Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated May 1, 2014
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North America Structured Investments
12m Auto Callable Contingent Interest Notes
Overview
May be appropriate for investors seeking contingent interest payments during
the term of the notes. If either Index is less than its initial level and a
Trigger Event, as defined below, has occurred investors have full downside
exposure to the least performing of the Indices. Under these circumstances the
payment at maturity will be made in cash based on the least performing Index.
The notes will be automatically called if the Index closing level of each Index
on any Review Date (other than the final Review Date) is greater than or equal
to its Initial Index Level.
You may lose some or all of your principal at maturity and may not receive any
contingent interest payments. Any payment on the notes is subject to the credit
risk of JPMorgan Chase and Co.
Summary of Terms
Issuer: JPMorgan Chase and Co.
Minimum Denomination: $1,000.00
Indices: SandP 500[R] Index and Russell 2000[R] Index
Pricing Date: May 27, 2014
Final Review Date: May 26, 2015
Maturity Date: May 29, 2015
Monitoring Period: The period from, but excluding, the Pricing Date to and including the final Review Date
Review Dates: August 26, 2014, November 24, 2014, February 24, 2015, and May 26, 2015 (the "Final Review Date")
Contingent Interest Rate: [6.50%-8.50%]* per annum, paid quarterly at a rate of between 1.625% and 2.125%* quarterly, if
applicable
Interest Barrier/Trigger Level: With respect to each Index, an amount that represents 70% of its Initial Index Level.
Trigger Event A Trigger Event occurs if, on any day during the Monitoring Period, the Index closing level of either
Index
is less than its Trigger Level.
CUSIP: 48127DGP7
Preliminary Term sheet: http://sp.jpmorgan.com/document/cusip/48127DGP7/doctype/Product_Termsheet/document.pdf
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For more information about the estimated value of the notes, which likely will be lower than the price you paid for the notes,
please see the
hyperlink above.
Automatic Call
If on any Review Date the Index closing level of each Index is greater than or
equal to its level on the Pricing Date, the Notes will be automatically called
and you will receive a cash payment for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the contingent interest payment applicable to that
Review Date.
Payment at Maturity
If the notes have not been automatically called and (i) the Ending Index Level
of each Index is greater than or equal to its Initial Index Level or (ii) a
Trigger Event has not occurred, you will receive a cash payment at maturity,
for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the
Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and (i) the Ending Index Level
of either Index is less than its Initial Index Level and (ii) a Trigger Event
has occurred, at maturity you will lose 1% of the principal amount of your
notes for every 1% that the Ending Index Level of the Lesser Performing Index
is less than its Initial Index Level, subject to any Contingent Interest
Payment payable at maturity. Under these circumstances, your payment at
maturity per $1,000 principal amount note, in addition to any Contingent
Interest Payment, will be calculated as follows: $1,000 + ($1,000 [] Lesser
Performing Index Return)
If the notes have not been automatically called and (i) the Ending Index Level
of either Index is less than its Initial Index Level and (ii) a Trigger Event
has occurred, you will lose some or all of your principal amount at maturity.
Capitalized terms used but not defined herein shall have the meanings set forth
in the preliminary term sheet.
Hypothetical Returns**
Payment at Maturity
(6.50% per annum Payment at
Contingent Interest Maturity
Rate)
------------------ ------------------- ------------------
Least Performing If a Trigger Event If a Trigger Event
Index Return Has Not Occurred Has Occurred
------------------ ------------------- ------------------
60.00% $1,065.25 N/A
------------------ ------------------- ------------------
40.00% $1,065.25 N/A
------------------ ------------------- ------------------
20.00% $1,065.25 N/A
------------------ ------------------- ------------------
5.00% $1,065.25 N/A
------------------ ------------------- ------------------
0.00% $1,065.25 N/A
------------------ ------------------- ------------------
-5.00% $1,065.25 N/A
------------------ ------------------- ------------------
-20.00% $1,065.25 N/A
------------------ ------------------- ------------------
-30.00% $1,065.25 N/A
------------------ ------------------- ------------------
-30.01% N/A $699.90
------------------ ------------------- ------------------
-60.00% N/A $400.00
------------------ ------------------- ------------------
-80.00% N/A $200.00
Contingent Interest
If the Notes have not been automatically called and the closing level of both
Indices on any review date is greater than or equal to its Interest Barrier,
you will receive on the applicable interest payment date a contingent interest
payment equal to at least 1.625%* .
If the Index closing level of either Index on any Review Date is less than its
Interest Barrier, no Contingent Interest Payment will be made with respect to
that Review Date
* To be determined on the Pricing Date, but not less than 6.50% and not greater
than 8.50% per annum.
** The hypothetical returns and hypothetical interest payments on the notes
shown above apply only if you hold the notes for their entire term or until
automatically called. 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 interest
payments shown above would likely be lower
J. P. Morgan Structured Investments | 1 800 576 3529 |
jpm_structured_investments@jpmorgan.com
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North America Structured Investments
12m Auto Callable Contingent Interest Notes
Selected Benefits
[] The notes offer a higher interest rate than the yield currently available on
debt securities of comparable maturity issued by us.
[] Quarterly contingent interest payments of between 6.50% and 8.50% per
annum.
Selected Risks
[] Your investment in the notes may result in a loss. The Notes do not
guarantee any return of principal.
[] The notes do not guarantee the payment of interest and may not pay interest
at all.
[] Any payment on the notes is subject to our credit risk. Therefore the value
of the notes prior to maturity are subject to changes in the market's view of
our creditworthiness.
[] You are exposed to the risks of the decline in value of each Index.
[] Your payment at maturity may be determined by the lesser performing Index.
[] Return is limited to the principal amount plus accrued interest regardless
of any appreciation of the Underlyings, which may be significant.
[] If the notes have not been automatically called and a Trigger Event has
occurred, you will lose 1% of your principal for every 1% the final level of
the lesser performing Underlying is less than its Initial Level.
[] The benefit provided by the Trigger Level may terminate on any day during
the Monitoring Period.
[] The automatic call feature may force a potential early exit. There is no
guarantee you will be able to reinvest the proceeds at a comparable interest
rate for a similar level of risk.
[] No dividend payments, voting rights, or ownership rights with the securities
included in the Index.
[] You are exposed to the risks associated with small capitalization companies.
Selected Risks (continued)
[] JPMS' estimated value does not represent future values and may differ from
others' estimates.
[] The notes' value which may be reflected in customer account statements may
be higher than JPMS' then current estimated value.
[] JPMS' estimated value is not determined by reference to our credit spreads
for our 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 calculation agent,
hedging our obligations under the notes and making the assumptions to determine
the pricing of the notes and the estimated value of the notes when the terms of
the notes are set. 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 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.
The risks identified above are not exhaustive. Please see "Risk Factors" in the
applicable product supplement and "Selected Risk Considerations" to 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 offering 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 and the prospectus supplement as well as any product
supplement and term sheet if you so request by calling toll-free
1-866-535-9248.
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.
J. P. Morgan Structured Investments | 1 800 576 3529 |
jpm_structured_investments@jpmorgan.com
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