each f the Review Dates The Final Value f the Index is greater than the Initial Value. Yu will receive:$1,000 + ($1,000 the Index Return the Participatin Rate) The CDs have nt been autmatically called. Prceed t the payment at maturity. The Final Value f the Index is less than r equal t the Initial Value. Yu will receive: $1,000 Call Premium Amunt The table belw illustrates the hypthetical Call Premium Amunt per $1,000 CD fr each Review Date based n the minimum call premiums set frth under Key Terms Call Premium Amunt abve. The actual Call Premium Amunts will be prvided in the disclsure supplement and will be nt less than the minimum Call Premium Amunts set frth under Key Terms Call Premium Amunt. Review Date First $87.50 Secnd $ Third $ Furth $ Fifth $ Final $ Call Premium Amunt TS-5 Structured Investments

9 Hypthetical Payut Prfile Assuming N Autmatic Call The fllwing table and graph illustrate the hypthetical payment at maturity n the CDs linked t a hypthetical Index. The hypthetical payments set frth belw assume the fllwing: the CDs have nt been autmatically called; 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 Histrical Infrmatin in this term sheet. Each hypthetical payment at maturity set frth belw is fr illustrative purpses nly and may nt be the actual payment at maturity applicable t a purchaser f the CDs. The numbers appearing in the fllwing table and graph have been runded fr ease f analysis. 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, % % N/A $1, % % N/A $1, % TS-6 Structured Investments

10 The fllwing graph demnstrates the hypthetical ttal returns and hypthetical payments at maturity n the CDs at maturity fr a subset f Index Returns detailed in the table abve (-30% t 40%). We cannt give yu assurance that the perfrmance f the Index will result in a payment at maturity in excess f $1,000 per $1,000 CD. Hypthetical Payut Examples The fllwing examples illustrate payments n the CDs linked t a hypthetical Index, assuming a range f perfrmances fr the hypthetical Index n the Review Dates. The hypthetical payments set frth belw assume the fllwing: an Initial Value f ; fr the first Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the secnd Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the third Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the furth Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the fifth Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and fr the final Review Date, a Call Value f (equal t % f the hypthetical Initial Value); and the minimum call premiums set frth under Key Terms Call Premium Amunt abve. The hypthetical Initial Value f has been chsen fr illustrative purpses nly and may nt represent a likely actual Initial Value. The actual Initial Value will be the clsing level f the Index n the Pricing Date and will be prvided in the disclsure supplement. Fr histrical data regarding the actual clsing levels f the Index, please see the histrical infrmatin set frth under Hypthetical Back-Tested Data and Histrical Infrmatin in this term sheet. Each hypthetical payment set frth belw is fr illustrative purpses nly and may nt be the actual payment applicable t a purchaser f the CDs. The numbers appearing in the fllwing examples have been runded fr ease f analysis. Example 1 CDs are autmatically called n the first Review Date. Date Clsing Level First Review Date CDs are autmatically called Applicable Payment $1, (8.75% return) Because the clsing level f the Index n the first Review Date is greater than r equal t the applicable Call Value, the CDs will be autmatically called fr a cash payment, fr each $1,000 CD, f $1, (r $1,000 plus the Call Premium Amunt applicable t the first Review Date), payable n the applicable Call Settlement Date. N further payments will be made n the CDs. Example 2 CDs are autmatically called n the final Review Date. Date Clsing Level First Review Date CDs NOT autmatically called TS-7 Structured Investments

11 Secnd Review Date CDs NOT autmatically called Third thrugh fifth Review All belw Call Value CDs NOT autmatically called Dates Final Review Date CDs are autmatically called Applicable Payment $1, (52.50% return) Because the clsing level f the Index n the final Review Date is greater than r equal t the Call Value, the CDs will be autmatically called fr a cash payment, fr each $1,000 CD, f $1, (r $1,000 plus the Call Premium Amunt applicable t the final Review Date), payable n the applicable Call Settlement Date. N further payments will be made n the CDs. Example 3 CDs have NOT been autmatically called and the Final Value is greater than the Initial Value. Date Clsing Level First Review Date CDs NOT autmatically called Secnd Review Date CDs NOT autmatically called Third Review Date All belw Call Value CDs NOT autmatically called thrugh final Review Dates Observatin Date CDs NOT autmatically called; Final Value is greater than Initial Value Applicable Payment $1, (5.00% return) Because the CDs have nt been autmatically called, the Final Value is greater than the Initial Value and the Index Return is 5.00%, the payment at maturity, fr each $1,000 CD, will be $1,050.00, calculated as fllws: $1,000 + ($1, % %) = $1, Example 4 CDs have NOT been autmatically called and the Final Value is less than the Initial Value. Date Clsing Level First Review Date CDs NOT autmatically called Secnd Review Date CDs NOT autmatically called Third Review Date All belw Call Value CDs NOT autmatically called thrugh final Review Dates Observatin Date CDs NOT autmatically called; Final Value is less than Initial Value Applicable Payment $1, (0.00% return) Because the CDs have nt been autmatically called and the Final Value is less than the Initial Value, the Additinal Amunt will be zer and the payment at maturity, fr each $1,000 CD, will be $1, TS-8 Structured Investments

12 Selected Risk Cnsideratins An investment in the CDs invlves significant risks. These risks are explained in mre detail in the Risk Factrs sectins f the accmpanying disclsure statement and underlying supplement. Risks Relating t the CDs Generally THE CDs MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY If the CDs have nt been autmatically called and the Final Value is less than r equal t the Initial Value, yu will receive nly the principal amunt f yur CDs at maturity, and yu will nt be cmpensated fr any lss in value due t inflatin and ther factrs relating t the value f mney ver time. THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A FEE OF 1.00% PER ANNUM AND A NOTIONAL FINANCING COST BASED ON 3-MONTH USD LIBOR This fee and financing cst will be deducted daily. As a result f the deductin f this fee and financing 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. THE APPRECIATION POTENTIAL WITH RESPECT TO THE FIRST SIX YEARS OF THE TERM OF THE CDs IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE CDs, regardless f any appreciatin in the value f the Index, which may be significant. WE WILL HAVE THE RIGHT TO ADJUST THE TIMING AND AMOUNT OF ANY PAYMENT ON THE CDs IF A COMMODITY HEDGING DISRUPTION EVENT OCCURS If we r ur affiliates are unable t effect transactins necessary t hedge ur bligatins under the CDs due t a cmmdity hedging disruptin event, we may, in ur sle and abslute discretin, determine whether the CDs will be autmatically called and t adjust yur payment upn autmatic call r at maturity based n determinatins made by the CD calculatin agent. Under these circumstances, whether the CDs are autmatically called and the payment upn an autmatic call r at maturity will be determined in a manner different frm that described under Key Terms Autmatic Call r Key Terms Payment at Maturity, as applicable, and will be determined prir t, and withut regard t, the clsing level f the Index n the relevant Review Date r the Observatin Date, as applicable. In additin, under these circumstances, the amunt due and payable n yur CDs will nt reflect any appreciatin f the Index after this early determinatin and may be significantly less than the amunt yu wuld have been entitled t receive had we nt exercised this right. See Supplemental Terms f the CDs in this term sheet fr mre infrmatin. POTENTIAL CONFLICTS We and ur affiliates play a variety f rles in cnnectin with the CDs. In perfrming these duties, ur ecnmic interests are ptentially adverse t yur interests as an investr in the CDs. It is pssible that hedging r trading activities f urs r ur affiliates in cnnectin with the CDs culd result in substantial returns fr us r ur affiliates while the value f the CDs declines. Please refer t Risk Factrs Risks Relating t Cnflicts f Interest in the accmpanying disclsure statement. ICE Benchmark Administratin calculates USD LIBOR using submissins frm cntributing banks, including ur Lndn branch. We and ur affiliates will have n bligatin t cnsider yur interests as a hlder f the CDs in taking any actins in cnnectin with acting as a USD LIBOR cntributing bank that might affect USD LIBOR r the CDs. In additin, ne f ur affiliates, JPMS, is the spnsr f ne f the Basket Cnstituents (the Cash Cnstituent). The Glbal Index Research Grup ( GIRG ) f JPMrgan Chase & C., ur parent cmpany, develped and maintains and calculates the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE, which is the index underlying the ishares J.P. Mrgan USD Emerging Markets Bnd ETF, ne f the Basket Cnstituents. The J.P. Mrgan Emerging Markets Bnd Index Glbal CORE makes use f certain weights, prices, values, levels r dates that are determined by PricingDirect Inc. ( PricingDirect ). GIRG is part f JPMrgan Chase & C. s Glbal Research divisin and resides within JPMS. PricingDirect is JPMrgan Chase & C. s whlly wned subsidiary and prvides valuatin and ther metrics data fr fixed-incme securities and derivatives. PricingDirect determines these prices thrugh a prprietary evaluatin prcess that takes int accunt market-based evaluatins (such as market intelligence fr traded, quted securities). In additin, under sme circumstances, the pricing infrmatin prvided by PricingDirect n the bnds underlying the J.P. Mrgan Emerging Markets Bnd Index Glbal CORE may be derived slely frm price qutatins r internal valuatins made by ne r mre f ur affiliates. Accrdingly, cnflicts f interest exist between GIRG and PricingDirect, n the ne hand, and yu, n the ther hand. Nne f JPMS, GIRG r PricingDirect will have any bligatin t cnsider yur interests as a hlder f the CDs in taking any actins that might affect the value f yur CDs. YOU WILL NOT RECEIVE THE CALL PREMIUM AMOUNT APPLICABLE TO A REVIEW DATE IF THE INDEX DOES NOT APPRECIATE TO OR ABOVE THE APPLICABLE CALL VALUE FOR THAT REVIEW DATE The CDs will be autmatically called nly if the clsing level f the Index n a Review Date is at r abve the applicable Call Value n that Review Date. The Call Value fr each Review Date is greater than 100% f the Initial Value and increases with each Review Date, starting at % f the Initial Value fr the first Review Date. Even if the clsing level f the Index appreciates ver the term f the CDs, it may nt appreciate sufficiently fr yu t earn any Call Premium Amunt. Because the Call Value TS-9 Structured Investments

13 increases frm ne Review Date t the next, the likelihd f the CDs being autmatically called decreases the lnger the CDs remain utstanding. THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT If yur CDs are autmatically called, the term f the CDs may be reduced t as shrt as apprximately ne year. There is n guarantee that yu wuld be able t reinvest the prceeds frm an investment in the CDs at a cmparable return fr a similar level f risk. Even in cases where the CDs are called befre maturity, CD hlders are nt entitled t any fees and cmmissins described n the frnt cver f this term sheet. YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE BASKET CONSTITUENTS OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE CDs, AND MAY DO SO IN THE FUTURE JPMS and its affiliates may have published research r ther pinins that call int questin the investment view implicit in an investment in the CDs. Any research, pinins r recmmendatins culd affect the market value f the CDs. Investrs shuld undertake their wn independent investigatin f the merits f investing in the CDs, the Basket Cnstituents and the securities, cmmdities, cmmdity futures cntracts and ther assets underlying the Basket Cnstituents included in the Index. LACK OF LIQUIDITY The CDs will nt be listed n an rganized securities exchange. JPMS and its affiliates may ffer t purchase the CDs upn terms and cnditins acceptable t them, but are nt required t d s. Yu may nt be able t sell yur CDs. The CDs are nt designed t be shrt-term trading instruments. Accrdingly, yu shuld be able and willing t hld yur CDs t maturity. Fr mre infrmatin, see General Terms f the CDs Additins and Withdrawals and Discunts and Secndary Market in the accmpanying disclsure statement. LIMITATIONS ON FDIC INSURANCE As a general matter, a hlder wh purchases a principal amunt f CDs, tgether with ther depsits that it maintains at JPMrgan Chase Bank in the same wnership capacity, that is greater than the applicable limits set by federal law and regulatin will nt be insured by the FDIC fr the principal amunt exceeding such limit. In additin, under FDIC interpretatins, the return n the CDs, which is reflected in the frm f the Additinal Amunt, is nt insured by the FDIC until the Observatin Date. Any amunts due n the CDs in excess f the applicable FDIC insurance limits will be subject t the credit risk f JPMrgan Chase Bank. Fr mre infrmatin, see Depsit Insurance in the accmpanying disclsure statement. THE FINAL TERMS AND VALUATION OF THE CDs WILL BE PROVIDED IN THE DISCLOSURE SUPPLEMENT Yu shuld cnsider yur ptential investment in the CDs based n the minimums fr JPMS s estimated value and the Call Premium Amunts. JPMS S ESTIMATED VALUE OF THE CDs WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE CDs JPMS s estimated value is nly an estimate using several factrs. The riginal issue price f the CDs will exceed JPMS s estimated value because csts assciated with selling, structuring and hedging the CDs are included in the riginal issue price f the CDs. These csts include the selling cmmissins, the structuring fee, 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, TS-10 Structured Investments

14 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 the structuring fee and (b) may exclude prjected hedging prfits, if any, and estimated hedging csts that are included in the riginal issue price f the CDs. As a result, the price, if any, at which JPMS will be willing t buy the CDs frm yu in secndary market transactins, if at all, is likely t be lwer than the riginal issue price. Any sale by yu prir t the Maturity Date culd result in a substantial lss t yu. In additin, if JPMS purchases yur CDs in the secndary market within six days after their initial issuance, yu will be subject t early withdrawal penalties we are required t impse pursuant t Regulatin D f the Federal Reserve Bard. Under these circumstances, the repurchase price will be less than the riginal issue price f the CDs. SECONDARY MARKET PRICES OF THE CDs WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS The secndary market price f the CDs during their term will be impacted by a number f ecnmic and market factrs, which may either ffset r magnify each ther, aside frm the selling cmmissins, structuring fee, 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 r ther assets underlying the Basket Cnstituents. OWNING THE CDs INVOLVES THE RISKS ASSOCIATED WITH THE INDEX S MOMENTUM INVESTMENT STRATEGY The Index emplys a mathematical mdel intended t implement what is generally knwn as a mmentum investment strategy, which seeks t capitalize n psitive market price trends based n the suppsitin that psitive market price trends may cntinue. This strategy is different frm a strategy that seeks lng-term expsure t a prtfli cnsisting f cnstant cmpnents with fixed weights. The Index may fail t realize gains that culd ccur as a result f tracking assets that have experienced price declines, but after which experience a sudden price spike. In additin, the Index may decline as a result f tracking assets that have perfrmed well in the past, but then experience price declines. THE CDs MAY BE SUBJECT TO INCREASED VOLATILITY DUE TO THE USE OF LEVERAGE As part f the daily dynamic adjustment f its expsure t the synthetic prtfli f Basket Cnstituents, the Index may have an expsure t the synthetic prtfli f up t 150%. When the vlatility f the synthetic prtfli ver the relevant measurement perid is less than the target vlatility f 5%, the Index will emply leverage t increase the expsure f the prtfli, up t 150%. When the synthetic prtfli is leveraged, any mvements in the values f the Basket Cnstituents may result in greater changes in the value f the Basket Cnstituents than if leverage was nt used. In particular, the use f leverage will magnify any negative perfrmance f the Basket Cnstituents, which, in turn, culd affect adversely any payments n the CDs. THE INDEX MAY NOT ACHIEVE ITS TARGET VOLATILITY The expsure f the Index t the synthetic prtfli f Basket Cnstituents is determined by a tw-step prcess, cmpsed f a mnthly selectin prcess t determine the weighting assigned t each Basket Cnstituent in the synthetic prtfli tracked by the Index and a daily dynamic adjustment f the expsure t the synthetic prtfli intended t achieve a target annualized vlatility f 5% n a daily basis. The mnthly weights and daily adjustments are based n the histrical vlatility f the synthetic prtfli ver specified measurement perids and are subject t maximum aggregate and individual weighting cnstraints and minimum and maximum expsure limits. Hwever, there is n guarantee that trends existing in the relevant measurement perid will cntinue in the future. The vlatility f the synthetic prtfli n any day may change quickly and unexpectedly. Accrdingly, the actual realized annualized vlatility f the Index n a daily basis may be greater than r less than 5%, which may adversely affect the level f the Index and the value f the CDs. THE DAILY ADJUSTMENT OF THE EXPOSURE OF THE INDEX TO THE SYNTHETIC PORTFOLIO OF BASKET CONSTITUENTS MAY CAUSE THE INDEX NOT TO REFLECT FULLY ANY PRICE APPRECIATION OR TO MAGNIFY ANY PRICE DEPRECIATION OF THE SYNTHETIC PORTFOLIO As discussed abve, in an effrt t achieve the target vlatility f 5% n a daily basis, the Index adjusts its expsure t the synthetic prtfli f Basket Cnstituents daily based n the histrical vlatility f the synthetic prtfli ver a specified measurement perid, subject t maximum and minimum expsure limits. When the histrical vlatility is greater than the target vlatility, the Index will reduce the expsure t the synthetic prtfli. When the histrical vlatility is less than the target vlatility, TS-11 Structured Investments