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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. In the event of any inconsistency between the
information presented herein and any such term sheet, such term sheet shall
govern. The information contained in this document is for informational
purposes only.
JPMorgan Dual Directional Buffered Review Notes Linked to the SandP GSCI Crude
Oil Index Excess Return due January 20, 2016
The notes are designed for investors who seek early exit prior to maturity at a
premium if the closing level of the Index on any Review Date is greater than or
equal to the Initial Index Level. If the notes are not automatically called and
the Ending Index Level is less than the Initial Index Level by up to the
Contingent Buffer Percentage, investors will receive an unleveraged return
equal to the absolute value of any depreciation of the Index. If the Ending
Index Level is less than the Initial Index level by more than the Contingent
Buffer Percentage, investors in the notes should be willing to lose some or all
of their principal at maturity. Any payment on the notes is subject to the
credit risk of JPMorgan Chase and Co.
Index The SandP GSCI Crude Oil Index Excess Return (Bloomberg ticker: SPGCCLP)
Automatic Call If, (1) with respect to any Review Date (other than the Final Review Date), the closing level of the
Index on that Review Date is greater than or equal to the Call Level or, (2) with respect to the final
Review Date, the Ending Index Level is greater than or equal to the Call Level
Payment if Called $1,000 plus the call premium amount calculated as follows:
At least 4.65% x $1,000 if called on the first Review Date
At least 9.30% x $1,000 if called on the second Review Date
At least 13.95% x $1,000 if called on the third Review Date
At least 18.60% x $1,000 if called on the final Review Date
(to be determined on the pricing date)
Contingent Buffer Percentage 20%
Pricing Date On or about December 12, 2014
Original Issue Date On or about December 17, 2014
Review Dates March 12, 2015; June 12, 2015; September 14, 2015; and January 14, 2016
Ending Averaging Dates January 8, 2016; January 11, 2016; January 12, 2016; January 13, 2016; and January 14, 2016
Call Settlement Date The third business day after the applicable Review Date, except that if the notes are called on the
final Review Date, the Call Settlement Date will be the Maturity Date
Maturity Date January 20, 2016
Index Return (Ending Index Level - Initial Index Level) / Initial Index Level
Absolute Index Return The absolute value of the Index Return
Initial Index Level The closing level of the Index on the Pricing Date
Ending Index Level The arithmetic average of the closing levels of the Index on the Ending Averaging Dates
Settlement Cash
Payment At Maturity If the notes are not automatically called and the Ending Index Level is less than the Initial Index
Level by up to the Contingent Buffer Percentage:
$1,000 + ($1,000 x Absolute Index Return)
If the notes are not automatically called and the Ending Index Level is less than the Initial Index
Level by more than the Contingent Buffer Percentage:
$1,000 + ($1,000 x Index Return)
Your investment may result in a loss of all of your principal at maturity.
CUSIP 48127DPN2
Preliminary Term Sheet http ://www .sec.gov/Archives/edgar/data/19617/000119312514437443/d833814dfw p.htm
---------------------------- ======================================================================================================
Hypothetical Return for Dual Directional Buffered Review Notes (assuming $1,000
Initial Investment)
First Review Date Second Review Date Third Review Date Final Review Date
--------------------------- --------------------------- --------------------------- -----------------------------
If the closing level of the If the closing level of the If the closing level of the If the Ending Index Level is
Index is greater than or Index is greater than or Index is greater than or greater than or equal to the
equal to the Initial Index equal to the Initial Index equal to the Initial Index Initial Index Level, the note
Level, the note is called Level, the note is called Level, the note is called is called and the investor
and the investor receives and the investor receives and the investor receives receives full repayment of
full repayment of principal full repayment of principal full repayment of principal principal and the call
and the call premium and the call premium and the call premium premium
If the notes are not
If the closing level of the If the closing level of the If the closing level of the automatically called and Ending
Index is less than the Index is less than the Index is less than the Index Level is less than the
Initial Index Level, go to Initial Index Level, go to Initial Index Level, go to Initial Index Level by up to the
next Review Date next Review Date next Review Date Contingent Buffer Percentage,
the investor receives full
repayment of principal plus the
Absolute Index Return
If the Ending Index Level is less than the Initial Index Level by more than the
Contingent Buffer Percentage, the investor will lose 1% principal amount for
every 1% decline from the Initial Index Level
18.60% 13.95 %
9.30% 4.65%
Risk Considerations
The risks identified below are not exhaustive. Please see the term sheet
hyperlinked above for further information.
[] Your investment in the notes may result in the loss of some or all of your
principal and is subject to the credit risk of JPMorgan Chase and Co. (JPMC).
[] The notes do not guarantee the payment of interest and may not pay interest
at all.
[] If the notes are automatically called, the potential gain on the notes will
be limited to the call premium, regardless of any appreciation in the Index,
however significant and, if the Index Return is negative, the maximum return
will be limited by the Contingent Buffer [] The benefit provided by the
Contingent Buffer Percentage may terminate on the final Review Date.
[] If the notes are automatically called early, there is no guarantee you will
be able to reinvest the proceeds for a comparable return. [] JPMS' estimated
value of the notes will be lower than the original issue price (price to
public) on the notes, does not represent the future value of the notes and may
differ from others' estimates and is not determined by the reference to credit
spreads for our conventional fixed rate debt.
[] The value of the notes which may be reflected in customer account statements
may be higher than JPMS' then-current estimated value for a limited time
period.
[] We may accelerate your notes if a commodity hedging disruption event occurs.
[] Commodity futures contracts are subject to uncertain legal and regulatory
regimes, high and unpredictable price volatility,market disruptions and changes
in margin requirements, all of which may adversely affect the value of the
notes.
[] The index is an excess return index and may be more volatile than a
broad-based commodity index.
[] The index is an excess return index and may be more volatile and susceptible
to price fluctuations than a broad-based commodity [] Lack of liquidity:
JPMorgan Securities, LLC, acting as agent for JPMC (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: JPMC and its 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 assumptoins 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 and other trading activities
of JPMC could result in substantial returns for J. P. Morgan while the value
of the notes declines.
[] The tax consequences of the notes may be uncertain. You should consult your
tax advisor regarding the U. S. federal income tax consequences of an
investment in the notes.
Index Level at Index Return at Total Return at Total Return at Total Return at Total Return at
Review Date Review Date First Call Second Call Third Call Maturity
Settlement Settlement Settlement
-------------- --------------- --------------- --------------- --------------- ---------------
612.0000 70.00% 4.65% 9.30% 13.95% 18.60%
576.0000 60.00% 4.65% 9.30% 13.95% 18.60%
540.0000 50.00% 4.65% 9.30% 13.95% 18.60%
504.0000 40.00% 4.65% 9.30% 13.95% 18.60%
468.0000 30.00% 4.65% 9.30% 13.95% 18.60%
432.0000 20.00% 4.65% 9.30% 13.95% 18.60%
396.0000 10.00% 4.65% 9.30% 13.95% 18.60%
-------------- --------------- --------------- --------------- --------------- ---------------
360.0000 0.00% 4.65% 9.30% 13.95% 18.60%
-------------- --------------- --------------- --------------- --------------- ---------------
342.0000 -5.00% N/A N/A N/A 5.00%
324.0000 -10.00% N/A N/A N/A 10.00%
306.0000 -15.00% N/A N/A N/A 15.00%
288.0000 -20.00% N/A N/A N/A 20.00%
287.9640 -20.01% N/A N/A N/A -20.01%
252.0000 -30.00% N/A N/A N/A -30.00%
180.0000 -50.00% N/A N/A N/A -50.00%
0.0000 -100.00% N/A N/A N/A -100.00%
-------------- --------------- --------------- --------------- --------------- ---------------
Each hypothetical return set forth above assumes an Initial Index Level of
360.0000, a maximum call premium of 18.60%, and a Contingent Buffer Percentage
of 20%. The actual maximum call premium will be determined on the pricing date
and will not be less than 18.60% . Each hypothetical total return set forth
above is for illustrative purposes only and may not be the actual total return
applicable to a purchaser of the notes.
Filed pursuant to Rule 433 Registration Statement No: 333-199966 Dated:
December 9, 2014
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