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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, prospectus
supplement and prospectus, which further describe the terms, conditions and
risks associated with the notes.
JPMorgan Auto Callable Contingent Interest Notes linked to the Common Shares of
Anadarko Petroleum Corp, due September 23, 2015
The notes are designed for investors who seek a Contingent Interest Payment (i)
with respect to each Review Date for which the closing price of one share of
the Reference Stock is greater than or equal to the Interest Barrier or (ii)
with respect to the final Review Date for which the Final Stock Price is
greater than or equal to the Interest Barrier. Any payment on the notes is
subject to the credit risk of JPMorgan Chase and Co.
Trade Details/Characteristics
Reference Stock: The Common Stock, par value of $0.10 per share, of Anadarko Petroleum Corp
Contingent Interest Payments: If the notes have not been previously called and (i) with respect to any Review Date (other
than the final Review Date)
the closing price of one share of the Reference Stock on that Review Date or (ii) with respect
to the final Review Date the
Final Stock Price is greater than or equal to the Interest Barrier, you will receive on the
applicable Interest Payment Date
for each $1,000 principal amount note a Contingent Interest Payment equal to:
$31.500 (equivalent to an interest rate of 12.60% per annum, payable at a rate of 3.1500% per
quarter).
If (i) with respect to any Review Date (other than the final Review Date) the closing price of
one share of the Reference
Stock on that Review Date or (ii) with respect to the final Review Date, the Final Stock Price
is less than the Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Interest Barrier / Trigger Level: 80% of the Initial Stock Price (subject to adjustments)
Interest Rate: 12.60% per annum, payable at a rate of 3.1500% per quarter, if applicable
Automatic Call: If the closing price of one share of the Reference Stock on any Review Date (other than the
final Review Date) is greater
than or equal to the Initial Stock Price, the notes will be automatically called for 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,
payable on the applicable Call Settlement Date.
Payment at Maturity: If the notes have not been previously called and the Final Stock Price is greater than or equal
to the Trigger Level, 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
previously called and the
Final Stock Price is less than the Trigger Level, at maturity you will lose 1% of the principal
amount of your notes for every
1% that the Final Stock Price is less than the Initial Stock Price. Under these circumstances,
your payment at maturity per
$1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 [] Stock Return).
If the notes have not been automatically called and the Final Stock Price is less than the
Trigger Level, you will lose more
than 20% of your initial investment and may lose all of your initial investment at maturity.
Stock Return: (Final Stock Price - Initial Stock Price) / Initial Stock Price
Initial Stock Price: Closing price of the Reference Stock on pricing date, divided by the Adjustment Factor
Final Stock Price: The arithmetic average of the closing prices of one share of the Reference Stock on each of the
Ending Averaging Dates.
Ending Averaging Dates: September 14, 2015, September 15, 2015, September 16, 2015, September 17, 2015, and the final
Review Date
Review Dates: December 18, 2014 (first Review Date), March 19, 2015 (second Review Date), June 18, 2015
(third Review Date), and
September 18, 2015 (final Review Date)
Preliminary Term Sheet: http://www.sec.gov/Archives/edgar/data/19617/000095010314006138/dp49179_fwp-905.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.
------------------------------------
Hypothetical Return on a Note
First 3 Review Dates
Compare the closing price of one share of the Reference Stock on a Review Date
(other than the Final Review Date) to the Initial Stock Price and the Interest
Barrier until the Final Review Date or any automatic call.
Automatic Early
Redemption The closing price of one Share of the Reference Stock is greater
than or equal to the Initial Stock The notes will be automatically called and
you will receive (i) the principal amount plus (ii) Price the Contingent
Interest Payment with respect to the related Review Date
You will receive the The closing price of one share of the contingent
quarterly Reference Stock is greater than or payment. Proceed to the next The
closing price of one equal to the Interest Barrier Review Date.
Share of the Reference Stock No Automatic Early is less than the Initial Stock
Redemption
Price The closing price of one share of the No contingent quarterly reference
Stock is less than the payment. Proceed to the next Interest Barrier Review
Date.
For more information about the payments upon an Automatic Call or at maturity
in different hypothetical scenarios, see "Hypothetical Payment upon Automatic
Call or at Maturity" below.
What Are the Payments on the Notes, Assuming a Range of Performances for the
Reference Stocks?
The following table illustrates payments on the notes, assuming a range of
performance for the Reference Stock on a given Review Date.
The hypothetical payments set forth below assume an Initial Stock Price of
$112.00, an Interest Barrier and a Trigger Level of $89.60 (equal to 80% of the
hypothetical Initial Stock Price) and reflect the Interest Rate of 12.60% per
annum (payable at a rate of 3.1500% per quarter). The hypothetical total
returns set forth below are for illustrative purposes only and may not be the
actual total returns applicable to a purchaser of the notes. the numbers
appearing in the following table and examples have been rounded for ease of
analysis.
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 Co. [] The
notes do not guarantee the payment of interest and may not pay interest at all.
[] The appreciation potential of the notes is limited, and you will not
participate in any appreciation in the price of the Reference Stock. [] The
benefit provided by the Trigger Level may terminate on the final Review Date.
[] JPMorgan Chase and Co. and its affiliates play a variety of roles in
connection with the notes and their interests may be adverse to yours. [] If
the notes are automatically called early, there is no guarantee that you will
be able to reinvest the proceeds at a comparable return [] JPMS's estimated
value of the notes will be lower than the original issue price (price to
public) of the notes.
[] JPMS's estimated value does not represent the future values 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 will likely be higher than
JPMS's then-current estimated value of the notes for a limited time. []
Secondary market prices of the notes will be impacted by many economic and
market factors.
[] No ownership or dividend rights in the Reference Stock.
[] Risk of the closing price of the Reference Stock falling below the Interest
Barrier or Trigger Level is greater if the Reference Stock is volatile.
[] Lack of liquidity - 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.
[] The anti-dilution protection for the Reference Stock is limited and may be
discretionary.
[] The averaging convention used to calculate the Final Stock Price could limit
returns.
Hypothetical Payment upon Automatic Call or at Maturity
------------------------------------------------------------------------------------ ------------ --------------------------------
Review Dates Prior to the Final Review Date Final Review Date
------------------------------------------------------------------ ------------ --------------------------------
Closing Price
Reference Stock Appreciation / Payment on Interest Payment Date or
Stock Return Payment at Maturity (3)
Depreciation at Review Date Call Settlement Date (1)(2)
----------------- ------------------------------ ----------------------------------- ------------ --------------------------------
$201.6000 80.00% $1,031.500 80.00% $1,031.500
$179.2000 60.00% $1,031.500 60.00% $1,031.500
$156.8000 40.00% $1,031.500 40.00% $1,031.500
$134.4000 20.00% $1,031.500 20.00% $1,031.500
$123.2000 10.00% $1,031.500 10.00% $1,031.500
$117.6000 5.00% $1,031.500 5.00% $1,031.500
----------------- ------------------------------ ----------------------------------- ------------ --------------------------------
$112.0000 0.00% $1,031.500 0.00% $1,031.500
$106.4000 -5.00% $31.500 -5.00% $1,031.500
$100.8000 -10.00% $31.500 -10.00% $1,031.500
$89.6000 -20.00% $31.500 -20.00% $1,031.500
$89.5888 -20.01% $0.000 -20.01% $799.900
$56.0000 -50.00% $0.000 -50.00% $500.000
$33.6000 -70.00% $0.000 -70.00% $300.000
$0.0000 -100.00% $0.000 -100.00% $0.000
----------------- ------------------------------ ----------------------------------- ------------ --------------------------------
(1) The notes will be automatically called if the closing price of one share of
the Reference Stock on any Review Date (other than the final Review Date) is
greater than or equal to the Initial Stock Price.
(2) You will receive a Contingent Interest Payment in connection with a Review
Date (other than the final Review Date) if the closing price of one share of
the Reference Stock on that Review Date is greater than or equal to the
Interest Barrier.
(3) You will receive a Contingent Interest Payment in connection with the final
Review Date if the Final Stock Price is greater than or equal to the Interest
Barrier.
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 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
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 ("JPMS") 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. 333-177923
Dated: September 03, 2014
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