|
April 2015
Preliminary Terms No. 343
Registration Statement No. 333-199966
Dated March 27, 2015
Filed pursuant to Rule 433 |
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due April
5, 2018
Based on the Performance of the Common Stock of
Amazon.com, Inc.
Principal at Risk Securities
Contingent Income Auto-Callable
Securities do not guarantee the payment of interest or the repayment of principal. Instead, the securities offer the opportunity
for investors to earn a contingent quarterly payment equal to at least 2.25% of the stated principal amount, but only with respect
to each determination date on which the closing price of the underlying stock is greater than or equal to 80% of the initial stock
price, which we refer to as the downside threshold level. In addition, if the closing price of the underlying stock is greater
than or equal to the initial stock price on any determination date (other than the final determination date), the securities will
be automatically redeemed for an amount per security equal to the stated principal amount and the contingent quarterly payment.
However, if the securities have not been automatically redeemed prior to maturity, the payment at maturity due on the securities
will be either (i) the stated principal amount and the contingent quarterly payment with respect to the final determination date
if the final stock price is greater than or equal to the downside threshold level or (ii) the cash value (as defined below) or,
at our option, a number of shares of the underlying stock, that will be significantly less than the principal amount of the securities
if the final stock price is below the downside threshold level. Moreover, if, on any determination date, the closing price of
the underlying stock is less than the downside threshold level, you will not receive any contingent quarterly payment for that
quarterly period. The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest
at a potentially above-market rate in exchange for the risk of receiving few or no contingent quarterly payments and also the
risk of receiving the cash value, or shares of the underlying stock, which will be worth significantly less than the stated principal
amount of the securities and could be zero. Accordingly, investors could lose their entire initial investment in the securities.
Investors will not participate in any appreciation of the underlying stock. The securities are unsecured and unsubordinated
obligations of JPMorgan Chase & Co., issued as part of JPMorgan Chase & Co.’s Medium-Term Notes, Series E, program.
Any payment on the securities is subject to the credit risk of JPMorgan Chase & Co.
Issuer: |
JPMorgan Chase & Co. |
Underlying stock: |
Common stock of Amazon.com, Inc. |
Aggregate principal amount: |
$ |
Early redemption: |
If, on any determination date (other than the final determination
date), the closing price of the underlying stock is greater than or equal to the initial stock price, the securities
will be automatically redeemed for an early redemption payment on the first contingent payment date immediately following
the related determination date. No further payments will be made on the securities once they have been redeemed. |
Early redemption payment: |
The early redemption payment will be an amount equal to (i) the
stated principal amount plus (ii) the contingent quarterly payment with respect to the related determination date. |
Contingent quarterly payment: |
●
If, on any determination date, the closing price or the final stock price, as applicable,
is greater than or equal to the downside threshold level, we will pay a contingent quarterly payment of at least $0.225
(at least 2.25% of the stated principal amount) per security on the related contingent payment date. The actual contingent
monthly payment will be provided in the pricing supplement.
●
If, on any determination date, the closing price or the final stock price, as applicable,
is less than the downside threshold level, no contingent quarterly payment will be made with respect to that determination
date. |
Determination dates: |
July 2, 2015, October 2, 2015, January 4, 2016, April 4, 2016, July
5, 2016, October 3, 2016, January 3, 2017, April 3, 2017, July 3, 2017, October 2, 2017, January 2, 2018 and April 2, 2018,
subject to postponement for non-trading days and certain market disruption events. We also refer to April 2, 2018
as the final determination date. |
Contingent payment dates: |
With respect to each determination date other than the final determination
date, the third business day after the related determination date. The payment of the contingent quarterly payment,
if any, with respect to the final determination date will be made on the maturity date. |
Payment at maturity: |
●
If the final stock price is greater than or equal to the downside threshold level: |
(i) the stated principal amount plus (ii) the contingent quarterly
payment with respect to the final determination date |
|
●
If the final stock price is less than the downside threshold
level: |
(i) the cash value or (ii) at our option, a number of shares of the underlying stock equal
to the exchange ratio as of the final determination date |
Cash value: |
The amount in cash equal to the stated principal amount times the
closing price of one share of the underlying stock on the final determination date, divided by the initial stock price |
Exchange ratio: |
The stated principal amount times the stock adjustment factor, divided by the
initial stock price (subject to adjustment) |
Downside threshold level: |
$ , which is equal to 80% of the initial stock price |
Initial stock price: |
The closing price of the underlying stock on the pricing date |
Final stock price: |
The closing price of the underlying stock on the final determination date |
Stock adjustment factor: |
The stock adjustment factor is referenced in determining the closing price of the underlying
stock and is set initially at 1.0 on the pricing date. The stock adjustment factor is subject to adjustment in
the event of certain corporate events affecting the underlying stock. |
Stated principal amount: |
$10 per security |
Issue price: |
$10 per security (see “Commissions and issue price” below) |
Pricing date: |
On or about April , 2015 (expected to price on or about April 2, 2015) |
Original issue date (settlement date): |
April , 2015 (3 business days after the pricing date) |
Maturity date: |
April 5, 2018, subject to postponement in the event of certain market disruption events and
as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product
supplement no. 4a-I |
CUSIP/ISIN: |
48127T624 / US48127T6249 |
Listing: |
The securities will not be listed on any securities exchange. |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
Commissions and issue price: |
|
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
|
Per security |
|
$10 |
$0.20(2) |
$9.75 |
|
|
|
|
$0.05(3) |
|
|
Total |
|
$ |
$ |
$ |
| (1) | See
“Additional Information about the Securities — Supplemental use of proceeds
and hedging” in this document for information about the components of the price
to public of the securities. |
| (2) | JPMS,
acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions
it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth
Management”). In no event will these selling commissions exceed $0.20 per $10 stated
principal amount security. See “Plan of Distribution (Conflicts of Interest)”
beginning on page PS-87 of the accompanying product supplement no. 4a-I. |
| (3) | Reflects
a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates
of $0.05 for each $10 stated principal amount security. |
If the securities priced
today and assuming a contingent quarterly payment equal to the minimum listed above, the estimated value of the securities
as determined by JPMS would be approximately $9.603 per $10 stated principal amount security. JPMS’s estimated value of
the securities on the pricing date will be provided by JPMS in the pricing supplement and will not be less than $9.45 per $10
stated principal amount security. See “Additional Information about the Securities — JPMS’s estimated value
of the securities” in this document for additional information.
Investing in the securities
involves a number of risks. See “Risk Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-I
and “Risk Factors” beginning on page 7 of this document.
Neither the Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed
upon the accuracy or the adequacy of this document or the accompanying product supplement, prospectus supplement and prospectus.
Any representation to the contrary is a criminal offense.
The securities are not bank
deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations
of, or guaranteed by, a bank.
You should
read this document together with the related product supplement no. 4a-I, prospectus supplement and prospectus, each of which
can be accessed via the hyperlinks below. Please also see “Additional Information about the Securities” at the end
of this document.
Product
supplement no. 4a-I dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
Prospectus
supplement and prospectus, each dated November 7, 2014: http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
Investment Summary
The Contingent Income Auto-Callable Securities due April
5, 2018 Based on the Performance of the Common Stock of Amazon.com, Inc., which we refer to as the securities, provide an opportunity
for investors to earn a contingent quarterly payment, which is an amount equal to at least $0.225 (at least 2.25% of the
stated principal amount) per security, with respect to each quarterly determination date on which the closing price or the final
stock price, as applicable, is greater than or equal to 80% of the initial stock price, which we refer to as the downside threshold
level. The actual contingent quarterly payment will be provided in the pricing supplement. The contingent quarterly payment, if
any, will be payable quarterly on the relevant contingent payment date, which is the third business day after the related determination
date. It is possible that the closing price of the underlying stock could remain below the downside threshold level for extended
periods of time or even throughout the term of the securities so that you may receive few or no contingent quarterly payments.
If the closing price is greater than or equal to the initial
stock price on any determination date (other than the final determination date), the securities will be automatically redeemed
for an early redemption payment equal to the stated principal amount plus the contingent quarterly payment with respect
to the related determination date. If the securities have not previously been redeemed and the final stock price is greater than
or equal to the downside threshold level, the payment at maturity will also be the sum of the stated principal amount and the contingent
quarterly payment with respect to the final determination date. However, if the securities have not previously been redeemed and
the final stock price is less than the downside threshold level, investors will be exposed to the decline in the closing price
of the underlying stock, as compared to the initial stock price, on a 1 to 1 basis and investors will be entitled to receive (i)
the cash value or (ii) at our option, a number of shares of the underlying stock equal to the exchange ratio as of the final determination
date. The cash value (or the value of those shares) will be less than 80% of the stated principal amount of the securities and
could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal and also the risk
of receiving few or no contingent quarterly payments over the term of the securities. In addition, investors will not participate
in any appreciation of the underlying stock.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, the
underlying stock is a "Reference Stock."
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
Key Investment Rationale
The securities offer investors an opportunity to earn a
contingent quarterly payment equal to at least 2.25% of the stated principal amount with respect to each determination date on
which the closing price or the final stock price, as applicable, is greater than or equal to 80% of the initial stock price, which
we refer to as the downside threshold level. The actual contingent quarterly payment will be provided in the pricing supplement.
The securities may be redeemed prior to maturity for the stated principal amount per security plus the applicable contingent
quarterly payment, and the payment at maturity will vary depending on the final stock price, as follows:
Scenario 1 |
On any determination date (other
than the final determination date), the closing price is greater than or equal to the initial stock price.
■
The securities will be automatically redeemed for (i) the stated principal amount plus (ii) the contingent quarterly
payment with respect to the related determination date.
■
Investors will not participate in any appreciation of the underlying stock from the initial stock price. |
|
|
Scenario 2 |
The securities are not automatically
redeemed prior to maturity and the final stock price is greater than or equal to the downside threshold level.
■
The payment due at maturity will be (i) the stated principal amount plus (ii) the contingent quarterly payment with
respect to the final determination date.
■
Investors will not participate in any appreciation of the underlying stock from the initial stock price. |
|
|
Scenario 3 |
The securities are not automatically
redeemed prior to maturity and the final stock price is less than the downside threshold level.
■
The payment due at maturity will be (i) the cash value, or (ii) at our option, a number of shares of the underlying stock
equal to the exchange ratio as of the final determination date.
■
Investors will lose some, and may lose all, of their principal in this scenario. |
|
|
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
How the Securities Work
The following diagrams illustrate the potential outcomes
for the securities depending on (1) the closing price and (2) the final stock price.
Diagram #1: Determination Dates
(Other Than the Final Determination Date)
Diagram #2: Payment at Maturity
if No Automatic Early Redemption Occurs
For more information about the payment upon an early
redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 5.
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
Hypothetical Examples
The below examples are based on the following terms:
Stated principal amount: |
$10 per security |
Hypothetical initial stock price: |
$370.00 |
Hypothetical downside threshold level: |
$296.00, which is 80% of the hypothetical initial stock price |
Hypothetical exchange ratio: |
0.02703, which is the stated principal amount times the stock adjustment factor, divided by the hypothetical initial stock price |
Hypothetical stock adjustment factor: |
1.0 |
Hypothetical contingent quarterly payment: |
$0.225 (2.25% of the stated principal amount) per security |
In Examples 1 and 2, the closing price of the underlying
stock fluctuates over the term of the securities and the closing price of the underlying stock is greater than or equal to the
initial stock price on one of the first eleven determination dates. Because the closing price is greater than or equal to the initial
stock price on one of the first eleven determination dates, the securities are automatically redeemed following the relevant determination
date. In Examples 3 and 4, the closing price on the first eleven determination dates is less than the initial stock price, and,
consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.
|
Example 1 |
Example 2 |
Determination
Dates |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment |
Early
Redemption
Payment* |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment |
Early
Redemption
Payment* |
#1 |
$240.50 |
$0 |
N/A |
$351.50 |
$0.225 |
N/A |
#2 |
$370.00 |
—* |
$10.225 |
$185.00 |
$0 |
N/A |
#3 |
N/A |
N/A |
N/A |
$240.50 |
$0 |
N/A |
#4 |
N/A |
N/A |
N/A |
$259.00 |
$0 |
N/A |
#5 |
N/A |
N/A |
N/A |
$340.00 |
$0.225 |
N/A |
#6 |
N/A |
N/A |
N/A |
$333.00 |
$0.225 |
N/A |
#7 |
N/A |
N/A |
N/A |
$259.00 |
$0 |
N/A |
#8 |
N/A |
N/A |
N/A |
$351.50 |
$0.225 |
N/A |
#9 |
N/A |
N/A |
N/A |
$340.00 |
$0.225 |
N/A |
#10 |
N/A |
N/A |
N/A |
$462.50 |
—* |
$10.225 |
#11 |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
Final
Determination
Date |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
* The early redemption payment includes the unpaid contingent quarterly
payment with respect to the determination date on which the closing price is greater than or equal to the initial stock price and
the securities are redeemed as a result.
| ■ | In Example 1, the securities are automatically redeemed following the second determination date as the closing price
on the second determination date is equal to the initial stock price. As the closing price on the first determination date is less
than the downside threshold level, no contingent quarterly payment was made with respect to that date. Following the second determination
date, you receive the early redemption payment, calculated as follows: |
stated principal amount + contingent
quarterly payment = $10 + $0.225 = $10.225
In this example, the early redemption feature limits
the term of your investment to approximately 6 months and you may not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent quarterly payments.
| ■ | In Example 2, the securities are automatically redeemed following the tenth determination date as the closing price
on the tenth determination date is greater than the initial stock price. As the closing price on each of the first, fifth, sixth,
eighth and ninth determination dates is greater than the downside threshold level, you receive the contingent quarterly payment
of $0.225 with respect to each of those determination dates. Following the tenth determination date, you receive an early redemption
payment of $10.225, which includes the contingent quarterly payment with respect to the tenth determination date. |
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
In this example, the early redemption feature limits
the term of your investment to approximately 30 months and you may not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent quarterly payments. Further, although the underlying stock has
appreciated by 25% from its initial stock price on the tenth determination date, you only receive $10.225 per security upon redemption
and do not benefit from this appreciation. The total payments on the securities will amount to $11.35 per security.
|
Example 3 |
Example 4 |
Determination
Dates |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment |
Early
Redemption
Payment |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment |
Early
Redemption
Payment |
#1 |
$240.50 |
$0 |
N/A |
$166.50 |
$0 |
N/A |
#2 |
$259.00 |
$0 |
N/A |
$222.00 |
$0 |
N/A |
#3 |
$222.00 |
$0 |
N/A |
$215.00 |
$0 |
N/A |
#4 |
$204.00 |
$0 |
N/A |
$240.50 |
$0 |
N/A |
#5 |
$167.00 |
$0 |
N/A |
$259.00 |
$0 |
N/A |
#6 |
$148.00 |
$0 |
N/A |
$222.00 |
$0 |
N/A |
#7 |
$166.50 |
$0 |
N/A |
$240.50 |
$0 |
N/A |
#8 |
$204.00 |
$0 |
N/A |
$204.00 |
$0 |
N/A |
#9 |
$233.00 |
$0 |
N/A |
$166.50 |
$0 |
N/A |
#10 |
$185.00 |
$0 |
N/A |
$252.00 |
$0 |
N/A |
#11 |
$240.50 |
$0 |
N/A |
$240.50 |
$0 |
N/A |
Final
Determination
Date |
$185.00 |
$0 |
N/A |
$296.00 |
—* |
N/A |
Payment at
Maturity |
$5.00 |
$10.225 |
* The final contingent quarterly payment, if any, will be paid at
maturity.
Examples 3 and 4 illustrate the payment at maturity per
security based on the final stock price.
| ■ | In Example 3, the closing price of the underlying stock remains below the downside threshold level throughout the term
of the securities. As a result, you do not receive any contingent quarterly payment during the term of the securities and, at maturity,
you are fully exposed to the decline in the closing price of the underlying stock. As the final stock price is less than the downside
threshold level, you receive the cash value (or a number of shares of the underlying stock equal to the exchange ratio), calculated
as follows: |
the cash value = $10 × $185.00
/ $370.00 = $5.00
In this example, the cash value you receive at maturity
is significantly less than the stated principal amount. Please note, however, that the exchange ratio is less than 1.0 in this
example so that only a fraction of a share of the underlying equity would be deliverable for each security if we were to elect
to deliver shares. Because fractional shares are paid in cash, if we were to elect to deliver shares, the payment at maturity would
be made in cash representing the value of the fractional share and would not include any whole shares of the underlying stock.
| ■ | In Example 4, the closing price of the underlying stock decreases to a final stock price of $296.00. Although the final
stock price is less than the initial stock price, because the final stock price is still not less than the downside threshold level,
you receive the stated principal amount plus a contingent quarterly payment with respect to the final determination date.
Your payment at maturity is calculated as follows: |
$10 + $0.225 = $10.225
In this example, although the final stock price represents
a 20% decline from the initial stock price, you receive the stated principal amount per security plus the contingent quarterly
payment, equal to a total payment of $10.225 per security at maturity.
The hypothetical returns and hypothetical payments on the
securities shown above apply only if you hold the securities for their entire term or until early redemption. These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
Risk
Factors
The following is a non-exhaustive list of certain key
risk factors for investors in the securities. For further discussion of these and other risks, you should read the section entitled
“Risk Factors” beginning on page PS-8 of the accompanying product supplement no. 4a-I. We urge you to consult your
investment, legal, tax, accounting and other advisers in connection with your investment in the securities.
| ■ | The securities do not guarantee the return of any principal and your investment in the securities may result in a loss.
The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the payment of
regular interest or the return of any of the principal amount at maturity. Instead, if the securities have not been automatically
redeemed prior to maturity and if the final stock price is less than the downside threshold level, you will be exposed to the decline
in the closing price of the underlying stock, as compared to the initial stock price, on a 1-to-1 basis and you will receive for
each security that you hold at maturity the cash value, or at our option, a number of shares of the underlying stock equal to the
exchange ratio. The cash value (or the value of those shares) on the final determination date will be less than 80% of the stated
principal amount and could be zero. |
| ■ | The contingent quarterly payment is based solely on the closing prices on the specified determination dates. Whether
the contingent quarterly payment will be made with respect to a determination date will be based on the closing price on that determination
date or the final stock price, as applicable. As a result, you will not know whether you will receive the contingent quarterly
payment until the related determination date. Moreover, because the contingent quarterly payment is based solely on the closing
price on a specific determination date or the final stock price, as applicable, if that closing price or final stock price is less
than the downside threshold level, you will not receive any contingent quarterly payment with respect to that determination date,
even if the closing price of the underlying stock was higher on other days during the term of the securities. |
| ■ | You will not receive any contingent quarterly payment for any quarterly period where the closing price on the relevant
determination date is less than the downside threshold level. A contingent quarterly payment will be made with respect to a
quarterly period only if the closing price on the relevant determination date is greater than or equal to the downside threshold
level. If the closing price remains below the downside threshold level on each determination date over the term of the securities,
you will not receive any contingent quarterly payment. |
| ■ | The securities are subject to the credit risk of JPMorgan Chase & Co., and any actual or anticipated changes to our
credit ratings or credit spreads may adversely affect the market value of the securities. Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our credit ratings
or increase in the credit spreads determined by the market for taking our credit risk is likely to adversely affect the market
value of the securities. If we were to default on our payment obligations, you may not receive any amounts owed to you under the
securities and you could lose your entire investment. |
| ■ | Investors will not participate in any appreciation in the price of the underlying stock. Investors will not participate
in any appreciation in the price of the underlying stock from the initial stock price, and the return on the securities will be
limited to the contingent quarterly payment that is paid with respect to each determination date on which the closing price or
the final stock price, as applicable, is greater than or equal to the downside threshold level. It is possible that the closing
price of the underlying stock could be below the downside threshold level on most or all of the determination dates so that you
will receive few or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments over the term
of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security
of the issuer of comparable maturity. |
| ■ | Early redemption risk. The term of your investment in the securities may be limited to as short as approximately three
months by the automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, you will
receive no more contingent quarterly payments and may be forced to reinvest in a lower interest rate environment and may not be
able to reinvest the proceeds from an investment in the securities at a comparable return for a similar level of risk. |
| ■ | Economic interests of the issuer, the calculation agent, the agent of the offering of the securities and other affiliates
of the issuer may be different from those of investors. We and our affiliates play a variety of roles in connection with the
issuance of the securities, including acting as calculation agent and as an agent of the offering of the securities, hedging our
obligations under the securities and making the assumptions used to determine the pricing of the securities and the estimated value
of the securities, which we refer to as JPMS’s estimated value. In performing these duties, our economic interests and the
economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor
in the securities. The calculation agent will determine the initial stock price, the downside threshold level and the final stock
price and whether the closing price of the underlying stock on any determination date is greater than or equal to the initial stock
price or is below the downside threshold level. Determinations made by the calculation agent, including with respect to the occurrence
or non-occurrence of market disruption events, may affect the payment to you at maturity or whether the securities are redeemed
early. In addition, our business activities, |
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
including hedging and trading activities, could cause
our economic interests to be adverse to yours and could adversely affect any payment on the securities and the value of the securities.
It is possible that hedging or trading activities of ours or our affiliates in connection with the securities could result in substantial
returns for us or our affiliates while the value of the securities declines. Please refer to “Risk Factors — Risks
Relating to Conflicts of Interest” in the accompanying product supplement no. 4a-I for additional information about these
risks.
| ■ | JPMS’s estimated value of the securities will be lower than the original issue price (price to public) of the securities.
JPMS’s estimated value is only an estimate using several factors. The original issue price of the securities will exceed
JPMS’s estimated value because costs associated with selling, structuring and hedging the securities are included in the
original issue price of the securities. These costs include the selling commissions, the structuring fee and the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the
estimated cost of hedging our obligations under the securities. See “Additional Information about the securities —
JPMS’s estimated value of the securities” in this document. |
| ■ | JPMS’s estimated value does not represent future values of the securities and may differ from others’ estimates.
JPMS’s estimated value of the securities is determined by reference to JPMS’s internal pricing models. This estimated
value is based on market conditions and other relevant factors existing at the time of pricing and JPMS’s assumptions about
market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions could provide valuations for securities that are greater than or less than JPMS’s estimated value. In addition,
market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the securities could change significantly based on, among other things, changes in market conditions, our creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy securities
from you in secondary market transactions. See “Additional Information about the securities — JPMS’s estimated
value of the securities” in this document. |
| ■ | JPMS’s estimated value is not determined by reference to credit spreads for our conventional fixed-rate debt.
The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit
spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of the
securities as well as the higher issuance, operational and ongoing liability management costs of the securities in comparison to
those costs for our conventional fixed-rate debt. If JPMS were to use the interest rate implied by our conventional fixed-rate
credit spreads, we would expect the economic terms of the securities to be more favorable to you. In addition, JPMS’s estimated
value might be lower if it were based on the interest rate implied by our conventional fixed-rate credit spreads. Consequently,
our use of an internal funding rate would have an adverse effect on the terms of the securities and any secondary market prices
of the securities. See “Additional Information about the securities — JPMS’s estimated value of the securities”
in this document. |
| ■ | The value of the securities 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 securities for a limited time period. We generally expect that some of
the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases
of your securities by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include
selling commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs
and our secondary market credit spreads for structured debt issuances. See “Additional Information about the securities —
Secondary market prices of the securities” in this document for additional information relating to this initial period. Accordingly,
the estimated value of your securities during this initial period may be lower than the value of the securities as published by
JPMS (and which may be shown on your customer account statements). |
| ■ | Secondary market prices of the securities will likely be lower than the original issue price of the securities. Any
secondary market prices of the securities will likely be lower than the original issue price of the securities because, among other
things, secondary market prices take into account our secondary market credit spreads for structured debt issuances and, also,
because secondary market prices (a) exclude selling commissions and the structuring fee and (b) may exclude projected hedging profits,
if any, and estimated hedging costs that are included in the original issue price of the securities. As a result, the price, if
any, at which JPMS will be willing to buy securities from you in secondary market transactions, if at all, is likely to be lower
than the original issue price. Any sale by you prior to the maturity date could result in a substantial loss to you. See the immediately
following risk factor for information about additional factors that will impact any secondary market prices of the securities. |
The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold
your securities to maturity. See “— Secondary trading may be limited” below.
| ■ | Secondary market prices of the securities will be impacted by many economic and market factors. The secondary
market price of the securities during their term will be impacted by a number of economic and market factors, which may either
offset or magnify each other, aside from the selling commissions, structuring fee, projected hedging profits, if any, estimated
hedging costs and the closing price of one share of the underlying stock, including |
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
| o | any actual or potential change in our creditworthiness
or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | secondary market credit spreads for structured debt
issuances; |
| o | the actual and expected volatility in the prices of
the underlying stock; |
| o | the time to maturity of the securities; |
| o | whether the closing price of one share of the underlying
stock has been, or is expected to be, less than the downside threshold level on any determination date and whether the final stock
price is expected to be less than the downside threshold level; |
| o | the likelihood of an early redemption being triggered; |
| o | the dividend rate on the underlying stock; |
| o | interest and yield rates in the market generally; |
| o | the occurrence of certain events affecting the issuer
of the underlying stock that may or may not require an adjustment to the stock adjustment factor, including a merger or acquisition;
and |
| o | a variety of other economic, financial, political,
regulatory and judicial events. |
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the securities, which
may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the securities,
if any, at which JPMS may be willing to purchase your securities in the secondary market.
| ■ | Investing in the securities is not equivalent to investing in the shares of Amazon.com, Inc. Investors in the securities
will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the underlying
stock. |
| ■ | No affiliation with Amazon.com, Inc. Amazon.com, Inc. is not an affiliate of ours, is not involved with this offering
in any way, and has no obligation to consider your interests in taking any corporate actions that might affect the value of the
securities. We have not made any due diligence inquiry with respect to Amazon.com, Inc. in connection with this offering. |
| ■ | We may engage in business with or involving Amazon.com, Inc. without regard to your interests. We or our affiliates
may presently or from time to time engage in business with Amazon.com, Inc. without regard to your interests and thus may acquire
non-public information about Amazon.com, Inc. Neither we nor any of our affiliates undertakes to disclose any such information
to you. In addition, we or our affiliates from time to time have published and in the future may publish research reports with
respect to Amazon.com, Inc., which may or may not recommend that investors buy or hold the underlying stock. |
| ■ | The anti-dilution protection for the underlying stock is limited and may be discretionary. The calculation agent will
make adjustments to the stock adjustment factor and other adjustments for certain corporate events affecting the underlying stock.
However, the calculation agent will not make an adjustment in response to all events that could affect the underlying stock. If
an event occurs that does not require the calculation agent to make an adjustment, the value of the securities may be materially
and adversely affected. You should also be aware that the calculation agent may make adjustments in response to events that are
not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent
is under no obligation to do so or to consider your interests as a holder of the securities in making these determinations. |
| ■ | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities.The
hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the securities
on or prior to the pricing date and prior to maturity could adversely affect the value of the underlying stock. Any of these hedging
or trading activities on or prior to the pricing date could potentially affect the initial stock price and, as a result, the downside
threshold level, which is the price at or above which the underlying stock must close on each determination date in order for you
to earn a contingent quarterly payment or, if the securities are not called prior to maturity, in order for you to avoid being
exposed to the negative price performance of the underlying stock at maturity. Additionally, these hedging or trading activities
during the term of the securities could potentially affect the price of the underlying stock on the determination dates and, accordingly,
whether the securities are automatically called prior to maturity and, if the securities are not called prior to maturity, the
payment to you at maturity. It is possible that these hedging or trading activities could result in substantial returns for us
or our affiliates while the value of the securities declines. |
| ■ | Secondary trading may be limited. The securities will not be listed on a securities exchange. There may be little or
no secondary market for the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to
trade or sell the securities easily. JPMS may act as a market maker for the securities, but is not required to do so. |
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
Because we do not expect that other market makers will
participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities
is likely to depend on the price, if any, at which JPMS is willing to buy the securities. If at any time JPMS or another agent
does not act as a market maker, it is likely that there would be little or no secondary market for the securities.
| ■ | The final terms and valuation of the securities will be provided in the pricing supplement. The final terms of the securities
will be provided in the pricing supplement. In particular, each of JPMS’s estimated value and the contingent quarterly payment
will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this document.
Accordingly, you should consider your potential investment in the securities based on the minimums for JPMS’s estimated value
and the contingent quarterly payment. |
| ■ | The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal
authority as to the proper U.S. federal income tax treatment of the securities, and we do not intend to request a ruling from the
IRS. The IRS might not accept, and a court might not uphold, the treatment of the securities as prepaid forward contracts with
associated contingent coupons, as described in “Additional Information about the Securities — Additional Provisions
— Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement no. 4a-I. If the IRS were successful in asserting an alternative treatment for the securities, the timing and
character of any income or loss on the securities could be materially affected. Although the U.S. federal income tax treatment
of contingent quarterly payments (including any contingent quarterly payments paid in connection with an early redemption or at
maturity) is uncertain, in determining our reporting responsibilities we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat any contingent quarterly payments as ordinary income. In addition, in 2007 Treasury
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment
in the securities, possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement no. 4a-I and consult your tax adviser regarding the U.S.
federal income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented
by this notice. |
Non-U.S. Holders ––Tax Consideration. The U.S. federal income tax treatment of contingent quarterly payments
is uncertain, and although we believe it is reasonable to take a position that contingent quarterly payments are not subject to
U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments
(generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income
from your securities is effectively connected with your conduct of a trade or business in the United States (and, if an applicable
treaty so requires, attributable to a permanent establishment in the United States). In the event of any withholding, we will not
be required to pay any additional amounts with respect to amounts so withheld. If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities in light of your
particular circumstances.
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
Amazon.com, Inc. Overview
Amazon.com operates retail websites and offers programs
that enable third parties to sell products on their websites. The underlying stock is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by Amazon.com, Inc. pursuant
to the Exchange Act can be located by reference to the SEC file number 000-22513 through the SEC’s website at www.sec.gov.
In addition, information regarding Amazon.com, Inc. may be obtained from other sources including, but not limited to, press releases,
newspaper articles and other publicly disseminated documents.
Information as of market close on March 26, 2015:
|
Bloomberg Ticker Symbol: |
AMZN |
52 Week High (on 3/5/2015): |
$387.83 |
|
|
Current Share Price: |
$367.35 |
52 Week Low (on 1/15/2015): |
$286.95 |
|
|
52 Weeks Ago (on 3/26/2014): |
$343.41 |
|
|
|
The table below sets forth the published high and low closing
prices of, as well as dividends on, the underlying stock for each quarter in the period from January 4, 2010 through March 26,
2015. The closing price of the underlying stock on March 26, 2015 was $367.35. The associated graph shows the closing prices of
the underlying stock for each day in the same period. We obtained the information in the table and graph below from the Bloomberg
Professional® service ("Bloomberg"), without independent verification. The closing prices may have been
adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings
and bankruptcy.
Since its inception, the closing price of the underlying
stock has experienced significant fluctuations. The historical performance of the underlying stock should not be taken as an indication
of its future performance, and no assurance can be given as to the price of the underlying stock at any time, including on the
determination dates.
Common Stock of Amazon.com, Inc.
(CUSIP: 023135106) |
High |
Low |
Dividends |
2010 |
|
|
|
First Quarter |
$136.55 |
$116.00 |
— |
Second Quarter |
$150.09 |
$108.61 |
— |
Third Quarter |
$160.73 |
$109.14 |
— |
Fourth Quarter |
$184.76 |
$153.03 |
— |
2011 |
|
|
|
First Quarter |
$191.25 |
$160.97 |
— |
Second Quarter |
$206.07 |
$178.34 |
— |
Third Quarter |
$241.69 |
$177.79 |
— |
Fourth Quarter |
$246.71 |
$173.10 |
— |
2012 |
|
|
|
First Quarter |
$205.44 |
$175.93 |
— |
Second Quarter |
$231.90 |
$185.50 |
— |
Third Quarter |
$261.68 |
$215.36 |
— |
Fourth Quarter |
$261.50 |
$220.64 |
— |
2013 |
|
|
|
First Quarter |
$283.99 |
$253.39 |
— |
Second Quarter |
$281.76 |
$248.23 |
— |
Third Quarter |
$318.12 |
$280.93 |
— |
Fourth Quarter |
$404.39 |
$298.23 |
— |
2014 |
|
|
|
First Quarter |
$407.05 |
$336.52 |
— |
Second Quarter |
$342.99 |
$288.32 |
— |
Third Quarter |
$360.84 |
$307.06 |
— |
Fourth Quarter |
$338.64 |
$287.06 |
— |
2015 |
|
|
|
First Quarter (through March 26, 2015) |
$387.83 |
$286.95 |
— |
We make no representation as to the amount of dividends,
if any, that Amazon.com, Inc. may pay in the future. In any event, as an investor in the securities, you will not be entitled to
receive dividends, if any, that may be payable on the common stock of Amazon.com, Inc.
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
The Common
Stock of Amazon.com, Inc. - Daily Closing Prices*
January 4,
2010 to March 26, 2015 |
Source: Bloomberg
|
*The dotted line in the graph indicates the hypothetical downside threshold level, equal to 80% of the closing price on March 25, 2015.The actual downside threshold level will be based on the closing price on the pricing date. |
This document relates only to the securities offered
hereby and does not relate to the underlying stock or other securities of Amazon.com, Inc. We have derived all disclosures contained
in this document regarding the common stock of Amazon.com, Inc. stock from the publicly available documents described in the first
paragraph, under this "Amazon.com, Inc. Overview," without independent verification. In connection with the offering
of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry
with respect to Amazon.com, Inc. Neither we nor the agent makes any representation that such publicly available documents or any
other publicly available information regarding Amazon.com, Inc. is accurate or complete. Furthermore, we cannot give any assurance
that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly
available documents described in the first paragraph under this "Amazon.com, Inc. Overview") that would affect the trading
price of the underlying stock (and therefore the price of the underlying stock at the time we price the securities) have been publicly
disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning
Amazon.com, Inc. could affect the value received at maturity with respect to the securities and therefore the trading prices of
the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying stock.
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
Additional Information about the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Provisions |
|
Record date: |
The record date for each contingent payment date is the date one business day prior to that contingent payment date. |
No fractional shares: |
At maturity, if we elect to make our payment in shares of the underlying stock, we will deliver the number of shares of the underlying stock due with respect to the securities, as described above, but we will pay cash in lieu of delivering any fractional share of the underlying stock in an amount equal to the corresponding fractional closing price of such fraction of a share of the underlying stock, as determined by the calculation agent as of the final determination date. |
Postponement of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled final determination date is not a trading day or if a market disruption event occurs on that day so that the final determination date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day following that final determination date as postponed. |
Minimum ticketing size: |
$1,000/100 securities |
Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
Calculation agent: |
JPMS |
JPMS’s estimated value
of
the securities: |
JPMS’s estimated value of the securities set
forth on the cover of this document is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the securities, valued using our internal funding rate for structured debt described below,
and (2) the derivative or derivatives underlying the economic terms of the securities. JPMS’s estimated value does not represent
a minimum price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The
internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit
spreads for our conventional fixed-rate debt. For additional information, see “Risk Factors — JPMS’s estimated
value is not determined by reference to credit spreads for our conventional fixed-rate debt.” The value of the derivative
or derivatives underlying the economic terms of the securities is derived from JPMS’s internal pricing models. These models
are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some
of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as
assumptions about future market events and/or environments. Accordingly, JPMS’s estimated value of the securities on the
pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See “Risk Factors
— JPMS’s estimated value does not represent future values of the securities and may differ from others’ estimates.”
JPMS’s estimated value of the securities will
be lower than the original issue price of the securities because costs associated with selling, structuring and hedging the securities
are included in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under
the securities. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging
may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will
retain any profits realized in hedging our obligations under the securities. See “Risk Factors — JPMS’s estimated
value of the securities will be lower than the original issue price (price to public) of the securities” in this document. |
Secondary market prices
of the securities: |
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by JPMS. See “Risk Factors — The value of the securities 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 securities for a limited time period.” |
Tax considerations: |
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4a-I. In determining our
reporting responsibilities we intend to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts
with associated contingent coupons and (ii) any contingent quarterly payments as ordinary income, as described in the section
entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as
Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product |
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
|
supplement no. 4a-I. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other
reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the securities
could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal
income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether
to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative
treatments and the issues presented by this notice.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable
to take a position that contingent quarterly payments are not subject to U.S. withholding tax (at least if an applicable Form W-8
is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your securities is effectively connected with
your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent
establishment in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the securities in light of your particular circumstances.
FATCA. Withholding under legislation commonly
referred to as “FATCA” could apply to payments on the securities, and (if they are recharacterized, in whole or in
part, as debt instruments) could also apply to the payment of gross proceeds of a sale of a security occurring after December 31,
2016 (including an early redemption or redemption at maturity). You should consult your tax adviser regarding the potential application
of FATCA to the securities.
In the event of any withholding on the securities,
we will not be required to pay any additional amounts with respect to amounts so withheld. |
Supplemental use of
proceeds and hedging: |
The securities are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the securities. See “How the Securities
Work” in this document for an illustration of the risk-return profile of the securities and “Amazon.com, Inc. Overview”
in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal
to JPMS’s estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities. |
Benefit plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement no. 4a-I |
Supplemental plan of distribution: |
Subject to regulatory constraints, JPMS intends
to use its reasonable efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS,
acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions it receives from us to Morgan Stanley Wealth
Management. In addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document
for each security.
We or our affiliate may enter into swap agreements
or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the
securities and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge
transactions. See “— Supplemental use of proceeds and hedging” above and “Supplemental use of Proceeds
and Hedging” on page PS-42 of the accompanying product supplement no. 4a-I. |
Contact: |
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326). |
Where you can find more information: |
JPMorgan Chase & Co. has filed a registration
statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should
read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase &
Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents
without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer
participating in this offering will arrange to send you the prospectus, the prospectus supplement, product supplement no. 4a-I
and this communication if you so request by calling toll-free (800)-869-3326.
You may revoke your offer to purchase the securities
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change
the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms
of the securities, we will notify you and you will be asked to accept such changes in connection with your purchase. You may |
Contingent Income Auto-Callable Securities
due April 5, 2018
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities |
|
also choose to reject such changes in which case
we may reject your offer to purchase.
You should read this document together with the
prospectus, as supplemented by the prospectus supplement, each dated November 7, 2014 relating to our Series E medium-term notes
of which these securities are a part, and the more detailed information contained in product supplement no. 4a-I dated November
7, 2014.
This document, together with the documents listed
below, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other
written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among
other things, the matters set forth in “Risk Factors” in the accompanying product supplement no. 4a-I, as the securities
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the securities.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
●
Product supplement no. 4a-I dated November 7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008407/e61359_424b2.pdf
●
Prospectus supplement and prospectus, each dated November 7, 2014:
http://www.sec.gov/Archives/edgar/data/19617/000089109214008397/e61348_424b2.pdf
Our Central Index Key, or CIK, on the SEC website
is 19617.
As used in this document, "we,” “us,”
and “our” refer to JPMorgan Chase & Co. |
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