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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.
Return Notes Linked to the JPX-Nikkei Index 400 due March 16, 2016
The notes are designed for investors who seek exposure to the performance of
the JPX-Nikkei Index 400, subject to the Index Adjustment Factor. Investors
should be willing to forgo interest and dividend payments and, if the Index
declines or if the Ending Index Level is not greater than the Initial Index
Level by at least approximately 0.90817%, 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
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Reference Index: JPX-Nikkei Index 400 (JPNK400) (the "Index")
Index Adjustment Factor: 99.10%
Index Return: (Ending Index Level -- Initial Index Level) / Initial Index Level
Initial Index Level: The Index closing level on the Pricing Date
Ending Index Level: The arithmetic average of the Index closing levels on each of the Ending Averaging Dates
Payment at Maturity: Payment at maturity will reflect the performance of the Index subject to the Index Adjustment Factor.
Accordingly, at
maturity, you will receive an amount per $1,000 principal amount note calculated as follows:
$1,000 [] (1 + Index Return) [] Index Adjustment Factor
Because the Index Adjustment Factor is 99.10%, you will lose some or all of your investment at
maturity if the Index
Return is less than approximately 0.90817%. For more information on how the Index Adjustment Factor
can affect
your payment at maturity, please see ""Hypothetical Examples of Total Return at Maturity" below.
Pricing Date: February 27, 2015
Ending Averaging Dates: March 7, 2016, March 8, 2016, March 9, 2016, March 10, 2016, March 11, 2016
Maturity Date: March 16, 2016
CUSIP: 48125UGA4
Preliminiary Termsheet: http://www.sec.gov/Archives/edgar/data/19617/000089109215001530/e62955fwp.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.
[] The Index Adjustment Factor will diminish any increase in the value of the
Index and magnify any decline in the value of the Index [] 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 interest or dividend payments or voting rights in the stocks comprising
the Index [] Non-U.S. securities risk [] No direct exposure to fluctuations in
foreign exchange rates
[] 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.
[] Secondary market prices of the notes will be impacted by many economic and
market factors
[] 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 will likely be higher than JPMS'
then-current estimated value of the notes for a limited time.
Hypothetical Return for the Notes at Maturity
GRAPHIC OMMITTED
The following table illustrates the hypothetical total return at maturity for
each $1,000 principal amount note.
The "total return" as used in this document 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 set forth below
assumes an Initial Index Level of 13,500 and reflects the Index Adjustment
Factor of 99.10% . Each hypothetical total return set forth below is for
illustrative purposes only and may not be the actual total return applicable to
a purchaser of the notes. The numbers appearing in the following table and
examples have been rounded for ease of analysis.
Hypothetical Examples of Total Return at Maturity
---------------------------------------------------------
Ending Index Level Index Return Total Return on Notes
------------------ ------------ -------------------------
27,000.00 100.000% 98.20000%
20,250.00 50.000% 48.65000%
17,550.00 30.000% 28.83000%
16,200.00 20.000% 18.92000%
14,850.00 10.000% 9.01000%
13,837.50 2.500% 1.57750%
------------------ ------------ -------------------------
13,622.60 0.90817% 0.00000%
13,565.50 0.500% -0.40450%
------------------ ------------ -------------------------
13,500.00 0.000% -0.90000%
12,825.00 -5.000% -5.85500%
12,150.00 -10.000% -10.81000%
10,800.00 -20.000% -20.72000%
9,450.00 -30.000% -30.63000%
5,400.00 -40.000% -40.54000%
6,750.00 -50.000% -50.45000%
1,350.00 -90.000% -90.09000%
0.00 -100.000% -100.00000%
------------------ ------------ -------------------------
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. J.P. Morgan
is the marketing name for JPMorgan Chase and Co. and its subsidiaries and
affiliates worldwide. J.P. Morgan Securities LLC is a member of FINRA, NYSE and
SIPC. Clients should contact their salespersons at, and execute transactions
through, a J.P. Morgan entity qualified in their home jurisdiction unless
governing law permits otherwise.
Filed pursuant to Rule 433
Registration Statement No. 333-199966 Dated: February 25,2015
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