Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated June 9, 2015
J.P. Morganlnvestable Indices [GRAPHIC OMITTED] Home --} IndiCes --} Index Summary Summary I I - ' . J.P. Morgan U.S. Sector Rotator TR Series X Index: Jun 10 2 0 14 to Jun o8 2015 [GRAPHIC OMITTED] |
Index Level Data ---------------- ----------- Level Date ------- -------- ----------- Current 336.93 08-Jun-2015 High 362.41 26-Jan-2015 LOW 326.32 O7-Aug-2014 Start 336.8 10-Jun-2014 End 336.93 08-Jun-2015 Risk Measures ================ ====== Volatility 10.17% Sharpe Ratio 0 Maximum drawdown -7.03% Return Statistics ====================== ===== Annualized Return 0.04% Average Monthly Return 0.02% Return ==================== === ====== Daily Return -0.55% Month to Date Return I -1.23% Year 1o uate Return 5.1/% 3 Month Return -3.01% 1Year Return 0.08% 3 Year Return 14.12% 5 Year Return 14.12% Monthly Return (%) Jan Feb Mar Apr ---- ----- ---- ----- ----- 2014 2015 -0.53 -0.4 -2.38 -1.22 May Jun Jul Aug Sep --- ----- ----- ---- ----- 1.39 -2.17 3.81 -0.67 0.5 -1.23 Oct Nov Dec Year ---- ---- ----- ----- 1.85 3.11 -0.59 10.74 -5.17 |
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 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 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 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 mav 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 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 :he Index will have the Volatility shown. Actual annualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. |
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 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 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 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 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 Index will achieve the Average Monthly Return in the future. Past performance is nor indicative of future returns. Return Daily Return: The Daily Return is the return of the Index from the trading day immediately preceding the specified end date to the specified end dare, provided that if the specified end dare 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 dare 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 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 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 Year to Date Return may be based on hypothetical, historical Index levels and not accrual 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 occurs 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 I Year Return may be based on hypothetical, historical Index levels and not accrual index 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. |
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 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 date land is nor 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 returns. 5Y Return: The 5 Year Return is the trailing return of the Index from the trading day that occurs on or immediately preceding rhe dare 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 nor annualized. The 5 Year Return may be- based on hypothetical. historical Index levels and not actual Index levels. There is no guarantee that me Index wi11 achieve the 5 Year Return in the future. Past performance 1s nor indicative of future returns. (2} Short Summary of the Risks The Index was established on August 18, 2014 and therefore has a limited operating history. Past performance should noi be considered indicative of future performance. There are risks associated with a momentum[] based investment 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 holding assets that have experienced price declines. but experience a sudden price spike thereafter. The Index comprises only notional assets and liabilities and therefore there is no actual 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 not be successful, may not outperform any alternative strategy related to the basket constituents. The actual realized volatility of the Index may be greater than 20%. On each monthly rebalancing dare. the Index reallocates index weights among the selected U.S. sector constituents so !hat the aggregate realized volatility of the portfolio of selected U.S. sector constituents will not exceed 20% as of that rebalancing dare. However, despite this volatility cap. I he actual realized volatility of the Index after each rebalancing date may fluctuate greatly and may be greater than 2O% at any rime during the period between two rebalancing dates. Performances among the U.S. sector constituents and bond constituent may become highly correlated from rime to rime during the term of your investment. High correlation during periods of negative returns among selected U.S. sector constituents and bond constituent that have a substantial weighting in the Index could have a material adverse effect on the performance of the Index. The Index may have exposure only to the bond constituent for an extended period of time. Changes in the value of the U.S. sector constituents and the bond constituent may offset each other. The Index 1s subject to risks associated with specific sectors in the U.S. market. Our affiliate. J.P. Morgan Securities plc (JPMS plc"), 1s the calculation agent and may adjust the Index in a way that affects its level. The policies and judgments for which JPMS plc is responsible could have{the impact, positive or negative, on the level of the Index. JPMS plc is under no obligation to consider your interest as an investor in securities linked to {he 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. 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 sheer, 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 rerm sheer, disclosure supplement and/or private placement memorandum, such term sheer, 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 nor be present in other types of transactions. In reaching a derermmarion 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 tome market dara's accuracy or completeness. All information is subject to change without nonce. |
SEC LEGEND JPMorgan Chase and Co. ([]J.P. Morgan') has fi led a regisuation 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 registrarion srarement and rhe other documents rela:ing to the offering that J.P. Morgan files with rhe 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 supplemem , as well as any product supplemem. underlying supplemenr and term sheet or pricing supplement, if you so request by call ing toll[]free 866[] 535[]9248. Use of Simulated Returns Back[]testing and other sratistical 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 circu mstances to estimate how ic may have performed prior to its actual existence. The results obtained from such []back[]resring" 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 rhat the produas linked to the Index will operate or would have operated in the past in a manner consistent with : hese materials. The hypothetical, back[]tested, historical levels presented herein have not been verified by an independent third party, and such hypotherical, 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 rhe purpose of avoiding U.S. tax[] relared penalties. lnvestmenr suitability must be determined individually for each investor, and the financial instruments described herein may nor be suitable for all investors. This information is not intended ro 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. J.P.l\lorgan I =[] c .. [],'[]"'' ,;, I Tell[][] []'II[]" I [] ''""[]f ,. Copyrightil2Dl5JPMorganChaseandCo.AIIRightsReserved |
J.P. Morganl nvestab1e Indices [GRAPHIC OMITTED] Hnm{? __, Indices --} Index Summary Summary I I I I ' . I [] J.P . Morgan Strategic Volatility Dynamic Index (Series 1) (USD): Jun 10 2014 to Jun o8 2015 [GRAPHIC OMITTED] |
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Footnotes Ul Calculation descriptions The first twelve columns under "Mo1thly Return (%)' above reflect the performance of che index from the firsttrading day of the month displayed co che last trading day of that month. The final column refteCls 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 chat the Index will achieve che 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 Starr Dace' . Index l evel Data Current: Current refers to the closing level o' the index as of che trad ing day immediately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during che time period selected, with the date on which such highest closing level occurs indicated under che "Date" column next to the High level. The High level may be a hypothetical, hiswrical level and not an actual level of the Index. There is no guarantee chat the Index will achieve 1he High level in the future. l ow: l ow refers to the lowest closing level of the index during che time period selected, with the date on which sue- 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 che Index. The level of the Index could, in che future, decline below the Low level displayed on this website. Start: Start refers to the closing level of the index on che 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 10 che standard deviation of the daily logarithmic returns of che index over che time period specified and annualized. Volatility is a widely used measure to express the risk of :he 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 informacion that has inherent limitations. No represen:ation is made chat in the future the Index will have the Volatility shown. Acm al annualized Volatility may vary materially from the analysis impliec in this hypothetical, historical calculation. |
Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential r eturn of an index per unit of risk. For a given index and a specified time period, it is calculated by dividing the Annualized Retu rn for the specified ti me period by the Volatility for the specified time period. The Sharpe Ratio calculation may coma1n componeniS 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 Rerum 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 percem age 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 perc enrage change in the index from the first day of :he speciiied 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 futu re. Past performance is not indicative of future returns. Average Monthly Return: Average Momhly 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 hypoth1!tical, historical Index levels and not actual Index levels. There is no guarantee thai Ihe Index will achieve the Average Monthly Return in the fuiUre. 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 preceding the specifred end dare 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 t he specified end date to the trading day immediately preceding the specified end date. The Daily Return may be based on hypothetical, historical ind'ex levels and not acw al index levels. There 15 no guaramee 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 retu rn 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 Rem rn may be based on hypothetical, historical i ndex 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 1S 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 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 Retur n 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 uading day immediately preceding the specified end date. The 3 Month Return m ay 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 tha: occurs 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 Dased on hypothetical, historical index levels and not actual Index levels. There is no guarantee 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 orimmedrately preceding the date occurring three years priorto 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 uading day immediately preceding the specified end dateland is not annualized]. The 3 Year Return may be based on hypothetical, historical Index levels and not acw al lndex levels. There is no guarantee that lhe 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 trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring five years prior to t he specified end date !0 rhe specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day Immediately precechng the specified end date, and is not annualized. The 5 Year Return may be based on hypotherical. histoncal lndex levels and not actual Index levels. There is no guarantee that the Index will achieve the 5 Year Rewrn in the future. Past performance is not indicative of future returns. {2) Short Summary of the Risks The Index was established on August 31, 2012 and therefore has limited operating historv. Past performance should not be considend mdicative of future performance. The level of rhe Index incorporates the daily deduction of (a) an adjustment factor of 0.75% per annum (the "index fee") and (b) a "daily rebalancing adjustment amount" that is equal to the sum of (I} a rebalancing adjusrment factor of between 0.20% and 0.50% per day (depending on the level of the VIX Index), applied to : he aggregate notional amount of each of the VIX furures contracts hypothetically traded that day and (2) an additional amoum equal to the rebalancing adjustment factor of between 0.20% and 0.50% per day (depending on the level of the VIX Index) applied to the amount of the change, if any, in the level of the exposure to the synthetic shan position. Unlike the index fee, the rebalancing adjustment factor is not a per annum fee. The level of the Index and the value of the notes will be adversely affected. perhaps significantly, if the performance of the synthetic long posiuon and the contingent synthetic short position in the relevam VIX futures contracts, determined based on the official settlement prices of the relevant VIX futu-res contracts, is not sufficient to offset the daily deduction of the index fee and the daily rebalancing adjustment amoum. The daily rebalancing adjustment amount is likely to have a substantial adverse effea on the level of the Index. The Index may not be successful and may not outperform any alternative strategy. Strategies that provide exposure to equity volatility, which are subject to significan: fluctuations, are not suitable for all investors. When the symhetK short position is activated, any return on an investment linked to the Index is dependent on rhe net performance. not the absolute performance, of the long and short positions. Due to the rime lag inherent 10 the Index, the exposure to the syn;hetic short position may not be adjusted quickly enough to offset loss or generate profit. Because exposure to the svntheuc shon posmon is adjusted only 1f the applicable conditions are satisfied for 1hree consecuuve business days, rhe exposure to the synthetic short position may nor be adjusted during non[] trending market conditions. The Index level may not increase even when the synthetic long position or tlle synthetic short position, when activated, generates a positive return. You may lose some or all of your investment in the Index because there are no limits on losses related to the shonposition embedded in the Index and changes in the prices of the underlying VIX furores contracts may reduce the level of the Index. The Index compnses only notional assets and liabilities. The Index is an excess return index and reflects the performance of an uncollateralized investmem 1n futures contracts. The Index is subject to risks associated with futures contracts. Our affiliare, J.P. Morgan Securities pic ("JPMS pic'), is the calculation agent and may adjust the Index in a way that affects iiS 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 obligarion to cons1der your interest as an investor 1n 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 mar"' information regarding the Index. clients should comact their J.P. Morgao representative. (3) General Disclaimers For certificates of deposit: The information contained on th1s Website is for discussion purposes only. Any information relating to performance contained in these materials is mustrative and no assurance is given that any indicative rerurns, performance or results, whether historical or hypothetical, will be achieved. These terms are subject to change. and JPMorgan undertakes no dury to update this information. This information shall be amended, superseded and replaced in its entiretY by a subsequemterm sheet, disclosure supplement and/or private placemem memorandum, and the documems referred to therein. In the evem any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/or private placemen; memorandum. such term sheet, disclosure supplemem and/or pnvate 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 uansaclions. In reaching a determination as to the appropriateness of any proposed transaction, clients should undertake a thorough 1ndependem review of the leg-I, regularory, credit, tax, accounting and economic consequences of such transaction 1n 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. AU 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 rhese materials relate. Before you invest in a ny offering of securities by J.P. Morgan, you should read the prospectus in that registration statement and rhe orher 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 .v1 []w.sec.gov. Alternatively, J.P. Morgan, any agent, or any dealer par ticipaTing 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 request by calling 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 instrum ent or transacrion 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 1hese materials. The hypothetical, back-tested, historical levels presented herein have not been verified by an independent third pany, and such hypothetical, back-tested, histor ical levels have inherent limitations. Alternative simulations. techmiques, 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 1his website. IRS Circular l3D Disclosure We and our affiliat es 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, i n connection with the promotion, marketing or recommendation by a nyone unaffiliated with J.P. Morgan of any of the matters address herein or for the purpose of avoid ing 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. J.P ]\ lorgan I p [] - ' ,, )e '"'' I T"' 'l' [][ II[]" I .. of'"' ,, - Copyright ll 2015 JPMorgan Chase and Co. All Rights Reserved |
J.P. Morganlnvestable Indices Home --} Indices __, Index Summary [GRAPHIC OMITTED] ' . summary [][] ... JPMorgan Strategic Volatility Index: Jun 10 2 0 1 4 to Jun o8 2015 [GRAPHIC OMITTED] [GRAPHIC OMITTED] |
Index Level Data ---------------- ----------- Level Date ------- -------- ----------- Current 238.96 08-Jun-2015 High 359.72 23-Jun-2014 Low 192.33 30-Jan-2015 Start 359.7 10-Jun-2014 End 238.96 08-Jun-2015 Risk Measures ================ ======= Volatility 20.97% Sharpe Ratio -1.61 Maximum Drawdown -46.53% Return Statistics ====================== ======= Annualized Return -33.72% Average Monthly Return -2.64% Return ==================== ======== Daily Return -0.9% Month to Date Return -0.98% Year To Date Return 10.69% 3 Month Return 12.68% 1Year Return -33.68% 3 Year Return -55.69% 5 Year Return []35.6% Monthly Return (%) Jan Feb Mar ---- ------ ----- ---- 2014 2015 -10.91 11.24 4.95 Apr May Jun Jul ---- ---- ----- ----- -1.78 -5.65 3.62 3.73 -0.98 Aug Sep Oct Nov ---- ----- ------ ---- 0.18 -2.54 -22.51 3.88 Dec Year ------ ------ -17.75 -50.36 10.69 |
Footnotes (l) Calculation descriptions The first twelve columns under "Mo1thly Return(%)' above reflect the performance of the index from the firsttrading day of the month displayed co the last trading day of that month. Till:' lilldltulumn lt'flt'Lt!. tin:[] IJI:'I fu1 'lldiiLI:' of thl:' im.Jt'x fo1 Lhl:' yt'dl Ubpldyl:'tl. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee chat the Index will achieve the monthly and annual returns displayed in the fucure. 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 dace specified at the "Selected Start Dace'. Index level Data Curren!! Current refers to the closing level o' the index as of the trad ing 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 l evel 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. low: low refers to the lowest closing level of the index during the time period selected, with the da:e on which sue- 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. stare 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 che time period indicated. Risk Measures Volatility: Volatility refers to che 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 over ihe specified time period. Compared co conventional arithmetic rerurn 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 informacion that has inherent limitations. No represen:ation is made that in the future the Index will have the Volatility shown. Actual annualized Volat-ity may vary materially from the analysis impliec in this hypothetical, historical calculation. |
Sharpe Ratio: The Sharpe Ratio is a measure chat 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 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 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 first day of the specified time period to the last day of the specified ti me 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 Momhly 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 Rew rn is the percentage change in the index during the monthly period. The Average Monthly Retu rn may be b{.sed 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 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 rew rns. 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 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 fuwre. 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 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 acwal lndex 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 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 trad ing day, to the tradirg 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 indicacive of future returns. 1 Year Return: The 1 Year Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring one year prior to the specified end date to the specified end dace, 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 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 the I 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 dale occurring three years prior to t he specified end date to the specified 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[and 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 10 the future. Past performance IS not indicative of future returns. 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 {he specified end date to the specified end date, provided that if the specified end date is today's date or nor a trading day, to the trading day 1mmed1ately preceding the specif1ed end date. and rs nor annualized. Tho? 5 Year Return mav 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 30. 2010 and therefore has limited operating history. Past per formance should not be considered indicative of future performance. The level of the Index incorporates the daily deduction of (a) an adjustment factor of 0 .75% per annum (the "index fee") and (b) a "daily rebalancing adjustment amount" that is eQual to the sum of (l ) a rebalancing adjustment factor of between 0.20% and 0.50% per day (depending on the level of the VIX Index), applied to the aggregate notional amount of each of the VIX futures contracts. hypothetically traded that day and (2) an additional amount equal to the rebalancing adjustment factor of between 0.20% and 0 .50% per day (depending on the level of the VIX Index) applied to the amounc.oi the change, rf any, in the level of the exposure to the symheric short position. Unlike the index fee, the rebalancing adjustment factor is not a per annum fee. The level of the Index and the value oi the notes will be adversely affected, perhaps significantly, if the performance of the synthetic long position and the contingent synthetic short position in the relevant VIX futur es contracts, determined based on the official settlement prices of the relevant VIX futures contracts. is not sufficient to offset the daily deduction of the index fee and the daily rebalancing adjustment amount. The daily rebalancing adjustment amount is likely to have a substanual adverse effect on the level of the lnde-. The Index may not be successful and may not outperform any alternative strategy. Strategies that provide exposure to equity volatility, which are subject to significam fluctuations, are not suitable ior all investors .. When the synthetic short pos ition is activated, any return on an investment linked to the Index is dep endent on the net performance, not the absolute performance, of the long and short positions. Due to the time lag inherent in the Index, the exposure to the synthetic short position may not be adjusted Quickly enough to offset loss or generate profit. Because exposure to the synthet{c short poslt{on IS adjusted only if the applicable conditions are satisfied for three consecutive business days, the exposure to the synthetic short posit ion may not be adjusted during non[] trending market conditions. The Index level may not increase even when the synthetic long position or the synth etic short position. when activated, generates a positive return. You may lose som e or all of your investment in the strategy because there are no limits on losses related to the short p-sition embedded in t he Index and changes in the prices of the underlying VIX futures contracts may reduce the level of the Index. The Index comprises oniy notional assets and liabilities and therefore there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership. The Index is an excess return index and reflects the performance of an uncollateralized investment in funues contracts. The Index is subject ro risks associated with futures contracts. 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 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 this summary of risks, govern the calculation and constitution oi the Index and other decisions and act;ons relating to its maimenance. Additional informatio n IS available upon reQuest. For more information regarding the Index, clients shou ld 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 refaring to performance contained in these materials 1s illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. These terms are subjen to change, and JPMorgan undertakes no duty to update this infor mation. This informacion shall be amended, superseded and replaced in its entirety by a subseQuent term sheet. disclosure supplement and/or pnvate placement memorandum, and the documents referred to therem. 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 supplemem 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 oi 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 representatio n 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 documents relating to the offering that J.P. Morgan files with the SEC for more complete information about J.P. Morgan and the offer ng 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 par ticipating 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 request by call ing toll-free 866[]535[]9248. Use of Simulated Returns Back[] testing and other statistical analysis mater ial 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 wit h t hese 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 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 recommendation by anyone unaffiliated with J.P. Morgan of any of the matters address herein or for the purpose of avoid ing 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, regu latory or tax advice. Investors should consult with their own adviso[]s as to these matters. J.P.l\lorgan I P -. ''"[]'' "[] I T"'l'' '''''" I L "f'"''' ... Copyright02015JPMorganChaseandCo.AIIRightsReserved |
J.P. Morganlnvestable Indices [GRAPHIC OMITTED] Home _. Indices _. Index Summary Summary ... ... J.P.Morgan Strategic Volatility Modified Index: Jun 10 2 0 1 4 to Jun o8 2015 [GRAPHIC OMITTED] [GRAPHIC OMITTED] |
Index Level Data ---------------- ----------- Level Date ======= -------- =========== Current 279.99 08-Jun-2015 High 442.88 23-Jun-2014 Low 225.36 30-Jan-2015 Start 442.85 10-Jun-2014 End 279.99 08-Jun -2015 Risk Measures ================ ======== Volatility 22.3% Sharpe Ratio []1.66 Maximum Drawdown -49.11% Return Statistics ====================== ======= Annualized Return -36.93% Average Monthly Return -2'.93% Return ==================== ======= Daily Return -0.9% Month to Date Return -0.98% Year To Date Return 5.47% 3 Month Return 12.68% 1Year Return -36.89% 3 Year Return -50.78% 5 Year Return -50.78% Monthly Return (%) Jan Feb Mar Apr ---- ------ ---- ---- ---- 2014 2015 -15.11 1124 4.94 3.62 May Jun Jul Aug Sep ---- ----- ----- ---- ------ -1.78 -5.65 2.81 []2.54 3.73 -0.98 Oct Nov Dec Year ------ ---- ------ ------ -22.41 3.88 -20.05 -46.53 5.47 |
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 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: 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 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 retur ns. 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. |
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 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 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 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 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 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 immediat ely preceding the specified end date to the specified end date, provided that if the specified end date is today's dare 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 trading day immediately preceding the specified end date. The Daily Return m ay 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 fuwre 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 trad ing day immediately preceding the specified end dare. 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 specified end date, provided that if the specified end date is roday's date or not 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 Retu rn in the future. Past performance is nor indicative of future r eturns. 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 nor 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. 1 Year Return: The 1 Year Return is the trailing return of the Index from the trading day ! hat occurs on or 1mmed1ately preceding the date occurring one year prior to the specified end date to the specified end dare. provided that 1f 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 acruallndex levels. There is no guarantee that the Index will achieve the 1 Year Retu rn 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 thar occurs on or immediately preceding the date occurring three years prior to the specified end date to rhe 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 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 rhe Index will achieve the 3 Year Return in the future. Past performance is not indicative of future retur ns. 5Y Return: The 5 Year Retu rn is the trailing return of the Index from the trading day rhar occurs on or immediately preceding the date occurring five years prior to the specified end dare w rhe specified end date, provided that if the specified end date is today's date or nor a rrading day, to the trading day immediately preceding the specified end date, and is not annualized. The 5 Year Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that : he 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 established on August 14. 2014 and therefore has limited operating history. Past per formance should not be considered indicative of futur e performance. The level of the Index incorporates the daily deduction of (a) an adjustment factor of 0.75% per annum and (b) a ?daily rebalancing adjustment amount? that is determined by applying a rebalancing adjustment factor of between 0.20% and 0.50% per day (depending on the level of the VIX Index) 10 both (1) the aggregate notional amount of each of the VIX futures contracts hypothetically traded that day and (2) the amount of the change. if any, in the level of the exposure to the synthetic short position. Unlike the adjustment factor, the rebalancing adjuSlment factor is not a per annum fee. The daily rebalancing adjustment amou nt is intended to approximate the slippage costs that would be experienced by a professional inveswr seeking to replicate the hypotnetical portfolio contemplated by the Index at prices that approximate the official serrlement prices (which are not generally tradable) of the relevant VIX futures contracts. Slippage costs are costs that arise from deviations between the actual official settlement price of a VIX futures contract and the prices at which a hypothetical investor would expect to be able to execute trades in the market when seeking co match the expected official serrlement price of a VIX futures contract. The daily rebalancing adjustment amount is likely to have a substantial adverse effect on the level of the Index. The Index may not be successful and may not outperform any alternative strategy. Strategies that provide exposure to eQuity volatility, which are subjea to significant fluctuations, are not suitable for all investors. The Index com prises only notional assets and liabil ities and 1herefore there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership. The synthetic investment strat egy on which the Index is based may not be successful, may nor outperform any alternative strategy. There is unlimited loss exposure to the synthetic short position, when activated, and such exposure may result in a significant drop in the level of the Index. Because exposure to the syntftetic short position is decreased only if the applicable conditions are satisfied for four consecutive index business days, the exposure to the synthetic short position may not be decreased during non[]rrending market conditions. Changing prices of the VIX futures contracts included in the Index may have an adverse effect on the level of the Index. The level of the Index may not increase even when the svnrhetic long position or the symhettC short posiuon. when activated, generates a positive return. Due to the !tme lag inherent 1n the Index, the exposure to the synthetic short position may not be adjusted Quickly enough in response to a change in market conditions for the investment strategy on which the index is based to be successful. The Index is subjeu. to risks associated with futures contracts. 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 polides 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 this summary of risks, govern : he calculation and constitution of the lndeJ{ 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. (3) General Disclaimers For certificates of deposit: The information contained on this Website is ior 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 10 there10. 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 products linked to an Index require investors to assess se11eral characteristics and risk factors that may not be present in other types of uansactions. In reaching a determination as to the appropriateness of any proposed transaction, clients should undertake a :horough independent review oi the legal, regulatory, credit, tax, accounting and economic conseQuences of such transaaion in relation to their particular circumstances. This website contains market data from various sources o1her 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 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. J.Pl\lorgan I : \ 'e ' ,. I 'elll[] tl[]- I ' e l-[]: Copyright ll20!5JPMorganChaseandCo.AIIRightsReserved |
f.P. Morganlnvestable Indices Hom- -lnd CI?S -Index Summary [GRAPHIC OMITTED] Summary ... I I I " [] t " J.P. Morgan Volemont Strategy- U.S. Equity (Series 1) (USD): Jun 10 2014 to Jwl o8 2015 [GRAPHIC OMITTED] [GRAPHIC OMITTED] |
Index Level Data ---------------- ----------- Level Date ------- -------- ----------- Current 260.64 08-Jun-2015 High 278.67 19-Sep-2014 Low 249.94 30-Jan-2015 Start 272.1 10-Jun-2014 End 260.64 08- Jun-2015 Risk Measures ================ ======= Volatility 5.5% Sharpe Ratio -0.77 Maximum Drawdown -10.31% Return Statistics ====================== ====== Annualized Return -4.23% Average Monthly Return -0.31% Return ==================== ====== Daily Return -0.24% Month to Date Return 0.09% Year To Date Return 2.24% 3 Month Return 1.54% 1Year Return -4.11% 3 Year Return 9.2% 5 Year Return 45.5% Monthly Return (%) Jan Feb Mar Apr ---- ----- ---- ----- ---- 2014 2015 -1.95 3.18 -0.75 1.05 May Jun Jul Aug Sep ---- ---- ----- ---- ----- 1.29 -0.92 1.49 -0.02 0.68 0.09 Oct Nov Dec Year ----- ---- ----- ----- -5.19 1.65 -4.04 -6.36 2.24 |
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 mooch displayed co the last trading day of that month. The final column reflects the performance of che index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee chat the Index will achieve che 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 a: 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 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 over the specified time period. Compared co conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calcu lations 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. |
Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential return of ao index per unit or risk. For a given index and a specified time period, it is calculated by dividing the Annualized Return for the specified rime 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 limitations. No r epresemation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Return and the Volatility and, accordingly, the Shar pe Ratio, may vary materially from the analysis implied in any hypothetical, historical calculation. Maximum Drawdown: Maximum Drawdown is the percentage change in the index from the highest value reached over the specifted 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 rhe 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 constderable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the percentage change in the index from the first{lay of the specified time period ro the last day of the specified time 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 rhe lnde- wm achieve 1he Annualized Return in the futu re. 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 rhe 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 crading day immediately precedi ng the soecified end da1e to the specified end date, provided that if the specified end date is roday'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 fuwre re: urns. Month to Date Return: The Month to Date Return is the return of the Index from the last tradi ng day of the month thac 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 nor actual Index levels. There is no guarantee that the Index will achieve che Month to Date Return in che future. Past performance ts not indicative of future returns. Year to Date Return: The Year to Date Return is the retu rn of the Index from the last trading day of the year thac 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 Year 10 Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There as 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 uading day immediately preceding che 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. Pas: performance is not indicative of future returns. 1 Year Return: The I Year Return is the trailing return of the Index from the trading day that occurs on or tmmedtately preceding the date occurring one year prior to the specified end date to the specified end date. provided that it the specified end date is today's date or not a rrading day, to the trading day tmmediacely preceding the specified end date. The I Year Return may be based on hypothetical, hiscoricallndex levels and not actual Index leveis. 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 Return: 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 1n the future. Past performance is not ind1cative of future returns. 5Y Return: The 5 Year Return is the trailing rerurn of the Index from the trading day that occurs on or immediately preceding che 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 me specified end date, and is not 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 Vear llewrn 1n the future. Past performance IS not indicative of future returns. {2) Short Summary of the Risks The Index was established on Aprill3, 2013 and therefore has limited operating h[]story. Past performance should not be cons1dered mdicative of future performance. Strategies that provide exposure to equity volatility, which are subject to significant fluctuations, are not suitable for all investors. The Index comprises only notional assets and liabilities and therefore there is no actual 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 not be successful and may not outperform any alternative strategy. The weighting methodology of the Index may not be successful. There are concentration risks associated with the Index. The determonation of the stnke level as part of the calculation of the variance component includes a downward adjustment that will adversely affect the level of the variance component. The daily rebalancing adjustment amount is likely to have a substantial adverse effen on the level of the futures component over time. There are risks associated with the methodology employed with respect to the variance component: [] The returns on the synthetic variance swaps underlying the variance component are capped. [] The returns on the synthetic variance swaps underlying the variance component are non-linear, which may have an adverse effect on the level of the variance component.[] The variance component may be uninvested ai any rime.[] During low volatility market conditions, the variance component will provide decreased exposure 10 shon positions in any symhetic variance swaps. [] Mark-to-market values of the existing shan positions in the synthetic variance swaps will have direct and indirect effects on the level of the variance component. There are risks associated with the methodology employed with respect to the futures component: [] The level of the futures component is expected to increase only in limited market conditions and is expected to decrease in other market conditions, which may adversely affect the level of the volatility index. [] The futures component is likely to be uninvested (and, therefore, provide no exposure to VIX futures contracts) for sustained periods of time. [] Because the long return exposure IS adjusted only if the applicable conditions are satisfied for three consecutive futures component calculation days, that are no disrupted futures component calculation days, the long return exposure may not be adjusted during non -trending market conditions.[] Due to the time lag inherent in the futures component, the long return exposure may not be adjusted quickly enough in response to a change in market conditions for :he investment strategy on which the futures component is based to be successful. [] Changing prices of the VIX futures contracts included in the futures component may have an adverse effect on the level of the futures component. [] VIX futures contracts have limited historical information. 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 which JPMS pic \s 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 matntenance. A{lditional 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 sheer, disclosure supplement and/or private. placement memorandum, and the documents referred to therein. I n the event any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/or pnvate placement meiT".orandum, 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 lfansactions. In reaching a determination as to the appropriateness of any proposed transaction, clients should undenake a thorough independent review of the legal, regularory, credit, tax. accounting and econom1c 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 che ocher 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 par ticipating in the particular offering will arrange to s.end you the prospectus and the prospectus supplement, as well as any product supplemem, underlying supplement and term sheet or pricing supplement, if you so request by call ing toll-free 866[]535-9248. Use of Simulated Returns Back[]testing and other statistical analysis mater ial 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 ro 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 transaaion 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 rhese 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 resuh;s will vary, perhaps materially. from the simulated returns presented in :his 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 wrirten 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 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 descri bed herei n may nor 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. J.P l\lorgan I ' . - [], '[]"'' ,. I T"' [][]l[] []t ' ''" I [] .- , "' "',,. Copyright 0 2015 JPMorgan Chase and Co. All Rights Reserved |
J.P. Morganlnvestable Indices Hn"l- -i'ldirl?s -Index Summary [GRAPHIC OMITTED] Summary ... [] [] JPMorga.n US Treasury Note Futures (G) Tracker: Jun 10 2014 to Jun o8 2015 [GRAPHIC OMITTED] [GRAPHIC OMITTED] |
Index Level Data ---------------- ------------ Level Date ------- -------- ------------ Current 226.38 05-J un-2015 High 234.54 02-Feb-2015 Low 219.81 17-Jun-2014 Start 220.09 10-Jun-2014 End 226.38 05-Jun-2015 Risk Measures ================ ====== Volatility 4.8% Sharpe Ratio 0.6 Maximum Drawdown -3.48% Return Statistics ====================== ===== Annualized Return 2.9% Average Monthly Return 0.23% Return ==================== ======= Daily Return []0.66% Month to Date Return -2.02% Year To Date Return -0.34% 3 Month Return -0.26% 1Year Return 2.57% 3 Year Return 2.03% 5 Year Return 19.27% Monthly Return (%) Jan Feb Mar Apr ---- ---- ----- ---- ----- 2014 2015 3.21 -1.86 0.87 -0.41 May Jun Jul Aug Sep ----- ----- ----- ---- ----- 0.22 -0.45 1.39 -0.91 -0.03 -2.02 Oct Nov Dec Year ---- ---- ---- ----- 1.38 1.04 -0.2 5.83 -0.34 |
Footnotes Ul Calculation descriptions The first twelve columns under "Monthly Return(%)' above reflect th e perfo rmance of the index from the first trading day of the month displayed to the last trading day of that momh. The final column reflects the performance of the index for the year displayed. These returns mav be based on hypothetical, historical index levels and rot actual index levels. There is no guarantee that the Index will achieve the monthly and annual returns displayed in the future. Pasc perform ance is not indicative of future retu rns. [][] [] As of the date shown abov e, 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 accl'ssed this website. High: High refers to the highest closing level of the index during the time perio1 selected, with the date on which such highest closing level occurs indicated under the "Date" column next to the High level. The High Level m ay 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, 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" colum n next to the Low level. The l ow l evel mav 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: Volatility refers to the standar d deviation of the daily logarithmic returns of rhe index over the time period specified and annualized. Volatility is a widely used measure to express the risk of!he financial instrument over the specified time period. Com pared to conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volarili1y calcu lations 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. |
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 ti me period . The Sharpe Ratio calculation may contain components with hypothetical. historical back-tested information that have inherent limitations. No represem ation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Return and the Volatility and, accordingly, the Shar pe Ratio. may vary materially from the analysis implied in any hypothetical, historical calculation. Maximum Drawdown: Maximum Drawdown is rhe 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 nor 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 ti me period and annualized. The Annualized Return may be based on hypothetical, historical Index levels and nor 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 Index will achieve the Average Monthly Return in the future. Past performance is not indicative of futu re returns. Return Daily Return: The Daily Return is the return of the Index from the trading day immedia:ely preceding the specified end date to the specified end date, provided that if the specified end date is wday's date or not a trading day, 1he Daily Return is the return of the Index from the trading day that is two uadingdays 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 rew rns. 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 dare is roday"s date or nor 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 nor 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 d-y of !he 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 u ading day, to the trading day immediately preceding the specified end date. The Year to Date Return may be based on hypothetical, histor ical Index levels and not acw allndex levels. There is no guarantee that the Index will achieve the Year to Date Return in the future. Past per formance 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 rhat if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end dare. The 3 Month Return may be based on hypothetical. historical Index levels and nor 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 occurs on or immediately preceding the date occurring one year prior to the specified end date to the specified end dare. provided that if the specified end date is today's date or nor 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 .;nd nor acw allnde[] levels. There is no guarantee that rhe Index will achieve the 1 Year Return in rhe future. Past oerformance 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 tllree years prior to t he 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 nor 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 10 the future. Past performance IS not mdicative of future returns. 5Y Return: The 5 Year Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the dare occurring five years prior to the specified end date to tile SJ}ecified 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 Return may be based on hypothetical, historical Index levels and not anual lndex levels. There is no guarantee that the Index will achieve t he 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 August 28, 2009 and therefore has limited operating history. Past performance should not be consider ed mdicative of future performance. The Index may in the future be subject to an adjustment factor that could negatively affect the level of the Index The Index comprises notional assets only. Vou will not have any claim again;;t any of the lO[]year Treasury futures underlying the Index or rhe related Treasury securities. The level of the Index changes daily, at times significantly based upon the current market prices of the volatile lO[]year Treasury futures contracts and the related Treasury notes. These market pn ces are influenced by a variety of factors, particularly interest rate changes, the yields on the Treasury futures/ notes as compared to current market imeres: rates and the actual or perceived credit quali!V of rhe U.S. government. The Index may be subject to high levels of volatility. Futu res comram on the lO[]year U.S. Treasury notes are highly leveraged and often display higher volatility and less liquidity than the lO[]year U.S. Treasury Notes. The settlement price of 10 year Treasury Futures may not be readily available. Our affiliate, J.P.Morgan Securities pic ('JPMS pic"), is the index calculation agem and may adjust the Index in a way that affects its level. The policies and judgments for which JPMS pic is responsible cou ld have an impact. positive or neganve, on the level of the Index and the value of your investment. JPMS pic IS under no obligation to consider your interest as an investor in financial instruments linked to the Index. The risks identified above are not exhaustive. The Index Rules. and not any description in this summary of risks, gover n the calculation and constitution of the Index and other decisions and actions relating to its maimenance. Additional information is available upon request. For more information regarding the lmlex, clients should contac: : heir J.P. Morgan representative. (3) General Disclaimers For certificates of deposit: The information contained on this Website is fo r discussion purposes only. Any information relating to performance contained in these matenals is illustrative and no assurance is g1ven 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 mformation shall be amended, superseded and replaced in its entirety by a subsequent term sheet, disclosure supplement and/or private placement memorandum, and the documems referred to tllerein. In the event any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/ or private placement memor andum, such term sheet. disclosure supplement and/or private placemenr memorandum shall govern. Investments in products linked to an Index require investors to assess sev eral characteristics and risk factors that may not be present in other types of rransac;ions. In reaching a determination as to the appropriateness of any proposed transaction, clients should undertake a thorough independent reVtew of the legal, regulatory, credit, tax, accounting and economic consequences of sucln ransawon in relation to their particular circumstances. This website contains market data from various sources other than us and our affiliates, and, accordingly. we m ake no representation or warranry 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 fi led a registration statement (including a prospectus) with tile Securities and Exchange Commission (thl? ' 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 t he 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 [] .. w ..sEc.go [] . Alternatively, J.P. Morgan, any agent, or any dealer participating in the particular offering will arrange to send you the prospectus and rhe prospectus supplement, as well as anv product supplement, underlying suoplement 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 analysis material that is provided in connection with the explanations of the potential rew rns of the products linked to the Index use simulated analYSIS and hypothetical mcumstances w estimate how it may have performed prior to its actual existence. The resuiiS 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 pwducts linked to the Index will operate or would have operated in the past in a manner consistent wit h t hese materials. The hypothetical, back-tested, historical levels presented herein have not been verified by an independent third parry, 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 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 recommendation by anyone unaffiliated with J.P. Morgan of any of the maners address herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitab ility 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 nor be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. J.P.l\[]lorgan I P ,,,c, 1. '"""[]-} I T"'l"oflh- I Ccuf 1e' p," []c, CopyrightCI2015JPMorganChaseandCo.AIIRightsReserved |
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