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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.
Capped Return Enhanced Notes Linked to the Hang Seng China Enterprises Index
due July 29, 2015
The notes are designed for investors who seek a return of 2 times the
appreciation of the Hang Seng China Enterprises Index at maturity, subject to a
maximum return of 20.50% . Investors should be willing to forgo interest and
dividend payments and, if the Ending Index Level is less than the Initial Index
Level, be willing to lose some or all of their principal. Any payment on the
notes is subject to the credit risk of JPMorgan Chase and Co.
Trade Details/Characteristics
Reference Index: The Hang Seng China Enterprise Index ("the Index")
Maximum Return: 20.50%. For example, if the Index Return is equal to or greater than 10.25%, you will receive the
Maximum Return of
20.50%, which entitles you to a maximum payment at maturity of $1,205 per $1,000 principal amount
note that you
hold
Upside Leverage Factor: 2.00
Index Return: (Ending Index Level -- Initial Index Level) / Initial Index Level
Pricing Date: April 24, 2015
Initial Index Level: The Index closing level on the pricing date
Ending Index Level: The arithmetic average of the closing levels of the Index on each of the Ending Averaging Dates
Ending Averaging Dates: July 20, 2015, July 21, 2015, July 22, 2015, July 23, 2015, and July 24, 2015 (the Final Ending
Averaging Date)
Payment at Maturity: If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a
cash payment that
provides you with a return per $1,000 principal amount note equal to the Index Return multiplied
by 2, subject to
the Maximum Return. Accordingly, if the Ending Index Level is greater than the Initial Index
Level, your payment at
maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 [] (Index Return x 2)], subject to the Maximum Return
If the Ending Index Level is equal to the Initial Index Level, you will receive the principal
amount of your notes at
maturity.
Your investment will be fully exposed to any decline in the Index. If the Ending Index Level is
less than the Initial
Index Level, you will lose 1% of the principal amount of your notes for every 1% that the Ending
Index Level is less
than the Initial Index Level, and your payment at maturity per $1,000 principal amount note will
be calculated as
follows:
$1,000 + ($1,000 [] Index Return)
If the Ending Index Level is less than the Initial Index Level you will lose some or all of your
initial investment at
maturity.
Preliminary Termsheet http://www.sec.gov/Archives/edgar/data/19617/000095010315003077/dp55418_fwp-434.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.
---------------------------------
=======================================================================================================================
Hypothetical Return for the Notes at Maturity
Note Payoff at Maturity Index Return
Index Return
The following table illustrates the hypothetical total return at maturity on
the notes. The "total return" as used herein is the number, expressed as a
percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000.
Each hypothetical total return or hypothetical payment at maturity set forth
above and below assumes an Initial Index Level of 14000.00, an Upside Leverage
Factor of 2.00 and a Maximum Return of 20.50% . The actual Maximum Return will
be set on the pricing date and will not be less than 20.50% .
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.
[] Your maximum gain on the notes is limited to the maximum return.
[] Any payment on the notes is subject to the credit risk of JPMorgan Chase and
Co.
[] JPMorgan 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.
[] No ownership or dividend rights or interest payments in the stocks that
comprise the Index.
[] Lack of liquidity - J. P. Morgan Securities LLC ("JPMS") 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 trade or sell the notes easily.
[] 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.
[] 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.
[] 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.
[] Risks related to non-U. S. issuers of equity securities located in
emerging markets countries.
[] The averaging convention used to calculate the Ending Index Level could
limit returns.
[] No direct exposure to fluctuations in foreign exchange rates.
Hypothetical Examples of Amounts Payable at Maturity
---------------------------------------------------------
Ending Index Level Index Return Total Return on Notes
------------------ ------------ -------------------------
25200.00 80.00% 20.500%
21000.00 50.00% 20.500%
19600.00 40.00% 20.500%
18200.00 30.00% 20.500%
16100.00 15.00% 20.500%
15750.00 12.50% 20.500%
15435.00 10.25% 20.500%
14700.00 5.00% 10.000%
14140.00 1.00% 2.000%
------------------ ------------ -------------------------
14000.00 0.00% 0.000%
13300.00 -5.00% -5.000%
12600.00 -10.00% -10.000%
11900.00 -15.00% -15.000%
9800.00 -30.00% -30.000%
8400.00 -40.00% -40.000%
7000.00 -50.00% -50.000%
1400.00 -90.00% -90.000%
0.00 -100.00% -100.000%
------------------ ------------ -------------------------
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. Filed
pursuant to Rule 433 Registration Statement No. 333-199966 Dated: April 21,
2015
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