Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated November 1, 2013
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6yr ETF Efficiente Note
OVERVIEW
JPMorgan ETF Efficiente 5 Index (the "strategy") is a cross-asset strategy that
aims to maximize returns per unit of risk by using portfolio optimization
technology. The strategy uses the concept of the efficient frontier to select
the optimum portfolio from a universe of 12 exchange-traded funds and a cash
index, and aims to maximize returns while targeting a realized volatility of 5%.
The strategy rebalances monthly and is non-discretionary.
The Index levels incorporate an adjustment factor of 0.50% per annum which is
deducted daily.
Any payment on the notes is subject to the credit risk of JPMorgan Chase and Co.
May be appropriate for investors requiring asset and geographical
diversification and full repayment of principal at maturity, subject to the
credit risk of JP Morgan Chase and Co.
Summary of Terms
Issuer: JPMorgan Chase and Co.
Minimum Denomination: $1,000
Index: JPMorgan ETF Efficiente 5 Index
Index ticker: EEJPUS5E
Participation Rate: 140%*
Index Return: (Ending Index Level -- Initial Index
Level) / Initial Index Level
Pricing Date: November 26, 2013
Starting Index Level: The Index closing level on the pricing
date
Ending Index Level: The Index closing level on the
Observation Date
Observation Date: November 25, 2019
Maturity Date: November 29, 2019
CUSIP: 48126NZY6
Preliminary Term Sheet: http://www.sec.gov/Archives/edgar/dat
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a/19617/000089109213008988/e5605
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4fwp.htm
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For information about the estimated value of the notes, which likely will be
lower than the price you paid for the notes, see the hyperlink above
Return Profile
If the ending Index level is greater than its initial level, you will receive a
cash payment that provides you with a return per $1,000 note equal to the Index
return multiplied by the Participation Rate.
If held to maturity you will receive a full repayment of principal on the notes,
even if the Index declines, subject to the credit risk of JPMorgan Chase and Co.
* To be determined on the Pricing Date, but not less than 140%.
** Reflects a Participation Rate of 140% for illustrative purposes and assumes a
$1,000 investment.
North $1,000 America Structured Investments
Hypothetic l Returns**
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Hypothetical Index Hypothetical Note Hypothetical
Return Return Payment at Maturity
------------------ ----------------- -------------------
80.00% 112.00% $2,120.00
------------------ ----------------- -------------------
50.00% 70.00% $1,700.00
------------------ ----------------- -------------------
30.00% 42.00% $1,420.00
------------------ ----------------- -------------------
20.00% 28.00% $1,280.00
------------------ ----------------- -------------------
10.00% 14.00% $1,140.00
------------------ ----------------- -------------------
0.00% 0.00% $1,000.00
------------------ ----------------- -------------------
-10.00% 0.00% $1,000.00
------------------ ----------------- -------------------
-20.00% 0.00% $1,000.00
------------------ ----------------- -------------------
-30.00% 0.00% $1,000.00
------------------ ----------------- -------------------
-50.00% 0.00% $1,000.00
------------------ ----------------- -------------------
-80.00% 0.00% $1,000.00
** The hypothetical returns and hypothetical payments on the notes shown above
apply only at maturity. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these
fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
J. P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
|
 |
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6yr ETF Efficiente Note
North America Structured Investments
Selected Benefits
[] The Notes offer full repayment of principal at maturity, subject to the
credit risk of JPMorgan Chase and Co.
[] The Index dynamically allocates among the following 12 ETFs (the "ETF
Constituents") and the JPMorgan Cash Index USD 3 Month (the "Cash
Constituent"), each a "Basket Constituent".
iShares JPMorgan USD
SPDR SandP 500 ETF
Emerging Markets Bond SPDR Gold Trust (GLD)
Trust (SPY)
ETF (EMB)
--------------------- ------------------------ ---------------------
iShares Russell 2000 iShares U.S. Real Estate iShares TIPS Bond ETF
Index ETF (IWM) ETF (IYR) (TIP)
--------------------- ------------------------ ---------------------
iShares SandP GSCI JPMorgan Cash Index
iShares MSCI EAFE ETF
Commodity-Indexed USD 3 Month
(EFA)
Trust (GSG) (JPCAUS3M)
--------------------- ------------------------ ---------------------
iShares MSCI
iShares 20+ Year Treasury
Emerging Markets ETF
Bond ETF (TLT)
(EEM)
------------------------- --------------------
iShares iBOXX Investment
Grade Corporate Bond ETF
(LQD)
------------------------- --------------------
iShares iBOXX High Yield
Corporate Bond ETF (HYG)
------------------------- --------------------
Selected Risks
[] The notes may not pay more than the principal amount at maturity.
[] Payment on the Notes at maturity is subject to our credit risk. Therefore
the value of the Notes prior to maturity will be subject to changes in the
market's view of our creditworthiness.
[] The stated payout of the note from the issuer, including the repayment of
principal, only applies if you hold the notes to maturity.
[] The note do not have any interest or dividend payments or voting rights.
[] The strategy may not be successful. It may not outperform an alternative
strategy related to the ETF Constituents.
[] The strategy is subject to emerging markets risk, fixed income risks,
currency exchange risk, real estate risk, ETF risks, small capitalization
stock risk and the uncertain legal and regulatory regimes which govern
commodities future contracts.
[] Changes in the value of Basket Constituents may offset each other.
[] The Index applies monthly rebalancing and weighting caps that may reduce
your return.
[] The Index has a limited operating history. Hypothetical Back-tested data
related to the Index do not represent actual historical data and are
subject to inherent limitations.
[] Upon the occurrence of a commodity hedging disruption event, the value of
the additional amount will be determined by the calculation agent on the
date of such event. Your payment at maturity will be based on, in part, a
level of the Index prior to the Observation Date.
[] Our affiliate, JPMS plc, is the index calculation agent and may adjust the
Index in a way that affects its level.
[] The Index may be partially uninvested. Any uninvested portion will earn no
return.
[] The tax consequences of the Notes may be uncertain. You should consult your
tax adviser regarding the U.S. federal income tax consequences of an
investment in the Notes.
[] JPMS' estimated value does not represent future values and may differ from
others' estimates.
[] The value of the notes in customer account statements may be higher than
JPMS' current estimated value for a limited time period.
[] JPMS' estimated value is not determined by reference to our credit spreads
for conventional fixed rate debt.
[] Lack of liquidity: JPMorgan Securities LLC, acting as agent for the Issuer
(and who we refer to as JPMS), intends to offer to purchase the Notes in
the secondary market but is not required to do so. The price, if any, at
which JPMS will be willing to purchase Notes from you in the secondary
market, if at all, may result in a significant loss of your principal.
[] Potential conflicts: we and our affiliates play a variety of roles in
connection with the issuance of Notes, including acting as note calculation
agent and index calculation agent, and hedging our obligations under the
Notes and means the assumptions used to determine the pricing of the notes
and estimated value of the notes. It is possible that such hedging or other
trading activities of JPMorgan or its affiliates could result in
substantial returns for JPMorgan and its affiliates while the value of the
Notes decline.
The risks identified above are not exhaustive. Please see "Risk Factors" in the
applicable product supplement and "Selected Risk Considerations" in the
applicable term sheet for additional information.
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
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 JPMorgan Research Departments. Additional
information about the symbols depicted in each cube in the top right-hand corner
of this fact sheet can be accessed via the hyperlink to one of our filings with
the SEC:
http://www.sec.gov/Archives/edgar/data/19617/000095010309000965/symbol_guide.pd
f
J. P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
|