Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated September 12, 2012
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The SandP 500[R] Risk Control 10% Excess Return Index
Performance Update - September 2012
OVERVIEW
The SandP 500[R] Risk Control 10% Excess Return Index (the "Index") provides
investors with a broad U.S. equities index that has the potential for greater
stability and lower overall risk when compared to the SandP 500[R] Total Return
Index.
Hypothetical and Actual Historical Performance (August 30, 2002 to August 31,
2012)[]
[GRAPHIC OMITTED]
Key Features of the Index
[] Exposure to the SandP 500[R] Total Return Index with the benefit of a risk
control mechanism that targets an annualized volatility of 10% or less;
[] Algorithmic exposure adjusted on a daily basis with the ability to employ
leverage of up to 150% during periods of low volatility; and
[] Levels published daily by Standard and Poor's on Bloomberg under the ticker
SPXT10UE.
[GRAPHIC OMITTED]
Hypothetical Index Volatility and Leverage (August 30, 2002 to August 31,
2012)[2]
[GRAPHIC OMITTED]
Recent Index Performance
-------------------------------------------------
August 2012 July 2012 June 2012
----------------- ----------- --------- ---------
Historical Return 1.44% 1.03% 2.13%
----------------- ----------- --------- ---------
Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- August 31, 2012
Three Year Five Year Ten Year Ten Year
Annualized Annualized Annualized Annualized Ten Year
One Year Return(1) Return(1) Return(1) Return(1) Volatility(3) Sharpe Ratio(4) Correlation(5)
----------------------------------------- ------------------ ---------- ---------- ---------- ------------- --------------- --------------
SandP 500[R] Risk Control 10% Excess
Return Index 7.7% 5.9% 1.4% 3.7% 9.9% 37.4% 100.0%
----------------------------------------- ------------------ ---------- ---------- ---------- ------------- --------------- --------------
SandP 500[R] Index 15.4% 11.3% -0.9% 4.4% 21.3% 20.6% 84.6%
September 7, 2012
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Notes
(1) Represents the performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical backtested daily Index closing
levels from Aug 31, 2002
through May 13, 2009, and the actual historical performance of the Index based
on the daily Index closing level from May 14, 2009 through August 31, 2012, as
well as the
performance of the SandP 500[R] Index over the same period. For purposes of these
examples, each index was set equal to 100 at the beginning of the relevant
measurement period and returns calculated arithmetically (not compounded).
There is no guarantee the Index will outperform the SandP 500[R] Index or any
alternative investment strategy. Source: Bloomberg and JPMorgan.
(2) Volatility is calculated from the historical returns, as applicable to the
relevant measurement period, of the SandP 500[R] Total Return Index (the
"Underlying Index") over a six-month observation period. For any given day,
represents the annualized standard deviation of the Underlying Index's
arithmetic daily returns for the 126-index day period preceding that day. The
index leverage is the hypothetical back-tested amount of exposure of the Index
to the Underlying Index and should not be considered indicative of the actual
leverage that would be assigned during your investment in the Index. The
back-tested, hypothetical, historical six-month annualized volatility and index
leverage have inherent limitations. These volatility and leverage results were
achieved by means of a retroactive application of a back-tested volatility
model designed with the benefit of hindsight. No representation is made that in
the future the Underlying Index will have the volatility as shown. Alternative
modeling techniques or assumptions might produce significantly different
results and may prove to be more appropriate. Actual six-month annualized
volatilities and leverage may vary materially from this analysis. Source:
Bloomberg and JPMorgan.
(3) Calculated based on the annualized standard deviation for the ten year
period prior to August 31, 2012.
(4) For the above analysis, the Sharpe Ratio, which is a measure of
risk-adjusted performance, is computed as the ten year annualized historical
return divided by the ten year annualized volatility.
(5) Correlation refers to the degree the SandP 500[R] Risk Control 10% Excess
Return Index has changed relative to daily changes in the SandP 500[R] Index for
the ten year period prior to August 31, 2012.
Key Risks
The Index has a limited operating history and may perform in unexpected ways
-- the Index began publishing on May 13, 2009 and, therefore, has a limited
history. SandP has calculated the returns that hypothetically might have been
generated had the Index existed in the past, but those calculations are subject
to many limitations and do not reflect actual trading, liquidity constraints,
fees and other costs.
The Index may not be successful, may not outperform the Underlying Index and
may not achieve its target volatility --no assurance can be given that the
volatility strategy will be successful or that the Index will outperform the
Underlying Index or any alternative strategy that might be employed to reduce
the level of risk of the Underlying Index. We also can give you no assurance
that the Index will achieve its target volatility of 10%.
The Index is not a total return index and is subject to short-term money
market fund borrowing costs-- as an "excess return" index, the SandP 500[R] Risk
Control 10% Excess Return Index calculates the return on a leveraged or
deleveraged investment in the Underlying Index where the investment was made
through the use of borrowed funds. Investments linked to this "excess return"
index, which represents an unfunded position in the Underlying Index, will be
subject to short-term money market fund borrowing costs and will not include
the "total return" feature or the cash component of the "total return" index,
which represents a funded position in the Underlying Index.
The Index represents a portfolio consisting of the Underlying Index and a
borrowing cost component accruing interest based on U.S. overnight LIBOR. The
Index dynamically adjusts its exposure to the Underlying Index based on the
Underlying Index's historic volatility. The Index's exposure to the Underlying
Index will decrease when historical volatility causes the risk level of the
Underlying Index to reach a high threshold. If, at any time, the Index exhibits
low exposure to the Underlying Index and the Underlying Index subsequently
appreciates significantly, the Index will not participate fully in this
appreciation.
Key Risks Continued
The Index represents a portfolio consisting of the Underlying Index and a
borrowing cost component accruing interest based on U.S. overnight LIBOR. The
Index dynamically adjusts its exposure to the Underlying Index based on the
Underlying Index's historic volatility. The Index's exposure to the Underlying
Index will decrease when historical volatility causes the risk level of the
Underlying Index to reach a high threshold. If, at any time, the Index exhibits
low exposure to the Underlying Index and the Underlying Index subsequently
appreciates significantly, the Index will not participate fully in this
appreciation.
The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in the relevant product supplement and the
"Selected Risk Considerations" in the relevant term sheet or pricing
supplement.
Index Disclaimers
"Standard and Poor's[R]," "SandP[R]," "SandP 500[R]" and "SandP 500[R] Risk Control
10%" are trademarks of the McGraw-Hill Companies, Inc. and have been licensed
for use by J.P. Morgan Securities LLC. This transaction is not sponsored,
endorsed, sold or promoted by SandP, and SandP makes no representation regarding
the advisability of purchasing CDs issued by JPMorgan Chase Bank, N.A. SandP has
no obligation or liability in connection with the administration, marketing, or
trading of products linked to the SandP 500[R] Risk Control 10% Excess Return
Index.
For more information on the Index and for additional key risk information see
Page 4 of the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010312001816/crt_dp29823-fwp
..pdf
DISCLAIMER
JPMorgan Chase and Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offerings to which these materials relate. Before you invest in
any offering of securities by J.P. Morgan, you should read the prospectus in
that registration statement, the prospectus supplement, as well as the
particular product supplement, the relevant term sheet or pricing supplement,
and any other documents that J.P. Morgan will file with the SEC relating to
such offering for more complete information about J.P. Morgan and the offering
of any securities. You may get these documents without cost by visiting EDGAR
on the SEC Website at www.sec.gov. Alternatively, J.P. Morgan, any agent, or
any dealer participating in the particular offering will arrange to send you
the prospectus and the prospectus supplement, as well as any product supplement
and term sheet or pricing supplement, if you so request by calling toll-free
(866) 535-9248.
Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-177923
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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