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The Capital Strength TR Index
[] The Capital Strength TR Index aims to provide exposure to well capitalized
companies with strong market positions.
[] The Capital Strength TR Index is an equal-dollar weighted index and is
composed of 50 U. S. securities selected objectively based on cash on hand,
debt ratios and volatility that meet the following criteria:
[] be a member of NASDAQ US Benchmark Index (NQUSB);
[] have a minimum three-month average daily dollar trading volume of $5
million;
[] must be in the top 500 securities by float adjusted market capitalization
after meeting the above criteria;
[] have at least $1 billion in cash or short term investments;
[] have a long-term debt to market capitalization ratio that is less than 30%;
[] have a return on equity that is greater than 15%;
[] may not be issued by an issuer currently in bankruptcy proceedings; and
[] may not have entered into a definitive agreement or other arrangement which would
likely result in the security no longer being eligible for inclusion in the
Capital Strength TR Index.
The PIMCO Total Return Exchange Traded Fund
[] An actively managed fund that does not seek to track the performance of an
index
[] Invests primarily in investment-grade debt securities
Selected Risks
[] JPMS, the index calculation agent, may adjust the Index in a way that
affects its level, and JPMS has no obligation to consider your interests.
[] The Index may not be successful, outperform any alternative strategy that
might be employed in respect of the Target Constituents or achieve its target
volatility.
[] The level of the Index will include the deduction of a fee and a borrowing cost.
[] The daily adjustment of the exposures of the Index to its Target
Constituents will vary, and may be partially uninvested in its Target
Constituents
[] By reducing its exposure to its Equity Constituent, the Index
may significantly underperform its Equity Constituent.
[] The exposure of the Index to its Bond Constituent may be greater, perhaps
significantly greater, than its exposure to its Equity Constituent.
[] The Index may have significant exposure to its Cash Constituent.
[] The returns of the Target Constituents may offset each other or may become
correlated in decline.
[] The Index is subject to significant risks associated with fixed-income
securities, including interest rate-related risks and credit risk.
[] The Index is subject to the negative impact of an interest deduction.
[] The Index comprises notional assets and liabilities.
[] The Index and its Target Constituents each have a limited operating history
and may perform in unanticipated ways.
[] The Index is subject to market risks.
[] The investment strategy used to construct the Index involves daily
adjustments to its synthetic exposure to its Target Constituents.
[] The Capital Strength TR Index is subject to the risk relating to its selection
methodology.
[] The PIMCO Total Return Exchange Traded Fund is an actively managed fund and
is subject to different risks than passively managed funds.
Disclaimer
This material has been prepared solely for informational purposes. Nothing in
this material or any other communications related thereto should be deemed to
or be construed as creating a "fiduciary relationship". During the course of
normal business, JPMorgan Chase and Co. and its affiliates ("J.P. Morgan") may
enter into or promote, offer or sell transactions or investments linked to the
Index, or any of the fixed income securities referenced in the Index. J.P.
Morgan will not have any duty to consider the circumstances of any person when
participating in such transactions or to conduct themselves in a manner that is
favorable to anyone with exposure to the Index. Persons interested in the Index
should refer to the official Index Rules, when available, for a complete
description of the rules and methodology for the Index. Opinions expressed
herein may differ from the opinions expressed by other areas of J.P. Morgan,
including research. The simulated data presented herein was constructed using
certain procedures that may be different from the procedures used to calculate
the closing levels of the Index, and on the basis of certain assumptions that
may not hold in future periods. The differences in procedures used in producing
simulated data from those used to calculate the closing levels of the Index
could produce differences in returns in terms of both direction and amount.
Hypothetical and historical performance results are neither indicative nor a
guarantee of future returns. Actual results will vary, potentially materially,
from the hypothetical and historical performance described herein. There is no
guarantee that the Index will outperform any alternative investment strategy,
including the S&P 500([R]) Index or the Barclays US Aggregate Bond Index. Past
performance is not indicative of future results. No one may reproduce or
disseminate the information contained in this document without the prior
written consent of J.P. Morgan. Additional information is available upon
request. Clients should contact their J.P. Morgan representative in, and
execute transactions through, their home jurisdiction unless governing law
permits otherwise.
SEC Legend: JPMorgan Chase & Co. has filed a registration statement (including
a prospectus) with the SEC for any offering to which these materials relate.
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 Web site at www.sec.gov. Alternatively, JPMorgan Chase & Co.,
any agent or any dealer participating in the this offering will arrange to send
you the prospectus and the prospectus supplement as well as any product
supplement and term sheet if you so request by calling toll-free
1-866-535-9248.
Past performance, and especially hypothetical back-tested performance, is not
indicative of future results. Actual performance may vary significantly from
past performance or any hypothetical back-tested performance. This type of
information has inherent limitations and you should carefully consider these
limitations before placing reliance on such information.
Copyright 2014 JPMorgan Chase & Co. All rights reserved. The presentation was
developed, compiled, prepared and arranged by JPMorgan through the expenditure
of substantial time, effort and money and constitutes valuable intellectual
property and trade secrets of JPMorgan. All right, title, and interest in and
to the presentation is vested in JPMorgan and the presentation cannot be used
without JPMorgan's prior written consent.
The information contained in this presentation has been distributed to you on a
stand-alone basis and is not to be combined with, consolidated, incorporated or
otherwise used with any other written materials provided by JPMorgan.
IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not
provide tax advice. Accordingly, any discussion of U.S. tax matters contained
herein (including any attachments) is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendation
by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters
addressed herein or for the purpose of avoiding U.S. tax-related penalties.
Investment suitability must be determined individually for each investor, and
the financial instruments described herein may not be suitable for all
investors. The products described herein should generally be held to maturity
as early unwinds could result in lower than anticipated returns. This
information is not intended to provide and should not be relied upon as
providing accounting, legal, regulatory or tax advice. Investors should consult
with their own advisors as to these matters.
This material is not a product of JPMorgan Research Departments. Structured
Investments may involve a high degree of risk, and may be appropriate
investments only for sophisticated investors who are capable of understanding
and assuming the risks involved. JPMorgan and its affiliates may have positions
(long or short), effect transactions or make markets in securities or financial
instruments mentioned herein (or options with respect thereto), or provide
advice or loans to, or participate in the underwriting or restructuring of the
obligations of, issuers mentioned herein. JPMorgan is the marketing name for
JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P.
Morgan Securities LLC is a member of FINRA, NYSE and SIPC. Clients should
contact their salespersons at, and execute transactions through, a JPMorgan
entity qualified in their home jurisdiction unless governing law permits
otherwise.
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