Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated June 3, 2015
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J.P. Morgan US Treasury Note Futures (G) Tracker
Index Highlight - June 2015
OVERVIEW
The JPMorgan US Treasury Note Futures (G) Tracker Index (the "Index") is a
proprietary J.P. Morgan strategy that seeks to replicate the returns of
maintaining a long position in 10-Year U.S. Treasury notes futures contracts.
Hypothetical and Actual Historical Performance --May 31, 2005 to May 29, 2015
Key Features of the Index
[] Synthetic index which aims to replicate a rolling position in US 10 year
Treasury Futures;
[] Notionally rolled on a quarterly basis(2), prior to the expiry of the
current front month contract;
[] The futures contract is based on U. S. Treasury notes maturing between 6.5
years and 10 years from the delivery month;
[] Levels published on Bloomberg under the ticker RFJGUSBE
Recent Index Performance
Historical Return
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May 2015 -0.03%
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Apr 2015 -0.41%
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Mar 2015 0.87%
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Hypothetical and Historical Total Returns (%) and Volatility
(%) -- May 29, 2015
Three Year Annualized Return(1) 1.24%
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Five Year Annualized Return(1) 4.21%
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Ten Year Annualized Return(1) 4.12%
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Ten Year Annualized Volatility(3) 6.21%
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Ten Year Sharpe Ratio(4) 0.663
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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 May 31, 2005 through Aug 27, 2009, and the actual historical
performance of the Index based on the daily Index closing level from Aug 28,
2009 through May 29, 2015, as well as the performance of the US Generic
Government 10 Year Yield Index over the same period. There is no guarantee of
any future performance for these indices based on this information. Source:
Bloomberg and JPMorgan.
2) On a quarterly basis (generally, the second to last business day in
February, May, August and November), J.P. Morgan Securities Ltd., or JPMSL,
acting as the Index calculation agent, will rebalance the Index to take
synthetic long positions in the next 10 year Treasury Futures Contract
scheduled to expire immediately following the contract closest to expiration.
3) Calculated based on the annualized standard deviation for the ten year
period prior to May 29, 2015
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.
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com June 01, 2015
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Key Risks
[] Our affiliate, JPMSL, is the index calculation agent and may adjust the
Index in a way that affects its level. The policies and judgments for which
JPMSL is responsible could have an impact, positive or negative, on the level
of the Index and the value of your investment. JPMSL is under no obligation to
consider your interest as an investor in financial instruments linked to the
Index.
[] The Index comprises notional assets only. You will not have any claim
against any of the 10-year Treasury futures underlying the Index or the
related Treasury securities. [] Interest Rate Risk -- The level of the Index
changes daily, at times significantly based upon the current market prices of
the volatile 10-year Treasury futures contracts and the related Treasury
notes. These market prices are influenced by a variety of factors,
particularly interest rate changes, the yields on the Treasury futures/notes as
compared to current market interest rates and the actual or perceived credit
quality of the U. S. government.
[] The Index may be subject to high levels of volatility. Futures contracts on
the 10-year U. S. Treasury notes are highly leveraged and often display
higher volatility and less liquidity than the 10-year U. S. Treasury Notes.
[] The settlement price of 10 year Treasury Futures may not be readily
available.
[] The Index was established in August 2009 and therefore has a limited
operating history.
[] The Index may in the future be subject to an adjustment factor that could
negatively affect the level of the Index.
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
The Index was developed, complied, prepared and arranged by JPMorgan through
the expenditure of substantial time, effort and money and constitutes valuable
intellectual property and trade secrets of JPMorgan. All right, title, and
interest in and to the Index is vested in JPMorgan and the Index cannot be used
without JPMorgan's prior written consent. Information herein is believed to be
reliable but JPMorgan does not warrant its completeness or accuracy.
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.
333-199966
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com JUNE 01, 2015
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