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Hypothetical historical illustration600 of the exposure to the short component
of the Strategic Volatility Index: Sep 2006 to October 2014
0
Source: J.P. Morgan. As of 10/31/2014. PAST PERFORMANCE AND BACK-TESTED
PERFORMANCE ARE NOT INDICATIVE OF FUTURE LEVELS. The Strategic Volatility Index
was launched on 7/30/2010; therefore any data used for that Index prior to that
date is back-tested. The hypothetical, exposure to the short leg obtained from
such back-testing should not be considered indicative of the actual exposure
that would be realized during an investment in the Index. The information in
this chart is provided solely for reference.
Index fee and deductions for rebalancing adjustments
[] The reported level of the Index incorporates the daily deduction of (a) an
index fee 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, both to the aggregate notional amount of each of the VIX
futures contracts hypothetically traded that day and the amount of the change,
if any, in the level of the exposure to the synthetic short position.
[] The daily rebalancing adjustment amount is intended to approximate the
"slippage costs" that would be experienced by a professional investor seeking
to replicate the hypothetical portfolio contemplated by the Index at prices
that approximate the official settlement prices (which are not generally
tradable) of the relevant VIX futures contracts.
Glossary of Select Terms
"contango" is used to describe the shape of a futures curve when the price of
a futures contract with a later expiration is higher than that of a futures
contract with an earlier expiration.
"backwardation" is the opposite of contango and is used to describe the shape
of a futures curve when the price of a futures contract with a later expiration
is lower than the price of a futures contract with an earlier expiration.
"negative roll yield" / "positive roll yield": Because futures contracts have
specific expiration dates, in order for an investor to maintain exposure, the
investor needs to sell a futures contracts as it gets close to expiration and
purchase another contract with a later expiration date. This process is known
as "rolling" the futures position. When a futures curve is in "contango" (see
above), all else being equal, an investor in a long futures position pays a
higher price to buy a later expiration futures contract than the price at which
the investor sells the contract as it nears expiration, thus suffering negative
returns ("negative roll yield"). Whereas when the futures curve is in
"backwardation" (see above), all else being equal, an investor in a long
futures position pays a lower price to buy a later expiration futures contract
than the price at which the investor sells the contract as it nears expiration
thus generating positive returns
("positive roll yield").
What are the main risks in the Index?
[] Any securities we may issue linked to the Index may result in a loss, and
are exposed to the credit risk of J.P. Morgan Chase and Co.
[] The Index has limited operating history.
[] The reported level of the Index incorporates the daily deduction of (a) an
index fee of 0.75% per annum and (b) a "daily rebalancing adjustment amount"
(as described above).
[] 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 subject to
significant fluctuations, are not suitable for all investors.
[] When the synthetic short position is activated, your return on the notes is
dependent 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.
[] The Index comprises only notional assets and liabilities.
[] The Index is an excess return index and reflects the performance of an
uncollateralized investment in futures contracts.
[] Our affiliate, J.P. Morgan Securities Ltd. ("JPMSL"), is the Sponsor and
Calculation Agent for the Index and may adjust the Index in a way that affects
its level.
[] The Index is subject to risks associated with futures contracts.
These risk factors are not exhaustive. Please review the relevant product
supplement we have filed and any relevant term sheet or pricing supplement for
further information on risk factors associated with the J.P. Morgan Strategic
Volatility Index.
Disclaimer
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 this offering will arrange to send you
the prospectus and each prospectus supplement as well as any product
supplement, pricing supplement and term sheet if you so request by calling
toll-free 800-576-3529.
Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No.
333-199966
To the extent there are any inconsistencies between this free writing
prospectus and the relevant pricing supplement, the relevant pricing
supplement, including any hyperlinked information, shall supersede this free
writing prospectus.
Investment suitability must be determined individually for each investor. 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
their own advisors on these matters.
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.
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com November 7, 2014
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