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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.
Dual Directional Contingent Buffered Equity Note ("CBEN")
JPMorgan Capped Dual Directional Contingent Buffered Equity Notes Linked to the
Euro Stoxx 50 Index due August 31, 2016
The notes are designed for investors who seek an unleveraged return equal to
any appreciation (with a maximum return of at least 17.90%), or an unleveraged
return equal to the absolute value of any depreciation (up to 17.90%), of the
Euro Stoxx 50 Index at maturity, and who anticipate that the Ending Index Level
will not be less than the Initial Index Level by more than 17.90% .
Trade Details/Characteristics
----------------------------- ---------------------------------------------------------------------------------------------------------------------
Underlying Euro Stoxx 50 Index
Currency USD
Contingent Buffer Amount 17.90%
Monitoring Period At Maturity
Maximum Upside Return 17.90%
Maximum Potential Loss 100.00%
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, 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 x Index Return), subject to the Maximum Return
If the Ending Index Level is less than the Initial Index Level by up to 17.90%, you will receive at maturity a cash
payment that provides you with a return per $1,000 principal amount note equal to the Absolute Index Return,
and your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 x Absolute Index Return)
Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less
than the Initial Index Level by more than 17.90%, your maximum payment at maturity if the Index Return is
negative is $1,179.00 per $1,000 principal amount note.
If the Ending Index Level is less than the Initial Index Level by more than 17.90%, 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 by more than
17.90%, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 x Index Return)
If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, you
will lose more than 17.90% of your principal amount and may lose all of your principal amount at maturity.
Index Return: (Ending Index Level - Initial Index Level)/Initial Index Level
Absolute Index Return: The absolute value of the Index Return. For example, if the Indeex Return is -5%, the
Absolute Index Return wil equal 5%.
Initial Index Level The closing level of the Index on the pricing date
Ending Index Level: The arithmetic average of the closing levels of the Index on each of the five Ending Averaging
Dates
Ending Averaging Dates: August 22, 2016, August 23, 2016, August 24, 2016, August 25, 2016, and August 26, 2016
Maturity Date: August 31, 2016
Preliminary Termsheet http://www.sec.gov/Archives/edgar/data/19617/000095010315001420/dp53747_fwp-0257.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
[] 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
[] Your maximum gain on the notes is limited by the maximum return and the
contingent buffer ammount.
[] 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 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.
[] No interest payments and no ownership or dividend rights in stocks
comprising the Index.
[] 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
for you to trade or sell the note easily.
[] Secondary market prices of the notes will likely be lower than the price
you paid for the notes and will be impacted by a number of econoic and
market factors.
Hypothetical Payout For CBEN
The graph above demonstrates the hypothetical total return on the notes at
maturity for the notes detailed in the table below. Your investment may result
in a loss of all of your principal at maturity.
Ending Index Level Index Return Absolute Index Return Total Return
------------------ ------------ ---------------------
4,760.00 40.00% 40.00% 17.90%
4,420.00 30.00% 30.00% 17.90%
4,080.00 20.00% 20.00% 17.90%
4,008.60 17.90% 17.90% 17.90%
3,740.00 10.00% 10.00% 10.00%
3,570.00 5.00% 5.00% 5.00%
3,485.00 1.00% 1.00% 1.00%
------------------ ------------ --------------------- ------------
3,400.00 0.00% 0.00% 0.00%
------------------ ------------ --------------------- ------------
3,230.00 -5.00% 5.00% 5.00%
3,060.00 -10.00% 10.00% 10.00%
2,791.40 -17.90% 17.90% 17.90%
2,791.06 -17.91% 17.91% -17.91%
2,720.00 -20.00% 20.00% -20.00%
2,380.00 -30.00% 30.00% -30.00%
------------------ ------------ --------------------- ------------
The table above illustrates the hypothetical total return and the hypothetical
payment at maturity on the notes. The "total return" is the number, expressed
as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000.
The hypothetical total returns set forth above assume an Initial Index Level of
3,400.00 and a Maximum Return of 17.90% . Each hypothetical total return or
hypothetical payment at maturity set forth above is for illustrative purposes
only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the table, graph and
examples 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. The products described herein should generally be held to maturity
as early unwinds could result in lower than anticipated returns. 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: January 28,
2015
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