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This slide is not for distribution in isolation and must be viewed in
conjunction with the accompanying term sheet, product supplement, underlying
supplement, prospectus supplement and prospectus, which further describe the
terms, conditions and risks associated with the notes.
Contingent Buffered Equity Note ("CBEN")
JPMorgan Capped Index Knock-Out Notes Linked to the EURO STOXX 50[R] Index due
February 3, 2016
The notes are designed for investors who seek to participate in the appreciation
of the Euro Stoxx50[R] Index, up to the Maximum Return of at least 10.20% at
maturity, and who anticipate that the Index Closing Level on any day during the
Monitoring Period and the Ending Index Level will not be less than the Initial
Index Level by more than 20.00% .
Trade Details/Characteristics
----------------------------- -------------------------------------------------------------------------------------------------
Index: EURO STOXX 50([R]) Index ("the Index")
Knock-Out Buffer Amount: 20.00%
Index Return: (Ending Index Level - Initial Index Level) / Initial Index Level
Contingent Digital Return: At least 10.20%
Maximum Return: At least 10.20%
Maximum Potential Loss: 100.00%
Monitoring Period: The period from but excluding the pricing date to but
excluding the First Ending Averaging Date Maturity: February 03, 2016
Settlement: Cash
Knock-Out Event: A Knock-Out Event occurs if the Index Closing Level on any day
during the Monitoring Period or the Ending Index
Level is less than the Initial Index Level by more
than the Knock-Out Buffer Amount.
Payment at Maturity: If a Knock-Out Event has occurred, you will receive a cash
payment at maturity that will reflect the
performance of the Index, subject to the Maximum
Return. Under these circumstances, your payment at
maturity per $1,000 principal amount note will be
calculated as follows:
$1,000 + ($1,000 x Index Return), subject to the Maximum Return
If a Knock-Out Event has occurred, you will lose
some or all of your principal amount at maturity
if the Ending Index Level is less than the Initial
Index Level. If a Knock-Out Event has not
occurred, your payment at maturity per $1,000
principal amount note will equal $1,000 plus the
product of (a) $1,000 and (b) the Contingent
Digital Return.
Initial Index Level: Index Closing Level on the pricing date
Ending Index Level: The arithmetic average of the Index Closing levels on the five Ending Averaging
Dates Ending Averaging Dates: January 25, 2016, January 26, 2016, January 27,
2016, January 28, 2016, and the Final Ending Averaging Dates
Final Ending Averaging Date: January 29, 2016
Preliminary Termsheet: http://www.sec.gov/Archives/edgar/data/19617/000095010315000292/dp52583_fwp-ps4a1.htm
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Please see the term sheet hyperlinked above for additional information about the
notes, including JPMS's estimated value, which is the estimated value of the
notes when the terms are set. Risk Considerations
The risks identified below are not exhaustive. Please see the term sheet
hyperlinked above for more information.
[] Your investment in the notes may result in a loss of some or all of your
principal, and is subject to the credit risk of JPMorgan Chase and Co. Your
maximum gain on the notes is limited to the maximum return
[] JP Morgan Chase and Co. and its affiliates play a variety of roles in
connection with the issuance of the notes, including acting as calculation agent
and hedging JPMorgan Chase and Co.'s obligations under the notes. Their interests
may be adverse to your interests.
[] JPMS's estimated value does not represent the future value of the notes and
may differ from others' estimates.
[] JPMS's estimated value will be lower than the issue price (price to the
public) of the notes.
[] JPMS's estimated value is not determined by reference to credit spreads for
our conventional fixed rate debt
[] Secondary market prices of the notes will likely be lower than the price you
paid for the notes and will be be impacted by many economic and market factors.
[] The value of the notes as published by JPMS may be higher than JPMS's
then-current estimated value of the notes for a limited time.
[] The benefit of the Knock-Out Buffer Amount may terminate on any day during
the Monitoring Period
[] Your ability to receive the Contingent Digital Return of at least 10.20% may
terminate on any day during the monitoring period.
[] No direct exposure to fluctuations in foreign exchange rates.
[] The averaging convention used to calculate the ending index level could limit
returns.
[] Risks related to non-U.S. issuers
[] Lack of liquidity - J.P. Morgan Securities LLC intends to offer to purchase
the notes in the secondary market but is not required to do so. Even if there is
a secondary market, it may not provide enough liquidity to allow you to sell or
trade the notes easily.
[] No interest or dividend payments or voting rights
Hypothetical Payout For CBEN
--------------------------------------------------------------------------------
If a Knock-Out Event Has Not Occurred (1) If a Knock-Out Event Has Occurred (2)
----------------------------------------- -------------------------------------
[GRAPHIC OMITTED]
(1) The Index Closing Level is greater than or equal to 2400.00 (80.00% of the
hypothetical Initial Index Level) on each day during the Monitoring Period and
the Ending Index Level is greater than or equal to 2400.00 (2) The Index Closing
Level is less than 2400.00 (80.00% of the hypothetical Initial Index Level) on
at least one day during the Monitoring Period or the Ending Index Level is less
than 2400.00. The graphs above collectively demonstrate the hypothetical total
return on the notes at maturity for a subset of Index Returns detailed in the
table below. Your investment may result in a loss of all of your principal at
maturity.
Ending Index Level Index Return Total Return If a Knock-Out Event Has:
------------------ ------------ -----------------------------------------
Not Occurred (1) Occurred (2)
4800.00 60.00% 10.20% 10.20%
4500.00 50.00% 10.20% 10.20%
4200.00 40.00% 10.20% 10.20%
3600.00 20.00% 10.20% 10.20%
3300.00 10.00% 10.20% 10.20%
3150.00 5.00% 10.20% 5.00%
3075.00 2.50% 10.20% 2.50%
------------------ ------------ ---------------- ------------------------
3000.00 0.00% 10.20% 0.00%
------------------ ------------ ---------------- ------------------------
2850.00 -5.00% 10.20% -5.00%
2700.00 -10.00% 10.20% -10.00%
2400.00 -20.00% 10.20% -20.00%
2399.70 -20.01% N/A -20.01%
2100.00 -30.00% N/A -30.00%
0.00 -100.00% N/A -100.00%
The table and charts above assumes an Initial Index Level of 3000. The actual
Initial Index Level will be set on the pricing date. The numbers appearing in
the table and footnotes above have been rounded for ease of analysis.
SEC Legend: JPMorgan Chase and Co. has filed a registration statement (including a
prospectus) with the SEC for any offerings to which these materials relate.
Before you invest, you should read the prospectus in that registration statement
and the other documents relating to this offering that JPMorgan Chase and Co. has
filed with the SEC for more complete information about JPMorgan Chase and Co. and
this offering. You may get these documents without cost by visiting EDGAR on the
SEC Web site at www.sec.gov. Alternatively, JPMorgan Chase and Co., any agent or
any dealer participating in the this offering will arrange to send you the
prospectus, the prospectus supplement as well as any relevant product
supplement, underlying supplement and term sheet if you so request by calling
toll-free 866-535-9248.
IRS Circular 230 Disclosure: JPMorgan Chase and Co. and its affiliates do not
provide tax advice. Accordingly, any discussion of U.S. tax matters contained
herein (including any attachments) is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendation by
anyone unaffiliated with JPMorgan Chase and Co. 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. This material is not a product of
J.P. Morgan Research Departments. Registration Statement No: 333-199966
Dated: January 13, 2015 Filed pursuant to Rule 433
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