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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
January 6, 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
12.80% 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 15.00% .
Trade Details/Characteristics
----------------------------- ----------------------------------------------------------------------------------------------------
Index: EURO STOXX 50([R]) Index ("the Index")
Knock-Out Buffer Amount: 15.00%
Index Return: (Ending Index Level - Initial Index Level) / Initial Index Level
Contingent Digital Return: At least 12.80%
Maximum Return: At least 12.80%
Maximum Potential Loss: 100.00%
Monitoring Period: The period from but excluding the pricing date to but excluding the First Ending Averaging Date
Maturity: January 06, 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: December 24, 2015, December 28, 2015, December 29, 2015, December 30, 2015, and the
Final Ending Averaging Date
Final Ending Averaging Date: December 31, 2015
Preliminary Termsheet: http ://www.sec.gov/Archives/edgar/data/19617/000095010314008810/dp51885_fwp-1221.htm
----------------------------------------------------------------------------------------------------
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
(1) The Index Closing Level is greater than or equal to 2550.00 (85.00% of the
hypothetical Initial Index Level) on each day during the Monitoring Period and
the Ending Index Level is greater than or equal to 2550.00 (2) The Index
Closing Level is less than 2550.00 (85.00% of the hypothetical Initial Index
Level) on at least one day during the Monitoring Period or the Ending Index
Level is less than 2550.00.
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.
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 12.80% 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
Ending Index Level Index Return Total Return If a Knock-Out Event Has:
------------------ ------------ -----------------------------------------
Not Occurred (1) Occurred (2)
4800.00 60.00% 12.80% 12.80%
4500.00 50.00% 12.80% 12.80%
4200.00 40.00% 12.80% 12.80%
3600.00 20.00% 12.80% 12.80%
3300.00 10.00% 12.80% 12.80%
3150.00 5.00% 12.80% 5.00%
3075.00 2.50% 12.80% 2.50%
------------------ ------------ ---------------- ------------------------
3000.00 0.00% 12.80% 0.00%
------------------ ------------ ---------------- ------------------------
2850.00 -5.00% 12.80% -5.00%
2700.00 -10.00% 12.80% -10.00%
2550.00 -15.00% 12.80% -15.00%
2549.70 -15.01% N/A -15.01%
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: December 16, 2014 Filed pursuant to Rule 433
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