Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated March 4, 2015
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Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No.
333-199966 November 5, 2014
J.P. Morgan Mozaic Fixed Income Index (USD)
Overview
The USD-denominated J.P. Morgan Mozaic Fixed Income Index (USD) (the "Index")
seeks to provide synthetic exposure to a broad basket of fixed income futures
indices in global developed markets. The Index rebalances monthly across these
underlying indices using a momentum based strategy and implements a strategy
that reacts to changes in the Federal Reserve Target Rate.
The Index synthetically replicates up to 12, subject to certain exceptions,
long and/or short positions, which we refer to as constituents, in its 19
underlying indices, selected on the basis of ranking relative performance.
Exposure to the Index and each selected constituent is leveraged up or down to
target a volatility of 4.0% per annum, as described below. The Index
incorporate an adjustment factor fee of 0.55% per annum, which is deducted
daily.
Hypothetical* Historical Constituent Allocation
The following charts depict the hypothetical allocation between short
Constituents (shown in blue) and long Constituents (shown in green) included in
the Index throughout the periods indicated. The left axis indicates the
percentage that the Index was either long or short its Constituents for the
applicable period. The right axis indicates the level of the 10 year U.S.
dollar swap rate, which is a benchmark for interest rates generally.
Hypothetical* Back-Tested Index Excess Returns and Volatility
Features of the Index
[] Long/short exposure to developed fixed income markets through the Index
(specifically, the U. S. , Germany and Japan).
[] The Index seeks to identify momentum trends in its underlying constituents
on a monthly basis (with the exception of January) by reviewing each
constituent's performance, which will be the long or short performance of the
relevant underlying index, over the prior 66 calculation days and taking a
position in up to 12 of the best performing ones.
[] Each of those best-performing constituents must also have a return greater
than -1.0% over the prior 10 calculation days, otherwise it is discarded from
the monthly rebalancing.
[] The Index and each of its constituents are targeted to a 4.0% per annum
volatility, based on the greater of their 20- and 66- calculation day realized
volatilities. The exposure to each selected constituent and to the Index is
then scaled by a leverage factor with the goal of producing a portfolio
volatility of 4.0% per annum.
For example, if a constituent has 20-calculation day realized volatility of
1.0% and 66-calculation day realized volatility of 2.0%, the 66-calculation
day realized volatility will be used, and a leverage factor of 200% will be
applied, subject to a cap.
[] To short fixed income in a raising rate environment, a strategy based on the
Federal Reserve Target is employed. If the U. S.
Federal Reserve has raised its target rate over the prior 66- calculation days,
the Index will provide 33% exposure to each of: a) the selected momentum-based
portfolio, b) a short position in the synthetic J. P. Morgan USD Curve Index
(USD) and c) a short position in the J. P. Morgan Front Eurodollar Futures
Tracker Index (USD).
[] See "Selected Risks" on the following page for information about risks
associated with the Index.
Five Year Ten Year Ten Year Ten Year
One Year Annualized Annualized Annualized Information Ten Year
Return Return Return Volatility Ratio*** Correlation
------------------------------ -------- ---------- ---------- ----------- ----------- -----------
J.P. Morgan Mozaic Fixed
8.52% 3.39% 3.85% 3.71% 1.038 -
Income Index (USD) (JMOZFIUS)
------------------------------ -------- ---------- ---------- ----------- ----------- -----------
Barclays US Agg Total Return
Value Unhedged USD 4.91% 4.07% 3.02% 3.64% 0.830 27.71%
(LBUSTRUU)**
------------------------------ -------- ---------- ---------- ----------- ----------- -----------
iShares 20+ Year Treasury Bond
19.21% 6.93% 1.91% 14.16% 0.135 31.93%
ETF (TLT US)**
Source: JPMorgan and Bloomberg
* All levels prior to Sept. 14, 2012 represent back-tested performance.
Back-tested performance information is solely hypothetical and for information
purposes only. The hypothetical and historical returns set forth above are
illustrative and may not be the actual returns on the Index. Please refer to
the disclaimer at the end of this document.
** The applicable closing price or index level has been converted to an excess
return level, where the returns are those in excess of the J.P. Morgan USD 1
Month LIBOR Cash Index (JPCAUS1M).
*** "Ten Year Information Ratio" means the Ten Year Annualized Return divided
by the Ten Year Annualized Volatility.
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J.P. Morgan Mozaic Fixed Income Index (USD)
Index Constituents
Bloomberg
Class Sub-Sector Index Name
Ticker
------- ------------------- -------------------------- ---------
J.P. Morgan U.S. 2-Year
Short-Term US
Note Futures Tracker JFBU2USD
Treasuries
Index (USD)
J.P. Morgan U.S. 5-Year
Medium-Term US
Note Futures Tracker JFBU5USD
Treasuries
Index (USD)
J.P. Morgan U.S. 10-Year
Long-Term US
Note Futures Tracker JFBU10US
Treasuries
Index (USD)
J.P. Morgan Euro-Schatz
Short -Term German
Bond Futures Tracker Index JFBEDUUS
Note
Futures (USD)
J.P. Morgan Euro-Bobl
Medium-Term
Futures Tracker Index JFBEBLUS
German Note
(USD)
J.P. Morgan Euro-Bund
Long-Term German
Futures Tracker Index JFBERXUS
Note
(USD)
J.P. Morgan 10Y
Long-Term Japanese Government
J10EUSJP
Japanese Note Bond Futures Tracker
Index (USD)
J.P. Morgan Front
Eurodollar Futures Tracker JFLFUS1U
Index (USD)
J.P. Morgan Second Near
Eurodollar Futures Tracker JFLFUS2U
Index (USD)
J.P. Morgan Third Near
Eurodollar
Eurodollar Futures Tracker JFLFUS3U
Contracts
Index (USD)
J.P. Morgan Fourth Near
Eurodollar Futures Tracker JFLFUS4U
Index (USD)
J.P. Morgan Fifth Near
Eurodollar Futures Tracker JFLFUS5U
Money Index (USD)
Market
J.P. Morgan Front Euribor
Futures
Futures Tracker Index JFLFEU1U
(USD)
J.P. Morgan Second Near
Euribor Futures Tracker JFLFEU2U
Index (USD)
J.P. Morgan Third Near
JFLFEU3U
Euribor Contracts Euribor Futures Tracker
Index (USD)
J.P. Morgan Fourth Near
Euribor Futures Tracker JFLFEU4U
Index (USD)
J.P. Morgan Fifth Near
Euribor Futures Tracker JFLFEU5U
Index (USD)
Spread Euro 2s10s Spread J.P. Morgan EUR Curve
JPVEU210
Based Index Index (USD)
Futures Dollar 2s10s Spread J.P. Morgan USD Curve
JPVU0210
Indices Index Index (USD)
SEC Legend: JPMorgan Chase & 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
& Co. has filed with the SEC for more complete information about JPMorgan Chase
& 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 & 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, underlying supplement and term sheet if you so request by calling
toll-free 866-535-9248.
Selected Risks
[] Potential conflicts of interest may exist between the operation of the Index
and the normal business activities of J. P. Morgan, its affiliates, or their
respective related persons.
[] J. P. Morgan Securities plc, is the calculation agent of the Index and each
underlying index and may adjust the Index or an underlying index in a way that
affects its level.
[] The Index may not be successful in implementing its overall investment
strategy.
[] Because the Index may include notional short positions, the Index may be
subject to additional risks, including unlimited risk of loss.
[] The Index is subject to interest rate risks, in particular changes to
interest rate policy that may be implemented by the U. S. Federal Reserve.
[] The bond futures and spread based future indices may be affected by changes
in the perceived creditworthiness of the sovereign issuers that issue the
underlying bonds.
[] The constituent indices of the Index may be affected in unexpected ways by
the recent sovereign debt crisis in Europe and related global economic
conditions.
[] The Index and the constituents may not achieve the target volatility.
[] The Index may be partially uninvested.
[] The Index may be affected by significant volatility in the constituents,
each of which is subject to the volatility associated with futures contracts.
[] The level of the Index will reflect the deduction of a fee of 0.55% per
annum.
[] The Index may be subject to increased volatility due to the use of
significant leverage as part of the volatility-targeting feature.
[] The Index and its constituents have limited operative histories any may
perform in unanticipated ways.
[] The hypothetical back-tested performance of the Index does not represent
the actual historical performance of the Index, has not been verified by an
independent third party and may not be indicative of future results.
[] Movements in the underlying indices may be highly correlated and/or changes
in the levels of the underlying indices may offset each other.
[] The Index will be subject to currency exchange risk because the returns
underlying some of the constituents are converted into U. S. dollars.
[] The Index is subject to risks associated with non-U. S. securities markets.
[] The Index comprises notional assets and therefore there is no actual
portfolio of assets to which any person is entitled to or in which any person
has an ownership interest.
Disclaimer
This material has been prepared solely for informational purposes.
Nothing in this material or any other communications related thereto should be
deemed to or be construed as creating a "fiduciary relationship".
During the course of normal business, JPMorgan Chase and Co. and its affiliates
("J.P. Morgan") may enter into or promote, offer or sell transactions or
investments linked to the Index, or any of the fixed income securities or
currencies referenced in the Index. Neither J.P. Morgan have any duty to
consider the circumstances of any person when participating in such
transactions or to conduct themselves in a manner that is favorable to anyone
with exposure to the Index.
Persons interested in the Index should refer to the official Index Rules, when
available, for a complete description of the rules and methodology for the
Index. Opinions expressed herein may differ from the opinions expressed by
other areas of J.P. Morgan, including research.
The simulated data was constructed using certain procedures that may vary from
the procedures used to calculate the Index going forward, and on the basis of
certain assumptions that may not hold during future periods. The variations in
procedures used in producing simulated historical data from those used to
calculate the Index going forward could produce differences in returns of
indeterminate direction and amount. Past hypothetical performance results are
neither indicative of nor a guarantee of future returns. Actual results will
vary, potentially materially, from the hypothetical historical performance
described herein. There is no guarantee that the Index will outperform any
alternative investment strategy, including the Barclays US Aggregate Total
Return Index Unhedged USD or the iShares Barclays 20+ Year Treasury Bond Fund.
Past performance is not indicative of future results.
No one may reproduce or disseminate the information contained in this document
without the prior written consent of J.P. Morgan. Additional information is
available upon request. Clients should contact their J.P. Morgan representative
in, and execute transactions through, their home jurisdiction unless governing
law permits otherwise.
Copyright 2013 JPMorgan Chase & Co. All rights reserved. Additional information
is available upon request.
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