Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated June 9, 2015
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J. P. Morganlnvestable Indices Home _. Indices _. Index Summary Summary [GRAPHIC OMITTED] J.P. Morgan TargetTracker: European Equities 2o(8 (EUR) Index: Jun 09 2014 to Jun 07 2015 1 |
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Index Level Data
---------------- -----------
Level Date
------- -------- -----------
current 106.48 08-Jun-2015
High 118.99 13-Apr-2015
Low 92.74 16-0ct -2014
start 112.79 09-Jun-2014
End 107.84 05-Jun-2015
Risk Measures
================ =======
Volatility 20.55%
sharpe Ratio -0.22
Maximum Drawdown -18.24%
Return statistics
====================== ======
Annualized Return -4.44%
Average Monthly Return -0.26%
Return
==================== =======
Daily Return -1.35%
Month to Date Return -1.76%
Year To Date Return 8.02%
3 Month Return []3.44%
1 Year Return []3.88%
3 Year Return 41.93%
5 Year Return 9.21%
Monthly Return (%)
------------------ ---- ---- ----- ----- ----- ----- ---- ---- ----- ---- ---- -----
Jan Feb Mar Apr May Jun Jul Aug Sep oct Nov Dec Year
-------- --------- ---- ---- ----- ----- ----- ----- ---- ---- ----- ---- ---- -----
2014 -1.22 -5.54 2.51 1.62 -6.63 4.59 -4.1 -2.77
2015 4.26 6.71 2.92 -2.76 -1.24 -3 6.66
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Footnotes (1) Calculation descriptions The first twelve columns under "Monthly Return (%)' above reflect the performance of the index from the first trading day of the month displayed to the last trading day of that month. The final column reflects the performance of the index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that 1he Index will achieve the monthly and annual returns displayed in the future. Past performance is not indicative of future returns. [][] [] As of !he date shown above, the index was calculated based on a level for such index equal to 100 on the date specified at the "Selected Start Date' .. Index level Data Current; Current refers to the closing level of the index as of the trading day immediately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during the time period selected, with the date on which such highest closing level occurs indicated under the ' Date" column next to the H1gh level. The High l evel may be a hypothe!ical, historical level and not an actual level of the Index. There is no guarantee that the Index will achieve the High level in the future. low: low refers to the lowest closing level of the index during the time period selected, with the date on which such lowest closing level occurs indicated under the ' Date" column next to the Low level. The Low level may be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future, decline below the Low Level displayed on this website. Start: Start refers to the closing level of the index on the first trading day of the time period indicated. End: End refers to the closing level of the index on the last trading day of the time period indicated. Risk Measures Volatility: Volatility refers to the standard deviation of the daily logarithmic returns of the index over the time period specified and annualized. Volatility is a widely used measure to express the risk of the financial instrument ever the specified time period. Compared 10 conventional arithmetic rew rn calculations. logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calculations include hypothetical, historical back-tested information that has inherent limi1ations. No representation is made that in the future !he Index will have the Volatility shown. Actual annualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. 3 |
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Sharpe Ratio: The Sharpe Ratio is a measure that aims to :apture the potential return of an index per unit of risk. For a given index and a specified time period. it is calculated by dividing the Annualized Return for the specified time period by the Volatility for the specified tim period. The Sharpe Ratio calculation may contain components with hypothetical. historical back[]tested information that have inherent limitations. No representation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Return and the Volatility and, accordingly, the Sharpe Ratio, may vary materially from the analysis impli ed in any hypothetical, historical calculation. Max.imum Drawdown: Maximum Drawdown is the percentage change in the index from the highest value reached over the specified time period to the lowest value reached over the specified time period. The Maximum Drawdown may be based on hypothetical, historical Index levels and not actual Index levels. The Maximum Drawdown could, in the future. be larger than the Maimum Drawdown displayed above. Embedded Index Fee: The levels of the Index may be reduced by an adjustment factor which may have a considerable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the percentage change in the index from the first day of the specified time period to the last day of the spe:ified time period and annualized. The Annualized Return may be based en hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Annualized Return in the future. Past performance is not indicative oi furure returns. Average Monthly Return: Average Monthly Return is the arithmetic average of the Monthly Returns for each full calendar month during the specified time period. For a given monthly period the Monthly Re:urn IS the percentage change in the index during the monthly period. The Average Monthly Return may be based on hypothetical, historical Index levels and not actuallrdex levels. There is no guarantee that the Index wifl achieve the Average Monthly Return in the future. Past performance is not indicative of future returns. Return Daily Return: The Daily Return is the return of the Index f[]om the trading day immediately preceding the specified end date to the specified end date. provided thai 1f the specified end date is today's date or not a tradi ng day. the Daily Return is the return of the Index from the trading day that is two trading days immedia:ely preceding the specified end date to the trading day Immediately preceding the specified end dare. The Daily Return may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the Daily Return in the future. Past performance is not indicative of future returns. Month to Date Return: The Month to Date Return is the return of the Index from the last trading day of the month that occurs prior to the specified end date to the specified end date, provided that if the specified end date is roday's date or nm a tradi ng day, to the trading day immediately preceding the specified end date. The Month to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Month to Date Return in the future. Past performance is not indicative of future returns. Year to Date Return: The Year to Date Return is the return of the Index from the last trading day of the year that occurs prior to the specified end date to the speciiied end date, provided that if the specified end date is today's date or not a u ading day, to the trading day immediately preceding the specified end date. The Year to Date Return may be based on hypothetical, histoncal lndex levels and not actual Index levels. There is no guarantee that the Index will achieve 1he Year to Date Return in the future. Past performance is not indicative of future returns. 3 Month Return: The 3 Month Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring three months prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The 3 Month Remrn may be based on hypothetical, histoncal lndex levels and not actual index levels. There is no guarantee that the Index will achieve the 3 Month Return in the fumre. Past performance is not indicative of future rew rns. 4 |
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1 Year Return:
The I Year Return is the trailing return of the Index from the trading day tha:
occurs on or immediately prececing the date occurring one year prior to the
specified end date to the specified end date, provided that if the specified
end date is today's date or not a trading day, to the trading day immediately
preceding the specified end date. The I Year Return may be based on
hypothetical, historical Index levels and not actual Index levels. There is no
guarantee that !he lnde). will achieve the I Year Return in the future. Past
performance IS not ind1cative of future returns.
3 Year Return:
The 3 Year Return is the trail ing return of Index from the trading day that
occurs on or immediately preedingthe date occurring three years prior to the
specified end date to the specified end date, provided that if the specified
end date is today?s date or not a trading day, to the trading day immediately
preceding the specified end dateland is not annualized]. The 3 Year Return may
be based on hypothetical, histor ical Index levels and not actual Index levels.
There is no guarantee tha! the Index will achieve the 3 Year Return in the
future. Past performance is not indicative of future returns.
5Y Return:
The 5 Year Return is the ifailing return of the Index from the trading day :hat
occurs on or rmmediately preceding the date occurring five years prior to the
specified end date to the specified end date, provided that if the
specified end date is today's date or not a uading day, to the trading day
Immediately preceding !he specified end date, and is not annualized. The 5 Year
Return may be based on hypothetical, historical Index levels and
IIUt dLtUctl lllliX lvb. Till:'! I:' b 110 l5Ud l ctlll1:'1:' Llld t lht' l
llc.li:'X wilf cllhit)Vt' l h t) 5 YedJ RI:'LUI II ill l ht' fu!UII:'. Pcl!ll p
l:'l rull lldiiLI:' h. IIUl incJiLclliVt' ur ru LUI ::' II:' lUI II.
(2) Short Summary of the Risks
(3) General Disclaimers
For certificates of deposit: The information contained on this Website is for
discussion purposes only. Any information relating to performance contained in
these materials is illustrative and no assurance is given that any indicative
returns, performance or rsults, whether historical or hypothetical, will be
achieved. These terms are subject to change, and JPMorgan undertakes no duty to
update this information. This information shall be
amended. superseded and replaced in its entirety by a subsequent term sheer,
disclosure supplement and/or private placement memorandum. and the documents
referred to therein. In the event any inconsistency between the information
presented herein and any such term sheet, disclosure supplement and/ or private
placement memorandum, such term sheet, disclosure supplement and/or private
placement memorandum shall govern.
Investments in prod ucts linked to an Index require investors to assess several
characteristics and risk factors that may not be present in other types of
transactions. In reaching a deter mination as to the appropriateness of any
proposed transaction, clients should undenake a thorough independent review of
the legal, regulatory, credit, tax, accounting and economic consequences of
such transaction in relation to their particular circumstances. This website
contains market data from various sources other than us and our affiliates,
and, accordingly, we make no representation or warranty as to the market data's
accuracy or completeness. All information is subject to change without notice.
SEC lEGEND
JPMorgan Chase and Co. ("J.P. Morgan') has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offering of securities to which these materials relate. Before
you invest in any offering of securities by J.P. Morgan, you should read the
prospectus in that registration statement and the other documerts relating to
the offering that J.P. Morgan files with the SEC for more complete information
about J.l'. Morgan and the offering of securities. You may get these documents
Without cost by visiting tUl)AI( on the )tl Website at /Mw.sec.gov.
Alternatively, J.l'. Morgan, any agent, or any dealer par ticipating in the
particular offering will arrange to send you the prospectus and the prospecms
supplement as well as any product supplement, underlying supplement and term
sheet or pricing supplement, if you so request by calling toll[]free
866[]535-9248.
Use of Simulated Returns
Back[]testing and other statistical amlysis material that is provided in
connection with the explanations of rhe potential returns of the products
linked to the Index use simulated analysis and hypothetical circumstances 10
estimate how it may have performed prior to its actual existence. The results
obtamed from such []back[]testing" information should not be considered
indicative of the actual results !hat might be obtained from an investment or
participation in a fina1cial instrument or transaction referencing the Index.
J.P. Morgan provides no assurance or guarantee that the produces linked to the
Index will operate or would have operated in the past in a manner consistent
with these materials. The hypothetical, back[]tested, historical levels
presented herein have not been verified by an independent third party, and such
hypothetical, back[]tested, historical levels have inherent limitations.
Alternative simulations, techniques, modeling or assumprrons might produce
sigmficantly different results and prove to te more appropriate. Hypothetical
back[]tested results are neither an indicator nor guarantee of future re:urns.
Actual results will vary, perhaps materially, from rhe simulated returns
presented in this website.
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IRS Circular 230 Disclosure We and our affiliates do not provide tax advice. Accordingly. any discussion of U.S. tax matters contained herein is not intended or written to be used. and cannot be used. in connection with the promorion, marketing or recommendation by anyone unaffiliated with J.P. Morgan of any of the matters address herein or for the purpose of avoiding U.S. tax[]related penalties. Investment suitability musu be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. This information is not intended ro provide and should not be relied upon as prov1diog accounting, legal. regu latory or tax advice. Investors should consult with their own advisors as to these matters. Copyright I) 2015 JPMorgan Chase and Co. All Rights Reserved 6 |
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J. P. Morganl nvestable Indices Home _. Indices _. Index Summary [GRAPHIC OMITTED] 7 |
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Index Level Data
---------------- -----------
Level Date
------- -------- -----------
Current 739.57 05-Jun-2015
High 762.08 21-May-2015
Low 667 15-0ct-2014
Start 715.89 09-Jun-2014
End 739.57 05-Jun-2015
Risk Measures
========================= ========
Volatility 17.62%
(b
Sharpe Ratio 0.19
Maximum Drawdown []10.99%
Return Statistics
====================== =====
Annualized Return 3.35%
Average Monthly Return 0.3%
Return
==================== ======
Daily Return -0.25%
Month to Date Return -1.19%
Year To Date Return 0.68%
3 Month Return 0.88%
1Year Return 3.44%
3 Year Return 62.73%
5 Year Return 85.87%
Monthly Return (%)
------------------ ---- ------ ---- ---- ----- ---- ---- ------ ---- ---- ----- ----
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
-------- --------- ---- ------ ---- ---- ----- ---- ---- ------ ---- ---- ----- ----
2014 3.07 -3.1 6.18 []2.96 0.56 2.73 -1.39 8.75
2015 -3.88 6.28 []2.73 0.97 1.57 -1.19 0.68
---- ---- ------ ---- ---- -----
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Footnotes (l) Calculation descriptions The first twelve columns under 'Monthly Return(%)' above reflect the performance of the index from the first trad ing day of the month displayed to the last trading day of that month. The final column reflects the performance of the index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the monthly and annual returns displayed in the future. Past performance is not indicative of future returns. [][] [] As of the date shown above, the index was calculated based on a level for such index equal to 100 on the date specified at the "Selected Start Date". Index l evel Data Current: Current refers to the closing level of the index as of the trading day immed iately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during the time period selected, with the date on which such highest closing level occurs indicated under the ' Date" column next to the High level. The High level may be a hypothetical, historical level and not an actual level of the Index. There is no guar antee that the Index will achieve the High level in the future. l ow: low refers to the lowest closing level of the index during the time period selected, with the date on which such lowest closing level occurs indicated under the ' Date" column next to the low level. The Low l evel may be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future, decline below the Low level displayed on this website. Start: Start refers to the closing level of the index on the first trading day of the time period indicated. End: End refers to the closing level of the index on the last trading day of the t ime period indicated. Risk Measures Volatility: Volatility refers to the standard deviation of the daily logarithmic returns of the index over the tim e period specified and annualized. Volatility is a widely used measure to express the risk of the financial instrument over the specified time period. Compared to conventional ar ithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calculations include hypothetical, historical back-tested information that has inherent limitations. No representation is made that in the future the Index will have the Volatility shown. Actual ann ualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. 9 |
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Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential return of an index per unit of risk. For a given index and a specified ti me period, it is calculated by dividing the Annualized Retu rn for the specified time period by the Volatility for the specified ti me period. The Sharpe Ratio calculation may contain components with hypothetical, historical back-tested information that have inherent limitations. No representation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Return and the Volatility and, accordingly, the Sharpe Ratio, may vary materially from the analysis impl ied in any hypothetical, historical calculation. Maximum Drawdown.: Maximum Drawdown is the percentage change in the index from the highest value reached over the specified time period to the lowest value reached over the specified time period. The Maximum Drawdown may be based on hypothetical, historical Index levels and not actual Index levels. The Maximum Drawdown could, in the future, be larger than the Maximum Drawdown displayed above. Embedded Index Fee: The levels of the Index may be reduced by an adjustment factor which may have a considerable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the percentage change in the index from the fi rst day of the specified time period to the last day of the specified ti me period and an nualized. The Annualized Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Annualized Return in the future. Past performance is not ind icative of future returns. Average Monthly Return: Average Monthly Return is the arithmetic average of the Monthly Returns for each full calendar month during the specified time period. For a given monthly period the Monthly Return is the percentage change in the index during the monthly period. The Average Monthly Retu rn may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Average Monthly Return in the future. Past performance is not indicative of future returns. Return Daily Return: The Daily Return is the return of the Index from the trading day immediately precedi ng the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, the Daily Return is the return of the Index from the trading day that is two trading days immed iately preceding the specified end date to the tradi ng day immediately preceding the specified end date. The Daily Return may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the Daily Return in the future. Past performance is not indicative of future returns. Month to Date Return: The Month to Date Return is the return of the Index from the last tradi ng day of the month that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a tradi ng day, to the trad ing day immediately preceding the specified end date. The Month to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Month to Date Return in the future. Past performance is not indicative of futu re returns. Year to Date Return: The Year to Date Return is the return of the Index from the last trading day of the year t hat occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the tradi ng day immediately preceding the specified end date. The Year to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Year to Date Retu rn in the future. Past performance is not indicative of future returns. 3 Month Return: The 3 Month Return is the trailing return of the Index from the trading day that occurs o n or immediately preceding the date occurring three months prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The 3 Month Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guar antee that the Index will achieve the 3 Month Return in the future. Past performance is not indicative of future returns. 10 |
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1 Year Return:
The 1 Year Return is the trailing return of the Index from the trading day tha!
occurs on or rmmediately preceding the date occurring one year prior to the
specified end date to th e specified end date, provided that if the specified
end date is today's date or not a trading dav, to the trading day Immediately
preceding the specified end date. The 1 Year Return may be based on
hypothetical, h[]storical lndex levels and not actual Index levels.
There is no guara ntee that the Index will achieve the 1 Year Return in the
future. Past performance is not indicative of future returns.
3 Year Return:
The 3 Year Return is the trailing return of Index from the trading day that
occurs on or immediately preceding the dare occurring :hree years prior to the
specified end date to the specified end date, provided that if the specified
end date is today?s date or not a trading day, to the trading day immediately p
receding the specified end dateland is not annualized]. The 3 Year Return may
be based on hypothetical, historical Index levels and not actual Index levels.
There is no guarantee that the Index will achieve the 3 Year Retu rn in the
future. Past performance is nor indicative of future returns.
5Y Return:
The 5 Year Retu rn is the trailing return of the Index from the trading day
that occurs on or 1m mediately preceding the date occurring five years prior to
the specified end date 10 the specified end date, provided that if the
specified end date is today's date or not a trading day, to the tradi ng day
immediately preceding :he specified end date, and is nor annualized. The 5 Year
Return may be based on hypothetical, historical Index levels and not actual
Index levels. There is no guarantee that the Index will achieve the 5 Year
Return in the future. Past performance is not indicative of future returns.
(2) Short Summary of the Risks
The Index was established on July 16, 2014 and therefore has a limited
operating history . Past performance should not be considered indicative of
future performance. The Index comprises only notional assets and
liabilities and therefore there is no actual portfolio of assets to which any
per5on is entirled or in wh1ch any person has any ownership. The synthetic
investment strategy on wh1ch the Index is based may not be successful,
may not outperform any alternative strategy related that may be employed in
respect of the SandP 500D Index, or may not achieve its target volatility of 18%.
The Index may underperform the SandP 500* Index or a direct investment in the
secu rities underlying the SandP 5001 Index The daily adjustment of the exposure
to the Index ro the SandP 500 Index will vary, and the Index may be partially
uninvested in SandP 5001 Index or may have
leveraged exposu re to the SandP 50011ndex. The Index is subject to short[]term
borrowing costs when exposure to the SandP 500t Index is greater than 100%. The
Index is subject to monthly (21[] day rolling periods) performance return caps
of 6% (72% per annum). If the value of the SandP 5001 Index changes, the level of
the Index may not change in the same manner. The 2-Month and 3-Month LIBOR
rates will be affected by a number of factors. Our affiliate, J.P. Morgan
Securities pic (' JPMS pic"), is the calculation agent and may adjust : he
Index in a way that affects its level. The policies and judgmen!S for which
JPMS pic is responsible could have an impact, positive or negative, on the
level of the Index. JPMS pic is under no obligation to consider your interest
as an investor in securities linked to the lnQeX .. The risks identified above
are not exhaustive. The Index Rules, and not any description in this summary of
risks, govern the calculation and constitution of the Index and other decisions
and actions relating to its maintenance. Additional information is available
upon request. For more information regarding the Index, clients should contact
their J.P. Morgan representative.
(3) General Disclaimers
For certificates of deposit: The information contained on this Website is for
discussion purposes only. Any information relating to performance contained in
these materials is illustrative and no assurance is given that any
indicative returns, performance or results, whe;her historical or hypothetical,
will be achieved. These terms are subject to change, and JPMorgan undertakes no
duty to update this information. This information shall be
amended, superseded and replaced in its enti rety by a subsequent term sheet,
disclosure supplement and/or pnvate placement memorandum. and the documen!S
referred 10 therein. In the event any inconsistency between the information
presented herein and any such term sheer. disclosure supplement and/ or priva1e
placement memorandum. such term sheet, disclosure supplement and /or pte
placement memorandu m shall govern.
Investments in products linked to an Index require investors to assess several
characteristics and risk factors that may not be present in other types of
transactions. In reaching a determination as to the appropriateness of any
proposed transaction, clients should undertake a thorough independent review of
the legal, regulatory, credit, tax, accounting and economic consequences of
such transaction in relation to their particular circumstances. This website
contains market data from various sources other than us and our affiliates,
and, accordingly, we make no representation or warranty as to the market data's
accuracy or completeness. All information is subject to change without notice.
11
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SEC LEGEND
JPMorgan Chase and Co. ('J.P. Morgan' ) has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offenng of securities to which these materials relate.
Before you invest in any offering of securities by J.P. Morgan, you should read
the prospectus in that registration statement and the other documents relating
to the offering that J.P. Morgan files with the SEC for more complete
information about J.P. Morgan and the offering of securities. You may get these
documents without cost by visiting EDGAR on the SEC Website at www.sec.ga ..
Alternatively, J.P. Morgan, any agent, or any dealer participating in the
particular offering will arrange to send you the prospectus and the prospectus
supplemem, as well as any product supplement, underlying supplemem and term
sheet or pricing supplemem, if you so request by calling toll-free
866-535-9248.
Use of Simular d Returns
Back-testing and other statistical analysis material that is provided in
connection with the explanations of the potential returns of the products
linked to the Index use simulated analysts and hypothetical circumstances w
estimate how it may have performed prior to its actual existence. The results
obtained from such 'back-resting" information should not be considered
indicative of the actual results that might be obtained from an
investment or participation in a financial instrument or transaction
referencing the Index. J.P. Morgan provides no assurance or guarantee that the
products linked to the Index will operate or would have operated in the past in
a manner consistent with these mat erials. The hypothetical, back-tested.
histon callevels presented herein have not been verified by an independent
third party. and such hypothetical. back-tested. historical levels have
inherent limitations. Alternative simulations, techniques, modeling or
assumptions might produce significantly different results and prove to be more
appropriate. Hypothetical back-rested results are neither an indicator nor
guarantee of future returns. Actual results will vary, perhaps materially, from
the simulated returns presented in this website.
IRS Circular 23D Disclosure
We and our affiliates do not provide tax advice. Accordingly, any discussion of
U.S. tax matters contained herein is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendation
by anyone unaffiliated wit h J.P. Morgan of any of the matters address herein
or for the purpose of avoiding U.S. tax-related penalties. Investment
suitab1hty must be determined individually for each investor, and the financial
instruments described herein may not be suitable for all investors. This
information is not intended to provide and should not be relied upon as
providing accouming, legal, regu latory or tax advice. Investors should consult
with their own advisors as to these matters.
Copyrightll2Dl5JPMorganChaseandCo.AIIRightsReserved
12
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J. P. Morganlnvestable Indices J. P. Morgan TargetTracker : US Equities 2o/8 Index: Jun 0 9 2 0 14 to Jun 07 2015 [GRAPHIC OMITTED] 13 |
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Index Level Data
---------------- -----------
Level Date
------- -------- -----------
Current 1.235.86 05-Jun-2015
High 1,277.81 21-May-2015
Low 1.096.1 15-0ct-2014
Start 1,177.51 09-Jun-2014
End 1.235.86 05-Jun-2015
Risk Measures
================ =======
Volatility 19.23%
Sharpe Ratio 0.26
Maximum Drawdown -11.87%
Return Statistics
====================== =====
Annualized Return 5.01%
Average Monthly Return 0.44%
Return
==================== =======
Daily Return -0.28%
Month to Date Return -1.33%
Year To Date Return 0.69%
3 Month Return 0.94%
1Year Return 5.13%
3 Year Return 78.92%
5 Year Return 108.93%
Monthly Return (o/o)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 2014 3.61
-3.1 7.22 -3.12 0.94 3.3 -1.54 12.1 2015 -4.35 7.02 -3.04 1.07 1.73 -1.33 0.69
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Foot notes
(1) Calculat ion descriptions
The first twelve columns under 'Momhly Return{%)' above reflect the performance
of the index from the first trading day of the month displayed to the last
trading day of that month.
The final column reflects the performance of the index for the year displayed.
These returns may be based on hypothetical, historical index levels and not
actual index levels. There is no guarantee that the Index will achieve the
monthly and annual returns displayed in the future. Past performance
is not indicative of future retu rns.
[][] [] As of the date shown above, the index was calculated based on a level
for such index equal to 100 on the date specified at the "Selected Start Date".
Index level Data
Current:
Current refers to the closing level of the index as of the trading day
immediately preceding the date you have accessed this website.
High:
High refers to the highest closing level of the index during the time period
selected, with the date on which such highest closing level occurs indicated
under the ' Date" column next to the High level. The High level may be a
hypothetical, historical le vel and not an actual level of the Index. There is
no guarantee 1hat the Index will achieve the High level in the future. low: low
refers to the lowest closing level of the index during the time period
selected, with the date on which such lowest closing level occurs indicated
under the "Date" column next to the Low level . The Low l evel may be a
hypothetical, historical level and not an actual level of the Index. The level
of the Index could, in the future, decline below the Low Level displayed on
this website.
Start:
Start refers to the closing level of the index on the first trading day of the
ti me period indicated.
End:
End refers to the closing level of the index on the last trading day of the
time period indicated.
Risk Measures
Volatility:
Volatil ity refers to the standard deviation of the daily logarithmic r eturns
of the index over the time period specified and an nualized. Volatility is a
widely used measure to express the risk of the financial Instrument over the
specified time period. Compared to conventional arithmetic rew rn calculations,
logarithmic returns are gen erally lower for positive rew rns and generally
have higher magnitude for negative returns. The volatility calculations include
hypothetical, historical back-tested information that has inherent limitations.
No representation is made that in the future 1he Index will have the Volatility
shown. Actual annualized Volatility may vary materially from the analysis
implied in this hypothetical, historical calculation.
15
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Sharpe Ratio:
The Sharpe Ratio is a measure that aims to capture the potential return of an
index per unit of risk. For a given index and a specified ti me period, it is
calculated by dividing the Annualized Return ior the specified ti me period by
the Volatility for the specified time period. The Sharpe Rat io calculation may
contain components with hypothetical. historical back-tested information that
have inherent limitations. No representation is made that in the future the
Index will have the Sharpe Ratio shown. The actual Annualized Return and the
Volatility and, accordingly, the Sharpe Ratio, may vary materially from the
analysis implied in any hypothetical, historical calculation.
Maximum Drawdown:
Maximum Drawdown is the p ercentage change in the index from tht) highest value
reached over the specified tim e period to the lowest value reached over the sp
ecified time period. The Maximum (}rawdown rr.ay be
based on hypothetical. historical Index levels and not actual Index levels. The
Maximum Drawdown could, in the future. be larger than the Maximum Drawdown
displayed above.
Embedded Index Fee:
The levels of the Index may be reduced by an adjustment factor which may have a
considerable impact on the level of the Index.
Return Statistics
Annualized Return:
The Annualized Return is the percentage change in the index from the first day
of the specified time period to the last day of the specified time period and
annualized. The Annualized Return may be based on hypothetical, historical
Index levels and not actual Index levels. Ther e is no guarantee that the Index
will achieve the Annualized Return in the future. Past performance is not
indicative of future returns. Average Monthly Return:
Average Monthly Return is the arithmetic average of the Monthly Returns for
each full calendar month during the specified t ime period. For a given monthly
period the Monthly Return is the percentage change in the
index during the monthly period. The Average Monthly Retu rn may be based on
hypothetical, historical Index levels and not actual Index levels. There is no
guara ntee that the Index will achieve the Average Monthly Return in the
future. Past performance is not indicative of future returns.
Return
Daily Return:
The Daily Return is ! he return of the Index from the trading day imm ediately
preceding the specified end date to the specified end date. provided that if
the specified end date is today's date or not a trading day. the Daily Return
is the r eturn of the Index from the trading day that is two trading days
immediately preceding the specified end date to the trading day immediately
preceding the specified end date. The Daily Return may be based on
hypothetical, historical index levels and not actual index levels. There is no
guarantee that the Index will achieve the Daily Return in the future. Past
performance is not indicative of future returns.
Month to Date Return:
The Month to Date Return is t he return of the Index from the last trading day
of the month that occurs prior to the specified end date to the specified end
date, provided that if the specified end date IS today's date or not
a trading day, to the trading day immediately preceding the specified end date.
The Month to Date Return may be based on hypothetical, historical Index levels
and not actual Index levels. There is no guarantee that the
Index will achieve the Month to Date Return in the future. Past performance is
not indicative of future returns. Year to Date Return:
The Year to Date Return is the return of the Index from the last tradi ng day
of the year that occurs prior to the specified end date to the specified end
date, provided that if the specified end date is today's{iate or not a uading
day, to the trading day immediately preceding the specified end date. The Year
to Date Return may be based on hypothetical, historical Index levels and not
actual Index levels. There is no guarantee that the Index will achieve the Year
to Date Return in the future. Past perform ance is not indicative of future
returns.
3 Month Return:
The 3 Month Return is the trailing return of the Index from the trading day
that occurs on or immediately preced ing the date occurring three months prior
to the specified end date to the specified end date, provided t hat if the
specified end date is today's date or not a trading day, to the trading day
immediately preceding the specified end date. The 3 Month Return may be based
on hypothetical, hiswncal lndex levels and not actual Index levels. There is no
guarantee that the Index will achieve the 3 Month Return in the future. Past
performance is not indicative of future rew rns.
16
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1 Year Return:
The I Year Return is the trailing return of the Index from the trading day thai
occurs on or immediaTely preceding the date occurring one year prior to the
specified end dale to tile specified end date. provided that if the specified
end date is today's date or not a trading day, to the trading day immediately
precedi ng the specified end date. The I Year Return may be based on
hypothetical. historical Index levels and not actual Index levels.
There is no guarantee that the Index will achieve : he 1 Year Return in the
furure. Past performance is not indicative of future returns.
3 Year Return:
The 3 Year Return is the trailing return of Index from the trading day that
occurs on or immediately preceding the date occurring ihree years prior to the
sp(cilied end date to the specified end date, provided that if the specified
end date is today?s date or not a trading day. ro the trading day immediately p
receding me specified end date[and is nor annualized]. The 3 Year Return may be
based on hypothetical, historical Index levels and
not actual Index levels. There is no guarantee thai the Index will achieve the
3 Year Return in the future. Past performance is nor indicative of future
returns.
5Y Return:
The 5 Year Return is the trailing return of the Index from the u admg day :hat
occurs on or immediately preceding the dare occurring five years prior to the
specified end date to the specified end date. provided that if 1he specified
end date is today's date or not a trading day, to the trading day immediately
preceding 1he specified end date, aml is nor annualized. The 5 Year Return may
be based on hypothetical, historical Index levels and not acw al lndex levels.
There is no guarantee that me Index will achieve the 5 Year Return in the
future. Past per formance is not indicative of future returns.
(2) Short Summary of the Risks
The Index was established on July 16, 2014 and therefore has a lim1ted
operating history. Past performance should not be considered indicative of futu
re performance. The Index comprises only notional assets and
liabil ities and therefore there is no actual portfolio of assets ro which any
person is entitled or in which any person has any ownership. The synthetic
investment strategy on which the Index is based may not be successful,
may not outperform any alternative strategy related that may be employed in
respect of the SandP 500 11ndex, or may not achieve rrs target volatility of 20%.
The Index may underperform the SandP 500[] Index or a direct investment in the
securities underlying the SandP 50(}1 Index The daily adjustment of the exposure
to the Index to the Sand? 500 Index w1ll vary, and the Index may be partially
uninvested in SandP sao[] Index or may have
leveraged exposure to the SandP 5ooe Index. The Index is subject to shon []term
borrowing costs when exposure to the SandP 5001 Index is greater than 100%. The
Index is subj ect ro monthly (21[] day rolling periods)
performance return caps of 8% (96% per annum). If the v(lue of the SandP SQQand
Index changes, rhe level of the Index may not change in :he same manner. l he
2[]Month and 3-Monih UBOR rates will be affected by a number of factors. Our
affiliate, J.P. Morgan Securities pte ('JPMS pic'), is the calculation agent
and mav adjust 1he Index in a way that affects its level. The policies and
judgments for which JPMS pic is responsible could
have an impact, positive or negative, on the level oi the Index. JPMS pic is
under no obligation to consider you r imerest as an investor in securities
linked to the Index. [] The risks identified above are not exhaustive. The
Index Rules. and not any description in this summary oi risks, govern the
calculation and constitution of the Index and other deCisions and actions
relating to its mamtenance. Additional information is available upon r eQuest.
For more information regarding the Index. clients should contact their J.P.
Morgan represemative.
(3) General Disclaimers
For certificates of deposit: The information contained on this Website is for
discussion purposes only. Any information relating to performance contained in
these materials is illustrative and no assurance is given that any indicative
returns, performance or results, whether h1stoncal or hypothetical, will be
ach1eved. These terms are subject to change, and !?Morgan undertakes no duty to
update this information. This information shall be amended, superseded and
replaced in its entiretY by a subseQuent term sheet, disclosure supplement
and/or private placement memorandum, and the documents referred to !herein. In
the event any inconsistency
between the information presented herein and any such term sheer, disclosure
supplem ent and/ or private placemem memorandum, such term sheet, disclosure.
supplemem and/or private placement memorandum shall govern.
Investments in products linked to an Index require investors to assess sevral
characterisucs and risk factors that may not be present in other tYPes of
:ransaaions. In reaching a deter mination as to the appropriateness of any
proposed transaction, clients should undertake a thorough independent review of
the legal, regulatory, credit , tax. accounting and economic conseQuences of
such transaction in relation to their particular circumstances. This website
contains marker data from vanous sources other than us and our affiliates, and.
accordingly, we make no representation or warranty as to m e market data's
accuracy or completeness. All information is subject to change without notice.
17
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SEC LEGEND
JPMorgan Chase and Co. ('J.P. Morgan') has filed a registration statement
(induding a prospectus) with the Securities and Exchange Commission (the "SEC")
for any offering of securities to which lhese materials relate.
Before you invest in a ny offering of securities by J.P. Morgan. you should
read the prospecrus in that registration statement and the other documents
relating to the offering that J.P. Morgan files with the SEC for more
complete information about J.P. Morgan and the offering of securities. You may
get these documents wilhoot cost by visiting EDGAR on the SEC Website at
www.sec.go . Alternatively, J.P. Morgan, any agent, or any dealer
participating in the particular offering will arrange to send you the prospeaus
and the prospenus slJpplement, as well as anv product supplemenr, underlying
supplemem and term sheet or pricing supplemem, if vou so request by call ing
toll[]free 866[] 535[]9248.
Use of Simulated Returns
Back[]testing and other statistical analysis material that is provided in
connection with the explanations of the potential returns of the products
linked to the Index use simulated analysis and hypothetical circumstances to
estimate how it may have performed prior to its actual existence. The results
obramed from such back[]testing" information should not be considered
indicative of the actual results that might be obtained from an investment or
participation in a financial instrument or rransacrion reierencing the Index.
J.P. Morgan provides no assurance or guarantee that the products linked to the
Index will operate or would have operated in the past in a manner consistent
with t hese materials. The hypothetical, back[]tested, hisroricallevels
presented herein have not been verified by an independent third party, and such
hypothetical, back[]tested, hisrorical l evels have inherent limitations.
Alternative simulations, techmques. mod eling or assumpuons m1ght produce
sigmficanrly different results and prove to be more appropriate. Hypotheucal
back[]rested results are neither an indicator nor guaramee of future returns.
Actual results w11i vary, per haps materially, from the simulated returns
presented in this website.
IRS Circular 230 Disclosure
We and our affiliates do not provide tax advice. Accordingly, any discussion of
U.S. tax matters contained herein is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendat ion
by anyone unaffiliated with J.P. Morgan of any of the marters address herein or
for the purpose of avoid ing U.S. tax[] related penalties. lnvestmem
sui'tability must be determined individually for each investor, and the
financial instruments described herein may not be suitable for all invesmrs.
This information is not intended to provide and should not be relied upon as
providmg accounung, legal, regu latory or tax advice. Investors should co nsult
with their own advisors as to these matters.
Copyright!l2015JPMorganChaseandCo.AIIRightsReserved
18
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J. P. Morganlnvestable Indices J. P.Morgan Mozaic Fixed Income (USD): Jun 09 2014 to Jun 07 2m5 19 |
 |
Index Level Data
---------------- ------------
Level Date
------- -------- ------------
Current 165.55 05-J un-2015
High 169.73 16-Apr-2015
Low 155.68 17-Jun-2014
Start 156.62 06-Jun-2014
End 165.55 05-J un-2015
Risk Measures
================ ======
Volatility 3.9%
Sharpe Ratio 1.47
Maximum Drawdown -2.46%
Return Statistics
====================== =====
Annualized Return 5.72%
Average Monthly Return 0.47%
Return
==================== ======
Daily Return -0.48%
Month to Date Return -0.58%
Year To Date Return 1.71%
3 Month Return -0.13%
1Year Return 5.7%
3 Year Return 0.47%
5 Year Return 12.87%
Monthly Return (%)
------------------ ----- ---- ----- ----- ----- ----- ---- ---- ---- ---- ----- ----
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
-------- --------- ----- ---- ----- ----- ----- ----- ---- ---- ---- ---- ----- ----
2014 0.62 -0.27 1.88 0.18 0.71 0.79 -0.17 8.17
2015 3.29 -0.61 0.71 -0.26 -0.78 -0.58 1.71
20
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Footnotes (l) Calculation descriptions The first twelve columns under 'Monthly Return(%)' above reflect the performance of the index from the first trad ing day of the month displayed to the last trading day of that month. The final colu mn re flects the perform ance of the index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the monthly and annual returns displayed in rhe future. Pasr performance is not indicative of future retu rns. [][] [] As of the date shown above, thE? index was calculated based on a level for such index equal to 100 on the date specified at the "Selected Start Date". Index l evel Data Current: Current refers to the closing level of the index as of the trading day immed iately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during the time period selected, with the date on which such highest closing level occurs indicated under the ' Date" column next to the High level. The High Level may be a hypothetical, historical level and not an actual level of the Index. There is no guarantee that the Index will achieve the High Level in the future. l ow: l ow refers to the lowest closing level of the index during the time period selected, with the date on which such lowest closing level occurs indicated under the ' Date" column next to the Low level. The low l evel may be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future, decline below the Low Level displayed on this website. Start: Start refers to the closing level of the index on the first trading day of the time period indicated. End: End refers to the closing level of thE? index on the last trading day of the time period indicated. Risk Measures Volatility: Volatility refers to the standard deviation of the daily logarithmic returns of the index over the tim e period specified and annualized. Volatility is a widely used measure to express the risk of rhe financial instrument over the specified time period. Compared to conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calculations include hypothetical, historical back-tested information that has inherent limitations. No representation is made that in the future the Index will have the Volatility shown. Actual annualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. 21 |
 |
Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential return of an index per unit of risk. For a given index and a specified time period, it is calculated by dividing the Annualized Return for the specified time period by the Volatility for the specified time period. The Sharpe Ratio calculation may contain components with hypothetical, historical back[]tested information that have inherent limitattons. No represemation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Return and the Volatility and, accordingly, the Sharpe Ratio, may vary materially from the analysis implied in any hypothetical, historical calculation. Maximum Drawdown.: Maximum Drawdown is the per centage change in the index from the highest value reached over the specified tim e period to the lowest value reached over the specified time period. The Maximum Drawdown may be based on hypothetical, historical Index levels and not actual Index levels. The Maximum Drawdown could, in the future, be larger than the Maximum Drawdown displayed above. Embedded Index Fee: The levels of the Index may be reduced by an adjustment factor which may have a considerable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the percentage change in the index from the first day of the specified time period to the last day of the specified time period and annualized. The Annualized Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Annualized Return in the future. Past performance is not indicative of future returns. Average Monthly Return: Average Monthly Return is the arithmetic average of the Monthly Returns for each full calendar month during the specified time period. For a given monthly period the Monthly Return is the percemage change in the index during the monthly period. The Average Monthly Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Average Monthly Return in the future. Past performance is not indicative of future returns. Return Daily Return: The Daily Return is the return of the Index from the trading day imm edia:ely preceding the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, :he Daily Return is the return of the Index from the trading day that is two trading days immed iately preceding the specified end date to the trading day immediately preceding the specified end date. The Daily Return may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the Daily Return in the future. Past performance is not indicative of future rewrns. Month to Date Return: The Month to Date Return is the return of the Index from the last trading day of the month that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trad ing day immediately preceding the specified end date. The Month to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Month to Date Return in the future. Past performance is not indicative of futu re returns. Year to Date Return: The Year to Date Return is the return of the Index from the last trading dy of the year that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or no: a trading day, to the trading day immediately preceding the specified end date. The Year to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Year to Date Return in the future. Past performance is not indicative of future returns. 3 Month Return: The 3 Month Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring three months prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The 3 Month Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the 3 Month Return in the future. Past performance is not indicative of future returns. 1 Year Return: The 1 Year Return is the trailing return of the Index from the trading day that occu rs on or immediately preceding the date occurring one year prior to the specified end date to the specified end date. provided that if the specified end date is today's date or not a trading day, to the tradi ng day immediately preceding the specified end date. The I Year Return may be based on hypothetical, historical Index levels and not acwallndex levels. There is no guarantee that the Index will achieve the I Year Return in the future. Past performance is not indicative of future returns. 22 |
 |
3 Year Return: The 3 Year Return is the trailing r eturn of l1dex from the trading day that occurs on or immediately preceding the date occurring three years prior to the specified end date to the specified end date, provided that if the specified end date is today?s date or not a trading day, to the trading day immediately preceding the specified end dateland is not annualized!. The 3 Year Return may be based on hypothetical, historical Index levels and not aaual lndex levels. There IS no guarantee that the Index will achieve the 3 Year Return in the future. Past performance is not indicative of future retu rns. 5Y Return: The 5 Year Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring five years prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date, and is not annualized. The 5 Year Retu rn may be based on hypothetiCal. historical Index levels and nor actual Index levels. There is no guarantee that the Index will achieve the 5 Year Return in the future. Past performance is not indicative of futu re returns. (2) Short Summary of the Risks The Index and the constituents have limited operating histories. Past performance should not be considered indicative of future performance. The level of the Index incorporates the deduction of a fee of 0.55% per annum that accrues daily. There are risks associated with a momentu m[]based investm ent strategy. The Index is different from a strategy that seeks long[]term exposure to a portfolio consisting of constant components with fixed weights. The Index may fail to realize gains that could occur from hold ing assets that have experienced price declines, but experience a sudden price spike thereafter. The Index comprises only nmional assets and liabilities and therefore there is no actJal portfolio of assets to which any person is entitled or in which any person has any ownership. The synthetic investment strategy on which the index is based may nor be successful, may not outperform any alternative strategy or achieve its target volatility of 4%. The Index may include notional short positions, which will expose the Index to unlimited risk of loss because there is no limit on the appreciation of the price of the rele[]1ant asset before the short position is closed. The adjustment of the exposure to the index and to each constituent may cause the Index not to reflect fully any appreciation or to magnify any depreciation of the constituents. The index is subject to risks associated with the use of leverage. The strategy used to construct the index involves regular rebalancing, which may result in lower rerurns than could be realized on an alternative investrrent in the constituents that is not subject to regular rebalancing. The Index may be partially uninvested. Movements in the constituents may be highly correlated, which may negatively impact the level of the Index du[]ing periods of negative returns among the constituents. Changes in the levels of the constituents may offset each other. The Index is subject to significant risks associated with futures contracts. 1ncluding the possible significant volatility associated with futures contracts. The Index is subject to significant risks associated with fixed[]income securities, including changes in interest rates and changes in the perceived creditworthiness of the governments that issue the bonds underlying the futures contracts. The level of the Index may be influenced by unpredictable changes in the governments and economies of the governments that issue the bonds associated with the futu res contracts underlying the constituents. The Index is subject to risks associated with non[]U.S. securities markets. Our affiliate, J.P. Morgan Securities pic ([]JPMS pic"), is the calcula;ion agent and rray adjust the Index in a way that affects its level. The policies and judgments for which JPMS pic is responsible could have an impact, positive or negative. on the level of the Index. JPMS pic is under no obligation to consider your interest as an investor in securities linked to the Index. The risks identified above are not exhaustive. The Index Rules, and not any description in th is summary of risks, govern the calculation and constitution of the Index and other decisions and actions relating to its maintenance. Additional information is available upon reQuest. For more information regarding the Index. clients should contact their J.P. Morgan representative. (3) General Disclaimers for certificates of deposit: The information contained on this Website is for discussion purposes only. Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. These terms are subject to change, and JPMorgan undertakes no duty to update this information. This information shall be amended, superseded and replaced in its entirety by a subseQuent term sheet, disclosure supplement and/or private placement memorandum, and the documents referred to therein. In the evem any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/ or private placement memorandum, such term sheet, disclosure supplement and/or private placement memorandum shall govern. Investments in products linked to an Index reQuire investors to assess several characteristics and risk factors that may not be present in other types of transactions. In reaching a determination as to the appropriateness of any proposed transaction, clients should undertake a thorough independent review of the legal, regulatory, credit, tax, accounting and economic conseQuences of such transaction in relation to their particular circumstances. This website contains market data from various sources other than us and our affiliates, and, accordingly, we make no representation or warranty as to the marker data's accuracy or completeness. All information is subject to change without notice. 23 |
 |
SEC LEGEND
JPMorgan Chase and Co. ('J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offering of securities to which these materials relate. Before
you invest in any offering of securities by J.P. Morgan, you should read the
prospectus in that registration statement and the other documents relating to
the offering that J.P. Morgan files with the SEC for more complete information
about J.P. Morgan and the offering of securities. You may get these documents
without cost by visiting EDGAR on the SEC Website at www.sec.ga []
Alternatively, J.P. Morgan, any agent, or any dealer participating in the
particular offering will arrange to send you the prospectus and the prospectus
supplement, as well as any product supplement, underlying supplemem and term
sheet or pric1ng supplement, if you so request by call ing toll-free
866-535-9248.
Use of Simulated Returns
Back-testing and other statistical analysis material that is provided in
connection with the explanations of the potential returns of the products
linked to the Index use simulated analysis and hypothetical circumstances to
estimate how it may have performed prior to its actual existence. The results
obtained from such ' back-testing" information should not be considered
indicative of the actual results that might be obtained from an investment or
participation in a financial instrument or transaction referencing the Index.
J.P. Morgan provides no assurance or guarantee that the products linked to the
Index will operate or would have operated in the past in a manner consistent
with these materials. The hypothetical, back-tested, historical levels
presented herein have not been verified by an independent third party, and such
hypothetical, back-tested, historical levels have inherent limitations.
Alternative simulations, techniques, modeling or assumptions might produce
significantly different results and prove to be more appropriate. Hypothetical
back-tested results are neither an indicator nor guarantee of future returns.
Actual results will vary, perhaps materially, from the simulated returns
presented in this website.
IRS Circular 23D Disclosure
We and our affiliates do not provide tax advice. Accordingly, any discussion of
U.S. tax matters contained herein is not intended or written to be used, and
cannot be used. in connection with the promouon, marke1ing or recommendation by
anyone unaffiliated with J.P. Morgan of any of the matters address herein or
for the purpose of avoiding U.S. tax[] related penalties. Investment
sui;ability must be determined individually for each
investor, and the financial instruments described herein may not be suitable
for all investors. 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.
CopyrightP2015JPMorganChaseandCo.AIIRightsReserved
24
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J. P. Morganlnvestable Indices [GRAPHIC OMITTED] 25 |
 |
Index Level Data
---------------- -----------
Level Date
------- -------- -----------
Current 210.39 05-Jun-2015
High 215.54 02-Mar-2015
Low 194.19 16-0ct-2014
Start 195.24 10-Jun-2014
End 210.39 05-Jun-2015
Risk Measures
================ ======
Volatility 7.5%
Sharpe Ratio 1.05
Maximum Drawdown -4.24%
Return Statistics
====================== =====
Annualized Return 7.87%
Average Monthly Return 0.59%
Return
==================== ======
Daily Return -0.33%
Month to Date Return -1.02%
Year To Date Return 0.55%
3 Month Return -0.44%
1Year Return 7.69%
3 Year Return 42.92%
5 Year Return 78.57%
Monthly Return (%)
------------------ ---- ----- ----- ---- ----- ----- ---- ----- ---- ---- ----- -----
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
-------- --------- ---- ----- ----- ---- ----- ----- ---- ----- ---- ---- ----- -----
2014 0.57 -0.53 3.73 -1.02 1.63 3.39 -0.68 10.66
2015 -0.57 2.99 -0.65 -1.43 1.31 -1.02 0.55
26
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Footnotes (l) Calculation descriptions The first twelve columns under 'Monthly Return(%)' above reflect the performance of the index from the first trad ing day of the month displayed to the last trading day of that month. The final colu mn reflects the performance of the index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the monthly and annual returns displayed in the future. Pasr performance is not indicative of future retu rns. [][] [] As of the date shown above, the index was calculated based on a level for such index equal to 100 on the date specified at the "Selected Start Date". Index level Data Current: Current refers to the closing level of the index as of the trading day immed iately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during the time period selected, with the date on which such highest closing level occurs indicated under the ' Date" column next to the High level. The High level may be a hypothetical, historical level and not an actual level of the Index. There is no guarantee that the Index will achieve the High l evel in the future. low: low refers to the lowest closing level of the index during the time period selected, with the date on which such lowest closing level occurs indicated under the ' Date" column next to the Low level. The Low Level may be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future, decline below the Low Level displayed on this website. Start: Start refers to the closing level of the index on the first trading day of the time period indicated. End: End refers to the closing level of the index on the last trading day of the time period indicated. Risk Measures Volatility: Volatility refers to the standard deviation of the daily logarithmic returns of the index over the tim e period specified and annualized. Volatility is a widely used measure to express the risk of the iinancial instrument over the specified time period. Compared to conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calculations include hypothetical, historical back[]tested information that has inherent limitations. No representation is made that in the future the Index will have the Volatility shown. Actual annualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. 27 |
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Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential r(:turn of an index per unit of risk. For a given index and a specified time period, it is calculated by dividing the Annualized Return for the specified time period by the Volatility for the specified time penod. The Sharpe Ratio calculauon may contain components with hypothetical, historical back-tested information that have inherent limitations. No representation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Retu rn and the Volatility and, accordingly, the Sharpe Ratio, may vary materially from the aralysis implied in any hypothetical, historical calculation. Maximum Drawdown.: Maximum Drawdown is the percentage change in the index from the highest value reached over the specified time period to the lowest value reached over the specified time period. The Maximum Drawdown may be b ased on hypothetical, historical Index levels and not actual Index levels. The Maximum Drawdown could, in the future, be larger than the Maximum Drawdown displayed above. Embedded Index Fee: The levels of the Index may be reduced by an adjustment factor which may have a considerable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the percentage change in rhe index from the first day of the specified time period to the last day of the specified time period and annualized. The Annualized Return may be based on hypothetical, historical Index levels and no: actual Index levels. There is no guarantee that the Index will achieve the Annualized Return in the future. Past performance is not indicative of future returns. Average Monthly Return: Average Monthly Return is the arithmetic average of the Monthly Returns for each full calendar month during the specified time period. For a given monthly period the Monthly Return is the percentage change in the index during the monthly period. The Average Monthly Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the lnjex will achieve the Average Monthly Return in the future. Past performance is not indicative of future returns. Return Daily Return: The Daily Return is the return of the Index from the rradmg day immediately preceding the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, the Daily Return is the return of the Index from the trading day that is two trading days immediately preceding the specified end date to the trading day immediately preceding the specified end date. The Daily Return may be based on hypothetical, historical index levels and not actual index levels. There IS no guarantee that the Index will achieve the Daily Return in the future. Past performance is not indicative of future returns. Month to Date Return: The Month to Date Return is the return of the Index from the last trading day of the month that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The Month to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Month to Date Retun in the future. Past performance is not indicative of future returns. Year to Date Return: The Year to Date Return is the return of the Index from the last trading day of the year that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a tr ading day, to the trading day immediatelv preceding the specified end date. The Year to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Year to Date Return []n the future. Past performance is not indicative of future returns. 3 Month Return: The 3 Month Return is the trailing return of the Index from the trad1ng day that occurs on or immediately preceding the date occurring three months prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the rrading day immediately preceding the specified end date. The 3 Month Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guar antee that the Index will achieve the 3 Month Return in the future. Past performance is not indicative of future returns. 28 |
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1 Year Return:
The 1 Year Return is the trailing return of the Index from the trading day that
occu rs on or immediately preceding the date occurring one year prior to the
specified end date to the specified end date, provided that if the
specified end date is today's date or not a trading day, to the trading day
immediately preceding the specified end date. The 1 Year Return may be based on
hypothetical, historical Index levels and not actual Index levels.
There is no guarantee that the Index will achieve the I Year Retu rn in the
future. Past performance is not indicative of future returns.
3 Year Retu rn:
The 3 Year Return is the trailing return of Index from the trading day that
occurs on or immediately preceding the date occurring three years prior to the
specified end date to the specified end date, provided that if the specified
end date is today?s date or not a trading day, to the trading day immediately
preceding the specified end dateland is not annualized]. The 3 Year Return may
be based on hypothetical, historical Index levels and not actual Index levels.
There is no guarantee that the Index will achieve the 3 Year Return in the
future. Past performance is not indicative of future retu rns.
5Y Return:
The 5 Year Retu rn is the trailing return of the Index from the trading day
that occurs on or immediately preceding the date occurring five years prior to
the specified end date to the specified end date, provided that if the
specified end date is today's date or not a trading day, to the trading day
immediately preceding the specified end date, and is not annualized. The 5 Year
Retu rn may be based on hypothetical, historical Index levels and not actual
Index levels. There is no guarantee that the Index will achieve the 5 Year
Return in the future. Past performance is not indicative of futu re returns.
(2) Short Summary of the Risks
The Index was establ ished on April 30, 2014 and therefore has a limited
operating history. Past performance should not be considered mdicauve of future
performance. The level of the Index will include the deduction of a fee of 0
..50% per annu m and a synthetic borrowing cost calculated based on the relevant
liBOR rates. The index fee and borrowing cost will be deducted daily. The Index
comprises only notional assets and liabilities and therefore there is no actual
portfol io of assets to which any person is entitled or in which any person has
any ownership. The synthetic investment strategy on which the Index is based
may not be successful, may not outperform any alternative strategy that may be
employed in respect of the Capital Strength Total Return Index (the ?Equity
Constituent?) and the PIMCO Total Return Active Exchange Traded Fund (the ?Bond
Constituent?, together with the Equity Constituent, the ?Tar get
Constituents?), or may not achieve its target volatility of 8.5%. The
investment strategy used to construct the Index involves daily adjustments to
its synthetic exposure to its Target Constituents. The daily adjustment of the
exposures of the Index to its Target Constituents will vary, and m ay be
panially uninvested in its Target Constituents By reducing its exposu re to its
Equity Constituent, the Index may significantly underperform its Equity
Constituent. The exposu re 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 Capital Strength
Total Return Index is subject to the risk relating to its selection
methodology. The PIMCO Total Retu rn Active Exchange Traded Fund is an actively
managed fu nd and is subject to different risks than passively managed funds.
Our affiliate, J.P. Morgan Securities pic ('JPMS pic'), is the calculation
agent and may adjust the Index in a way that affects its level. The policies
and judgments for wh[]ch JPMS pic is responsible could have an impact, positive
or negative, on the level of the Index. JPMS pic is under no obligation to
consider your interest as an investor in securities linked to the Index. The
risks identified above are not exhaustive. The Index Rules, and not any
description in this summary of risks, govern the calculation and constitution
of the Index and other decisions and actions relating to its maintenance.
Additional information is available upon request. For more information
regarding the Index, cl ients should contact their J.P. Morgan representative.
(3) General Disclaimers
For certificates of deposit: The information contained on this Website is for
discussion purposes only. Any information relating to performance contained in
these materials is illustrative and no assurance is given that any indicative
returns, performance or results, whether historical or hypothetical, will be
achieved. These terms are subject to change, and JPMorgan undertakes no duty to
update this information. This information shall be amended, superseded and
replaced in its entirety by a subsequent term sheet, disclosure supplement
and/or private placement memorandum, and the docu ments referred to therein. In
the event any inconsistency between the information presented herein and any
such term sheet, disclosure supplement and/ or private placemem memorandum,
such term sheet, disclosure supplement and/or private placement memorandum
shall govern.
Investments in products linked to an Index require investors to assess several
characteristics and risk factors that may not be present in other types of
transactions. In reaching a determination as to the appropriateness of any
proposed transaction, clients should undertake a thorough independent review of
the legal, regulatory, credit . tax. accounting and economic consequences of
such transaction in relation to their particular circumstances. This website
contains market data from var ious sources other than us and our affiliates,
and, accordingly, we make no representation or warranty as to the market data's
accuracy or completeness. All information is subject to change without notice.
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SEC LEGEND
JPMorgan Chase and Co. ('J.P. Morgan' ) has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offering of securities to which these materials relate. Before
you invest in any offering of securities by J.P. Morgan, you should read the
prospectus in that registration statement and the other documents relating to
the offering that J.P. Morgan files with the SEC for more complete information
about J.P. Morgan and the offering of securities. You may get these documents
without cost by visiting EDGAR on the SEC Website at www.sec.gov.
Alternatively, J.P. Morgan, any agent, or any dealer participating in the
particular offering will arrange to send you the prospectus and the prospectus
supplement, as well as any product supplement, underlying supplement and term
sheet or pricing supplement, if you so r eQuest by call ing toll-free
866-535-9248.
Use of Simulated Returns
Back-testing and other statistical analysis material that is provided in
connection with the explanations of the potential returns of the products
linked to the Index use simulated analysis and hypothetical circumstances to
estimate how it may have performed prior to its actual existence. The results
obtained from such 'back-testing" information should not be considered
indicative of the actual results that might be obtained from an investment or
participation in a financial instrument or transaction referencing the Index.
J.P. Morgan provides no assurance or guarantee that the products linked to the
Index will operate or would have operated in the past in a manner consistent
with these materials. The hypothetical, back-tested, historical levels
presented herein have not been verified by an independent third party, and such
hypothetical, back-tested, historical levels have inherent limitations.
Alternative simulations, techniQues, modeling or assumptions might produce
significantly different results and prove to be more appropriate. Hypothetical
back-tested results are neither an indicator nor guarantee of future returns.
Actual results will vary, perhaps materially, from the simulated returns
presented in this website.
IRS Circular 23D Disclosure
We and our affiliates do not provide tax advice. Accordingly, any discussion of
U.S. tax matters contained herein is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendation
by anyone unaffiliated with J.P. Morgan of any of the matters address 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.
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.
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