Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated June 9, 2015
J.P. Morganlnvestable Indices [GRAPHIC OMITTED] Home --} IndiCes --} Index Summary Summary I I - ' . J.P. Morgan U.S. Sector Rotator TR Series X Index: Jun 10 2 0 14 to Jun o8 2015 [GRAPHIC OMITTED] |
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Index Level Data
---------------- -----------
Level Date
------- -------- -----------
Current 336.93 08-Jun-2015
High 362.41 26-Jan-2015
LOW 326.32 O7-Aug-2014
Start 336.8 10-Jun-2014
End 336.93 08-Jun-2015
Risk Measures
================ ======
Volatility 10.17%
Sharpe Ratio 0
Maximum drawdown -7.03%
Return Statistics
====================== =====
Annualized Return 0.04%
Average Monthly Return 0.02%
Return
==================== === ======
Daily Return -0.55%
Month to Date Return I -1.23%
Year 1o uate Return 5.1/%
3 Month Return -3.01%
1Year Return 0.08%
3 Year Return 14.12%
5 Year Return 14.12%
Monthly Return (%)
Jan Feb Mar Apr
---- ----- ---- ----- -----
2014
2015 -0.53 -0.4 -2.38 -1.22
May Jun Jul Aug Sep
--- ----- ----- ---- -----
1.39 -2.17 3.81 -0.67
0.5 -1.23
Oct Nov Dec Year
---- ---- ----- -----
1.85 3.11 -0.59 10.74
-5.17
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Footnotes (1) Calculation descriptions The first twelve columns under 'Monthly Return(%)" above reflect the performance of the index from the first trading day of the month displayed to the last trading day of that month. The final column reflects the performance of the index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the monthly and annual returns displayed in the future. Past performance is not indicative of future returns. **-As of the date shown above, the index was calculated based on a level for such index eQual to 100 on the date specified at the "Selected Start Date' . Index Level Data Current: Current refers to the closing level of the index as of the trading day immediately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during the time period selected, with the date on which such highest closing level occurs indicated under the ' Date" column next to the High level . The High Level may be a hypothetical, historical level and not an actual level of the Index. There is no guarantee that the Index will achieve the High Level in the future. low: Low refers to the lowest closing level of the index during the time period selected, with the date on which such lowest closing level occurs indicated under the ' Date" column next to the Low level. The Low Level mav be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future, decline below the Low level displayed on this website. Start: Start refers to the closing level of the index on the first trading day of the time period indicated. End: End refers to the closing level of the index on the last trading day of the time period indicated. Risk Measures Volatility: Volatility refers to the standard deviation of the daily logarithmic returns of the index over the time period specified and annualized. Volatility is a widely used measure to express the risk of the financial instrument over the specified time period. Compared to conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calculations include hypothetical. historical back-tested information that has inherent limitations. No representation is made that in the future :he Index will have the Volatility shown. Actual annualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. |
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Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential return of an index per unit of risk. For a given index and a specified time period, it is calculated by dividing the Annualized Return for the specified time period by the Volatility for the specified time period. The Sharpe Ratio calculation may contain components with hypothetical, historical back-tested information that have inherent limitations. No representation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Return and the Volatility and, accordingly, the Sharpe Ratio, may vary materially from the analysis implied in any hypothetical, historical calculation. Maximum Drawdown: Maximum Drawdown is the percentage change in the index from the highest value reached over the specified time period to the lowest value reached over the specified time period. The Maximum Drawdown may be based on hypothetical, historical Index levels and not actual Index levels. The Maximum Drawdown could. in the future, be larger than the Maximum Drawdown displayed above. Embedded Index Fee: The levels of the Index may be reduced by an adjustment factor which may have a considerable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the percentage change in the index from the first day of the specified time period to the last day of the specified time period and annualized. The Annualized Return may be based on hypothetical. historical index levels and not actual Index levels. There is no guarantee that the Index will achieve the Annualized Return in the future. Past performance is not indicative of future returns. Average Monthly Return: Average Monthly Return is the arithmetic average of the Monthly Returns for each full calendar month during the specified time period. For a given monthly period the Monthly Return is the percentage change in the index during the monthly period. The Average Monthly Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Average Monthly Return in the future. Past performance is nor indicative of future returns. Return Daily Return: The Daily Return is the return of the Index from the trading day immediately preceding the specified end date to the specified end dare, provided that if the specified end dare is today's date or not a trading day, the Daily Return is the return of the Index from the trading day that is two trading days immediately preceding the specified end dare to the trading day immediately preceding the specified end date. The Daily Return may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the Daily Return in the future. Past performance is not indicative of future returns. Month to Date Return: The Month to Date Return is the return of the Index from the last trading day of the month that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The Month to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Month to Date Return in the future. Past performance IS not indicative of future returns. Year to Date Return: The Year to Date Return is the return of the Index from the last trading day of the year that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The Year to Date Return may be based on hypothetical, historical Index levels and not accrual Index levels. There is no guarantee that the Index will achieve the Year to Date Return in the future. Past performance is not indicative of future returns. 3 Month Return: The 3 Month Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring three months prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day. to the trading day Immediately preceding the specified end date. The 3 Month Return may be based on hypothetical. historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the 3 Month Return in the future. Past performance is not indicative of future returns. 1 Year Return: The 1 Year Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring one year prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The I Year Return may be based on hypothetical, historical Index levels and not accrual index levels. There is no guarantee that the Index will achieve the I Year Return in the future. Past performance is not indicative of future returns. |
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3 Year Return:
The 3 Year Return is the trailing return of Index from the
trading day that occurs on or immediately preceding the
date occurring three years prior to the specified end date
to the specified end date, provided that if the specified
end date is today's date or not a trading day, to the
trading day immediately preceding the specified end
date land is nor annualized]. The 3 Year Return may be based
on hypothetical, historical Index levels and not actual
Index levels. There is no guarantee that the Index will
achieve the 3 Year Return in the future. Past performance
is not indicative of future returns.
5Y Return:
The 5 Year Return is the trailing return of the Index from
the trading day that occurs on or immediately preceding rhe
dare occurring five years prior to the specified end date
to the specified end date, provided that if the specified
end date is today's date or not a trading day. to the
trading day immediately preceding the specified end date,
and is nor annualized. The 5 Year Return may be- based on
hypothetical. historical Index levels and not actual Index
levels. There is no guarantee that me Index wi11 achieve
the 5 Year Return in the future. Past performance 1s nor
indicative of future returns.
(2} Short Summary of the Risks
The Index was established on August 18, 2014 and therefore
has a limited operating history. Past performance should
noi be considered indicative of future performance. There
are risks associated with a momentum[] based investment
strategy. The Index is different from a strategy that seeks
long[]term exposure to a portfolio consisting of constant
components with fixed weights. The Index may fail to
realize gains that could occur from holding assets that
have experienced price declines. but experience a sudden
price spike thereafter. The Index comprises only notional
assets and liabilities and therefore there is no actual
portfolio of assets to which any person is entitled or in
which any person has any ownership. The synthetic
investment strategy on which the Index is based may not be
successful, may not outperform any alternative strategy
related to the basket constituents. The actual realized
volatility of the Index may be greater than 20%. On each
monthly rebalancing dare. the Index reallocates index
weights among the selected U.S. sector constituents so !hat
the aggregate realized volatility of the portfolio of
selected U.S. sector constituents will not exceed 20% as
of that rebalancing dare. However, despite this volatility
cap. I he actual realized volatility of the Index after
each rebalancing date may fluctuate greatly and may be
greater than 2O% at any rime during the period between two
rebalancing dates. Performances among the U.S. sector
constituents and bond constituent may become highly
correlated from rime to rime during the term of your
investment. High correlation during periods of negative
returns among selected U.S. sector constituents and bond
constituent that have a substantial weighting in the Index
could have a material adverse effect on the performance of
the Index. The Index may have exposure only to the bond
constituent for an extended period of time. Changes in the
value of the U.S. sector constituents and the bond
constituent may offset each other. The Index 1s subject to
risks associated with specific sectors in the U.S. market.
Our affiliate. J.P. Morgan Securities plc (JPMS plc"), 1s
the calculation agent and
may adjust the Index in a way that affects its level. The
policies and judgments for which JPMS plc is responsible
could have{the impact, positive or negative, on the level of
the Index. JPMS plc is under no obligation to consider your
interest as an investor in securities linked to {he Index.
The risks identified above are not exhaustive. The Index
Rules, and not any description in this summary of risks,
govern the calculation and
constitution of the Index and other decisions and actions
relating to its maintenance. Additional information is
available upon request. For more Information regarding the
Index. clients should contact their J.P. Morgan
representative.
(3) General Disclaimers
For certificates of deposit: The information contained on
this Website is for discussion purposes only. Any
information relating to performance contained in these
materials is illustrative and no assurance IS given that
any indicative returns, performance or results, whether
historical or hypothetical, will be achieved. These terms are
subject to change, and JPMorgan undertakes no duty to update
this information. This information shall be amended,
superseded and replaced in its entirety by a subsequent
term sheer, disclosure supplement and/ or private placement
memorandum, and the documents referred to therein. In the
evem any inconsistency between the information presented
herein and any such rerm sheer, disclosure supplement
and/or private placement memorandum, such term sheer,
disclosure supplement and/or private placement memorandum
shall govern.
Investments in products linked to an Index require
investors to assess several characteristics and risk
factors that may nor be present in other types
of transactions. In reaching a derermmarion as to the
appropriateness of any proposed transaction, clients should
undertake a thorough independent review of the legal,
regulatory, credit. tax, accounting and economic
conseQuences of such transaction in relation to their
particular circumstances. This website contains market data
from various sources other than us and our affiliates, and,
accordingly, we make no representation or warranty as tome
market dara's accuracy or completeness. All information is
subject to change without nonce.
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SEC LEGEND JPMorgan Chase and Co. ([]J.P. Morgan') has fi led a regisuation statement (including a prospectus) with the Securities and Exchange Commission (the "SEC") for any offering of securities to which these materials relate. Before you invest in any offering of securities by J.P. Morgan, you should read the prospectus in that registrarion srarement and rhe other documents rela:ing to the offering that J.P. Morgan files with rhe SEC for more complete information about J.P. Morgan and the offering of 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 supplemem , as well as any product supplemem. underlying supplemenr and term sheet or pricing supplement, if you so request by call ing toll[]free 866[] 535[]9248. Use of Simulated Returns Back[]testing and other sratistical analysis material that is provided in connection with the explanations of the potential returns of the products linked to the Index use simulated analysis and hypothetical circu mstances to estimate how ic may have performed prior to its actual existence. The results obtained from such []back[]resring" information should not be considered indicative of the actual results that might be obtained from an investment or participation in a financial instrument or transaction referencing the Index. J.P. Morgan provides no assurance or guarantee rhat the produas linked to the Index will operate or would have operated in the past in a manner consistent with : hese materials. The hypothetical, back[]tested, historical levels presented herein have not been verified by an independent third party, and such hypotherical, back-tested, historical levels have inherent limitations. Alternative simulations, techniques, modeling or assumptions might produce significantly different results and prove to be more appropriate. Hypothetical back[]tested results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the simulated returns presented in this website. IRS Circular 23D Disclosure We and our affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with J.P. Morgan of any of the matters address herein or for rhe purpose of avoiding U.S. tax[] relared penalties. lnvestmenr suitability must be determined individually for each investor, and the financial instruments described herein may nor be suitable for all investors. This information is not intended ro provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. J.P.l\lorgan I =[] c .. [],'[]"'' ,;, I Tell[][] []'II[]" I [] ''""[]f ,. Copyrightil2Dl5JPMorganChaseandCo.AIIRightsReserved |
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J.P. Morganl nvestab1e Indices
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Hnm{? __, Indices --} Index Summary
Summary
I I I I ' . I []
J.P . Morgan Strategic Volatility Dynamic Index (Series 1)
(USD): Jun 10 2014 to Jun o8 2015
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Footnotes Ul Calculation descriptions The first twelve columns under "Mo1thly Return (%)' above reflect the performance of che index from the firsttrading day of the month displayed co che last trading day of that month. The final column refteCls the performance of the index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee chat the Index will achieve che monthly and annual returns displayed in the future. Past performance is not indicative of future returns. [][] [] As of the date shown above, the index was calculated based on a level for such index equal to 100 on the date specified at the "Selected Starr Dace' . Index l evel Data Current: Current refers to the closing level o' the index as of che trad ing day immediately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during che time period selected, with the date on which such highest closing level occurs indicated under che "Date" column next to the High level. The High level may be a hypothetical, hiswrical level and not an actual level of the Index. There is no guarantee chat the Index will achieve 1he High level in the future. l ow: l ow refers to the lowest closing level of the index during che time period selected, with the date on which sue- lowest closing level occurs indicated under the ' Date" column next to the Low level. The Low l evel may be a hypothetical, historical level and not an actual level of che Index. The level of the Index could, in che future, decline below the Low level displayed on this website. Start: Start refers to the closing level of the index on che first trading day of the time period indicated. End: End refers to the closing level of the index on the last trading day of the time period indicated. Risk Measures Volatility: Volatility refers 10 che standard deviation of the daily logarithmic returns of che index over che time period specified and annualized. Volatility is a widely used measure to express the risk of :he financial instrument over the specified time period. Compared to conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calculations include hypothetical, historical back[]tested informacion that has inherent limitations. No represen:ation is made chat in the future the Index will have the Volatility shown. Acm al annualized Volatility may vary materially from the analysis impliec in this hypothetical, historical calculation. |
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Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential r eturn of an index per unit of risk. For a given index and a specified time period, it is calculated by dividing the Annualized Retu rn for the specified ti me period by the Volatility for the specified time period. The Sharpe Ratio calculation may coma1n componeniS with hypothetical, historical back-tested information that have inherent limitations. No representation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Rerum and the Volatility and, accordingly. the Sharpe Ratio. may vary materially from the analysis implied in any hypothetical. historical calculation. Maximum Drawdown: Maximum Drawdown is the percem age change in the index from the highest value reached over the specified time period to the lowest value reached over the specified time period. The Maximum Drawdown may be based on hypothetical. historical Index levels and not actual Index levels. The Maximum Drawdown could, in the future, be larger than the Maximum Drawdown displayed above. Embedded Index Fee: The levels of the Index may be reduced by an adjustment factor which may have a considerable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the perc enrage change in the index from the first day of :he speciiied time period to the last day of the specified time period and annualized. The Annualized Return may be based on hypothetical. historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Annualized Return in the futu re. Past performance is not indicative of future returns. Average Monthly Return: Average Momhly Return is the arithmetic average of the Monthly Returns for each full calendar month during the specified time period. For a given monthly period the Monthly Return is the percemage change in the index during the monthly period. The Average Monthly Return may be based on hypoth1!tical, historical Index levels and not actual Index levels. There is no guarantee thai Ihe Index will achieve the Average Monthly Return in the fuiUre. Past performance is not indicative of future returns. Return Daily Return: The Daily Return is the return of the Index from the trading day immediately preceding the specifred end dare to the specified end date, provided that if the specified end date is today's date or not a trading day, the Daily Return is the return of the Index from the trading day that is two trading days immediately preceding t he specified end date to the trading day immediately preceding the specified end date. The Daily Return may be based on hypothetical, historical ind'ex levels and not acw al index levels. There 15 no guaramee that the Index will achieve the Daily Return in the future. Past performance is not indicative of future returns. Month to Date Return: The Month to Date Return is the retu rn of the Index from the last trading day of the month that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The Month to Date Rem rn may be based on hypothetical, historical i ndex levels and not actual Index levels. There is no guarantee that the Index will achieve the Month to Date Return in the future. Past performance 1S not indicative of future returns. Year to Date Return: The Year to Date Return is the return of the Index from the last trading day of the year that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The Year to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Year to Date Retur n in the future. Past performance is not indicative of future returns. 3 Month Return: The 3 Month Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring three months prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the uading day immediately preceding the specified end date. The 3 Month Return m ay be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the 3 Month Return in the future. Past performance is not indicative of future returns. 1 Year Return: The 1 Year Return is the trailing return of the Index from the trading day tha: occurs on or immediately preceding the date occurring one year prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The 1 Year Return may be Dased on hypothetical, historical index levels and not actual Index levels. There is no guarantee that the Index will achieve the 1 Year Return in the future. Past performance is not indicative of future returns. |
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3 Year Return:
The 3 Year Return is the trailing return of Index from the
trading day that occurs on orimmedrately preceding the date
occurring three years priorto the specified end date to the
specified end date, provided that if the specified end date
is today?s date or not a trading day, to the uading day
immediately preceding the specified end dateland is not
annualized]. The 3 Year Return may be based on
hypothetical, historical Index levels and not acw al lndex
levels. There is no guarantee that lhe Index will achieve
the 3 Year Return in the future. Past performance is not
indicative of future returns.
5Y Return:
The 5 Year Return is the trailing return of the Index from
the trading day that occurs on or immediately preceding the
date occurring five years prior to t he specified end date
!0 rhe specified end date, provided that if the specified
end date is today's date or not a trading day, to the
trading day Immediately precechng the specified end date,
and is not annualized. The 5 Year Return may be based on
hypotherical. histoncal lndex levels and not actual Index
levels. There is no guarantee that the Index will achieve
the 5 Year Rewrn in the future. Past performance is not
indicative of future returns.
{2) Short Summary of the Risks
The Index was established on August 31, 2012 and therefore
has limited operating historv. Past performance should not
be considend mdicative of future performance. The level of
rhe Index incorporates the daily deduction of (a) an
adjustment factor of 0.75% per annum (the "index fee") and
(b) a "daily rebalancing adjustment amount" that is equal
to the sum of (I} a rebalancing adjusrment factor of
between 0.20% and 0.50% per day (depending on the level of
the VIX Index), applied to : he aggregate notional amount
of each of the VIX furures contracts hypothetically traded
that day and (2) an additional amoum equal to the
rebalancing
adjustment factor of between 0.20% and 0.50% per day
(depending on the level of the VIX Index) applied to the
amount of the change, if any, in the level of the exposure
to the synthetic shan position. Unlike the index fee, the
rebalancing adjustment factor is not a per annum fee. The
level of the Index and the value of the notes will be
adversely affected. perhaps significantly, if the
performance of the synthetic long posiuon and the
contingent synthetic short position in the relevam VIX
futures contracts, determined based on the official
settlement prices of the relevant VIX futu-res contracts,
is not sufficient to offset the daily deduction of the
index
fee and the daily rebalancing adjustment amoum. The daily
rebalancing adjustment amount is likely to have a
substantial adverse effea on the level of the Index. The
Index may not be successful and may not outperform any
alternative strategy. Strategies that provide exposure to
equity volatility, which are subject to significan:
fluctuations, are not suitable for all investors. When the
symhetK short position is activated, any return on an
investment linked to the Index is dependent on rhe net
performance. not the absolute performance, of the long and
short positions. Due to the rime lag inherent 10 the Index,
the exposure to the syn;hetic short position
may not be adjusted quickly enough to offset loss or
generate profit. Because exposure to the svntheuc shon
posmon is adjusted only 1f the applicable conditions are
satisfied for 1hree consecuuve business days, rhe exposure
to the synthetic short position may nor be adjusted during
non[] trending market conditions. The Index level may not
increase even when the synthetic long position or tlle
synthetic short position, when activated,
generates a positive return. You may lose some or all of
your investment in the Index because there are no limits on
losses related to the shonposition embedded in the Index
and changes in the prices of the underlying
VIX furores contracts may reduce the level of the Index.
The Index compnses only notional assets and liabilities.
The Index is an excess return index and reflects the
performance of an uncollateralized investmem 1n futures
contracts. The Index is subject to risks associated with
futures contracts. Our affiliare, J.P. Morgan Securities
pic ("JPMS pic'), is the calculation agent and may adjust
the Index in a way that affects iiS level The policies and
judgments for which JPMS pic is responsible could have an
impact, positive. or negative, on the level of the Index.
JPMS pic IS under no obligarion to cons1der your interest
as an investor 1n securities linked to
the Index. The risks identified above are not exhaustive.
The Index Rules, and not any description in this summary of
risks. govern the calculation and constitution of the Index
and other decisions and actions relating to its
maintenance. Additional information is available upon
request. For mar"' information regarding the Index. clients
should comact their J.P. Morgao representative.
(3) General Disclaimers
For certificates of deposit: The information contained on
th1s Website is for discussion purposes only. Any
information relating to performance contained in these
materials is mustrative and no assurance is given that any
indicative rerurns, performance or results, whether
historical or hypothetical, will be achieved. These terms
are subject to change. and JPMorgan undertakes no dury to
update this information. This information shall be amended,
superseded and replaced in its entiretY by a subsequemterm
sheet, disclosure supplement and/or private placemem
memorandum, and the documems referred to therein. In the
evem any inconsistency
between the information presented herein and any such term
sheet, disclosure supplement and/or private placemen;
memorandum. such term sheet, disclosure supplemem and/or
pnvate placement memorandum shall
govern.
Investments in products linked to an Index require
investors to assess several characteristics and risk
factors that may not be present in other types of
uansaclions. In reaching a determination as to the
appropriateness of any proposed transaction, clients should
undertake a thorough 1ndependem review of the leg-I,
regularory, credit, tax, accounting and economic
consequences of such transaction 1n relation to their
particular
circumstances. This website contains market data from
various sources other than us and our affiliates, and,
accordingly, we make no representation or warranty as to
the marker data's accuracy or completeness. AU information
is subject to change without notice.
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SEC LEGEND
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
offering of securities to which rhese materials relate.
Before you invest in a ny offering of securities by J.P.
Morgan, you should read the prospectus in that registration
statement and rhe orher documents relating to the offering
that J.P. Morgan files with the SEC for more complete
information about J.P. Morgan and the offering of
securities. You may get these documents without cost by
visiting EDGAR on the SEC Website at .v1 []w.sec.gov.
Alternatively, J.P. Morgan, any agent, or any dealer par
ticipaTing in the particular offering will arrange to send
you the prospectus and the prospectus supplement, as well
as any product supplement, underlying supplement and term
sheet or pricing supplement, if you so request by calling
toll-free 866-535-9248.
Use of Simulated Returns
Back-testing and other statistical analysis material that
is provided in connection with the explanations of the
potential returns of the products linked to the Index use
simulated analysis and hypothetical circumstances to
estimate how it may have performed prior to its actual
existence. The results obtained from such ' back-testing"
information should not be considered indicative of the
actual results that might be obtained from an investment or
participation in a financial instrum ent or transacrion
referencing the Index. J.P. Morgan provides no assurance or
guarantee that the products linked to the Index will
operate or would have operated in the past in a manner
consistent with 1hese materials. The hypothetical,
back-tested, historical levels presented herein have not
been verified by an independent third pany, and such
hypothetical, back-tested, histor ical levels have inherent
limitations. Alternative simulations. techmiques, modeling
or assumptions might produce significantly different
results and prove to be more appropriate. Hypothetical
back-tested results are neither an indicator nor guarantee
of future returns. Actual results will vary, perhaps
materially, from the simulated returns presented in 1his
website.
IRS Circular l3D Disclosure
We and our affiliat es do not provide tax advice.
Accordingly, any discussion of U.S. tax matters contained
herein is not intended or written to be used, and cannot be
used, i n connection with the promotion, marketing or
recommendation by a nyone unaffiliated with J.P. Morgan of
any of the matters address herein or for the purpose of
avoid ing 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. This information is
not intended to provide and should not be relied upon as
providing accounting, legal, regulatory or tax advice.
Investors should consult with their own advisors as to
these matters.
J.P ]\ lorgan I p [] - ' ,, )e '"'' I T"' 'l' [][ II[]" I
.. of'"' ,, -
Copyright ll 2015 JPMorgan Chase and Co. All Rights
Reserved
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J.P. Morganlnvestable Indices Home --} Indices __, Index Summary [GRAPHIC OMITTED] ' . summary [][] ... JPMorgan Strategic Volatility Index: Jun 10 2 0 1 4 to Jun o8 2015 [GRAPHIC OMITTED] [GRAPHIC OMITTED] |
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Index Level Data
---------------- -----------
Level Date
------- -------- -----------
Current 238.96 08-Jun-2015
High 359.72 23-Jun-2014
Low 192.33 30-Jan-2015
Start 359.7 10-Jun-2014
End 238.96 08-Jun-2015
Risk Measures
================ =======
Volatility 20.97%
Sharpe Ratio -1.61
Maximum Drawdown -46.53%
Return Statistics
====================== =======
Annualized Return -33.72%
Average Monthly Return -2.64%
Return
==================== ========
Daily Return -0.9%
Month to Date Return -0.98%
Year To Date Return 10.69%
3 Month Return 12.68%
1Year Return -33.68%
3 Year Return -55.69%
5 Year Return []35.6%
Monthly Return (%)
Jan Feb Mar
---- ------ ----- ----
2014
2015 -10.91 11.24 4.95
Apr May Jun Jul
---- ---- ----- -----
-1.78 -5.65
3.62 3.73 -0.98
Aug Sep Oct Nov
---- ----- ------ ----
0.18 -2.54 -22.51 3.88
Dec Year
------ ------
-17.75 -50.36
10.69
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Footnotes (l) Calculation descriptions The first twelve columns under "Mo1thly Return(%)' above reflect the performance of the index from the firsttrading day of the month displayed co the last trading day of that month. Till:' lilldltulumn lt'flt'Lt!. tin:[] IJI:'I fu1 'lldiiLI:' of thl:' im.Jt'x fo1 Lhl:' yt'dl Ubpldyl:'tl. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee chat the Index will achieve the monthly and annual returns displayed in the fucure. Past performance is not indicative of future returns. [][] [] As of the date shown above, the index was calculated based on a level for such index equal to 100 on the dace specified at the "Selected Start Dace'. Index level Data Curren!! Current refers to the closing level o' the index as of the trad ing day immediately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during the time period selected, with the date on which such highest closing level occurs indicated under the "Date" column next to the High level. The High l evel may be a hypothetical, historical level and not an actual level of the Index. There is no guarantee that the Index will achieve the High level in the future. low: low refers to the lowest closing level of the index during the time period selected, with the da:e on which sue- lowest closing level occurs indicated under the ' Date" column next to the Low level. The Low Level may be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future, decline below the Low level displayed on this website. stare Start refers to the closing level of the index on the first trading day of the time period indicated. End: End refers to the closing level of the index on the last trading day of che time period indicated. Risk Measures Volatility: Volatility refers to che standard deviation of the daily logarithmic returns of the index over the time period specified and annualized. Volatility is a widely used measure to express the risk of the financial instrument over ihe specified time period. Compared co conventional arithmetic rerurn calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calculations include hypothetical, historical back[]tested informacion that has inherent limitations. No represen:ation is made that in the future the Index will have the Volatility shown. Actual annualized Volat-ity may vary materially from the analysis impliec in this hypothetical, historical calculation. |
 |
Sharpe Ratio:
The Sharpe Ratio is a measure chat aims to capture the
potential return of an index per unit of risk. For a given
index and a specified time period, it is calculated by
dividing the Annualized Return for the specified time
period by the Volatility for the specified time period. The
Sharpe Ratio calculation may contain components with
hypothetical, historical back-tested information that have
inherent limitations. No representation is made that in the
future the Index will have the Sharpe Ratio shown. The
actual Annualized Return and the Volatility and,
accordingly, the Sharpe Ratio, may vary materially from the
analysis implied in any hypothetical, historical
calculation.
Maximum Drawdown:
Maximum Drawdown is the percentage change in the index from
the highest value reached over the specified time period to
the lowest value reached over the specified time period.
The Maximum Drawdown may be
based on hypothetical, historical Index levels and not
actual Index levels. The Maximum Drawdown could, in the
future, be larger than the Maximum Drawdown displayed
above.
Embedded Index Fee:
The levels of the Index may be reduced by an adjustment
factor which may have a considerable impact on the level of
the Index.
Return Statistics
Annualized Return:
The Annualized Return is the percentage change in the index
from the first day of the specified time period to the last
day of the specified ti me period and annualized. The
Annualized Return may be based on hypothetical, historical
Index levels and not actual Index levels. There is no
guarantee that the Index will achieve the Annualized Return
in the future. Past performance is not indicative of future
returns. Average Monthly Return:
Average Momhly Return is the arithmetic average of the
Monthly Returns for each full calendar month during the
specified time period. For a given monthly period the
Monthly Rew rn is the percentage change in the index during
the monthly period. The Average Monthly Retu rn may be
b{.sed on hypothetical, historical Index levels and not
actual Index levels. There is no guarantee that the Index
will achieve the Average Monthly Return in the future. Past
performance is not indicative of future returns.
Return
Daily Return:
The Daily Return is the return of the Index from the
trading day immediately preceding the specified end date to
the specified end date, provided that if the specified end
date is today's date or not a trading day, the Daily Return
is the return of the Index from the trading day that is two
trading days immediately preceding the specified end date
to the trading day immediately preceding the specified end
date. The Daily Return may be based on hypothetical,
historical index levels and not actual index levels. There
is no guarantee that the Index will achieve the Daily
Return in the future. Past performance is not indicative of
future rew rns.
Month to Date Return:
The Month to Date Return is the return of the Index from
the last tradi ng day of the month that occurs prior to the
specified end date to the specified end date, provided that
if the specified end date is today's date or not a trading
day, to the trading day immediately preceding the specified
end date. The Month to Date Return may be based on
hypothetical, historical Index levels and not actual Index
levels. There is no guarantee that the Index will achieve
the Month to Date Return in the fuwre. Past performance is
not indicative of future returns.
Year to Date Return:
The Year to Date Return is the return of the Index from the
last trading day of the year that occurs prior to the
specified end date to the specified end date, provided that
if the specified end date is today's date or not a trading
day, to the trading day immediately preceding the specified
end date. The Year to Date Return may be based on
hypothetical, historical Index levels and not acwal lndex
levels. There is no guarantee that the Index will achieve
the Year to Date Retu rn in the future. Past performance is
not indicative of future returns.
3 Month Return:
The 3 Month Return is the trailing return of the Index from
the trading day that occurs on or immediately preceding the
date occurring three months prior to the specified end date
to the specified end date, provided that if the specified
end date is today's date or not a trad ing day, to the
tradirg day immediately preceding the specified end date.
The 3 Month Return may be based on hypothetical, historical
Index levels and not actual Index levels. There is no
guarantee that the Index will achieve the 3 Month Return in
the future. Past performance is not indicacive of future
returns.
1 Year Return:
The 1 Year Return is the trailing return of the Index from
the trading day that occurs on or immediately preceding the
date occurring one year prior to the specified end date to
the specified end dace, provided that if the
specified end date is today's date or not a trading dav, to
the trading day immediately preceding the specified end
date. The I Year Return may be based on hypothetical,
historical Index levels and not actual Index levels.
There is no guarantee that the Index will achieve the I
Year Return in the future. Past performance is not
indicative of future returns.
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 |
3 Year Return:
The 3 Year Return is the trailing return of Index from the
trading day that occurs on or immediately preceding the
dale occurring three years prior to t he specified end date
to the specified end date, provided that if the specified
end date is today?s date or not a u ading day, to the
trading day immediately preceding the specified end
date[and is not annualized]. The 3 Year Return may be based
on hypothetical, historical Index levels and not actual
Index levels. There is no guarantee that the Index will
achieve the 3 Year RetUrn 10 the future. Past performance
IS not indicative of future returns.
5Y Return:
The 5 Year Return is the trailing return of the Index from
the trading day that occurs on or immediately preceding the
date occurring five years prior to {he specified end date
to the specified end date, provided that if the specified
end date is today's date or nor a trading day, to the
trading day 1mmed1ately preceding the specif1ed end date.
and rs nor annualized. Tho? 5 Year Return mav be based on
hypothetical, historical Index levels and not actual Index
levels. There is no guarantee that the Index will achieve
the 5 Year Return in the future. Past performance is not
indicative of future returns.
(2) Short Summary of the Risks
The Index was established on July 30. 2010 and therefore
has limited operating history. Past per formance should not
be considered indicative of future performance. The level
of the Index incorporates the daily deduction of (a) an
adjustment factor of 0 .75% per annum (the "index fee") and
(b) a "daily rebalancing adjustment amount" that is eQual
to the sum of (l ) a rebalancing adjustment factor of
between 0.20% and 0.50% per day (depending on the level of
the VIX Index), applied to the aggregate notional amount of
each of the VIX futures contracts. hypothetically traded
that day and (2) an additional amount equal to the
rebalancing adjustment factor of between 0.20% and 0 .50%
per day (depending on the level of the VIX Index) applied
to the amounc.oi the change, rf any, in the level of the
exposure to the symheric short position. Unlike the index
fee, the rebalancing adjustment factor is not a per annum
fee. The level of the Index and the value oi the notes will
be adversely affected, perhaps significantly, if the
performance of the synthetic long position and the
contingent synthetic short position in the relevant VIX
futur es contracts, determined based on the official
settlement prices of the relevant VIX futures contracts. is
not sufficient to offset the daily deduction of the index
fee and the daily rebalancing adjustment amount. The daily
rebalancing adjustment amount is likely to have a
substanual adverse effect on the level of the lnde-. The
Index may not be successful and may not outperform
any alternative strategy. Strategies that provide exposure
to equity volatility, which are subject to significam
fluctuations, are not suitable ior all investors .. When
the synthetic short pos ition is activated, any return on
an investment linked to the Index is dep endent on the net
performance, not the absolute performance, of the long and
short positions. Due to the time lag inherent in the Index,
the exposure to the synthetic short position may not be
adjusted Quickly enough to offset loss or generate profit.
Because exposure to the synthet{c short poslt{on IS
adjusted only if the applicable conditions are satisfied
for three consecutive business days, the
exposure to the synthetic short posit ion may not be
adjusted during non[] trending market conditions. The Index
level may not increase even when the synthetic long
position or the synth etic short position. when activated,
generates a positive return. You may lose som e or all of
your investment in the strategy because there are no limits
on losses related to the short p-sition embedded in t he
Index and changes in the prices of the
underlying VIX futures contracts may reduce the level of
the Index. The Index comprises oniy notional assets and
liabilities and therefore there is no actual portfolio of
assets to which any person is entitled or in which any
person has any ownership. The Index is an excess return
index and reflects the performance of an uncollateralized
investment in funues contracts. The Index is subject ro
risks associated with futures contracts. Our affiliate,
J.P. Morgan Securities pic ("JPMS pic"), is the calculation
agent and may adjust the Index in a way that affects its
level. The policies and judgments for which JPMS pic is
responsible could have an impact, positive or negative. on
the level of the Index . JPMS pic is under no obligation to
consider your interest as an investor in securities linked
to the Index. The risks identified above are not
exhaustive. The Index Rules, and not any description in
this summary of risks, govern the calculation and
constitution oi the Index and other decisions and act;ons
relating to its maimenance. Additional informatio n IS
available upon reQuest. For more information regarding the
Index, clients shou ld contact their J.P. Morgan
representative.
(3) General Disclaimers
For certificates of deposit: The information contained on
this Website is for discussion purposes only. Any
information refaring to performance contained in these
materials 1s illustrative and no assurance is given that
any indicative returns, performance or results, whether
historical or hypothetical, will be achieved. These terms
are subjen to change, and JPMorgan undertakes no duty to
update this infor mation. This informacion shall be
amended, superseded and replaced in its entirety by a
subseQuent term sheet. disclosure supplement and/or pnvate
placement memorandum, and the documents referred to therem.
In the event any inconsistency between the information
presented herein and any such term sheet, disclosure
supplement and/ or private placement memorandum, such term
sheet, diSclosure supplemem and/or private placement
memorandum shall govern.
Investments in products linked to an Index reQuire
investors to assess several characteristics and risk
factors that may not be present in other types of
transactions. In reaching a determination as to the
appropriateness of any proposed transaction, clients should
undertake a thorough independent review oi the legal,
regulatory, credit, tax, accounting and economic
conseQuences of such transaction in relation to their
particular circumstances. This website contains market data
from various sources other than us and our affiliates, and,
accordingly, we make no representatio n or warranty as to
the market data's accuracy or completeness. All information
is subject to change without notice.
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SEC LEGEND
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
offering of securities 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 and the other documents relating to the offering
that J.P. Morgan files with the SEC for more complete
information about J.P. Morgan and the offer ng of
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 par
ticipating in the particular offering will arrange to send
you the prospectus and the prospectus supplement, as well
as any product supplement. underlying supplement and term
sheet or pricing supplement, if you so request by call ing
toll-free 866[]535[]9248.
Use of Simulated Returns
Back[] testing and other statistical analysis mater ial
that is provided in connection with the explanations of the
potential returns of the products linked to the Index use
simulated analysis and hypothetical circumstances to
estimate how it may have performed prior to its actual
existence. The results obtained from such "back[]testing"
information should not be considered indicative of the
actual results that might be obtained from an investment or
participation in a financial instrument or transaction
referencing the Index. J.P. Morgan provides no assurance or
guarantee that the products linked to the Index will
operate or would have operated in the
past in a manner consistent wit h t hese materials. The
hypothetical, back[]tested, historical levels presented
herein have not been verified by an independent third
party, and such hypothetical, back-tested, historical
levels have inherent limitations. Alternative simulations,
techniques, modeling or assumptions might produce
significantly different results and prove to be more
appropriate. Hypothetical back[]tested results are neither
an indicator nor guarantee of future returns. Actual
results will vary, perhaps materially, from the simulated
returns presented in this website.
IRS Circular 230 Disclosure
We and our affiliates do not provide tax advice.
Accordingly, any discussion of U.S. tax matters contained
herein is not intended or written to be used, and cannot be
used, in connection with the promotion, marketing or
recommendation by anyone unaffiliated with J.P. Morgan of
any of the matters address herein or for the purpose of
avoid ing 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. This information is
not intended to provide and should not be relied upon as
providing accounting, legal, regu latory or tax advice.
Investors should consult with their own adviso[]s as to
these matters.
J.P.l\lorgan I P -. ''"[]'' "[] I T"'l'' '''''" I L "f'"'''
...
Copyright02015JPMorganChaseandCo.AIIRightsReserved
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J.P. Morganlnvestable Indices [GRAPHIC OMITTED] Home _. Indices _. Index Summary Summary ... ... J.P.Morgan Strategic Volatility Modified Index: Jun 10 2 0 1 4 to Jun o8 2015 [GRAPHIC OMITTED] [GRAPHIC OMITTED] |
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Index Level Data
---------------- -----------
Level Date
======= -------- ===========
Current 279.99 08-Jun-2015
High 442.88 23-Jun-2014
Low 225.36 30-Jan-2015
Start 442.85 10-Jun-2014
End 279.99 08-Jun -2015
Risk Measures
================ ========
Volatility 22.3%
Sharpe Ratio []1.66
Maximum Drawdown -49.11%
Return Statistics
====================== =======
Annualized Return -36.93%
Average Monthly Return -2'.93%
Return
==================== =======
Daily Return -0.9%
Month to Date Return -0.98%
Year To Date Return 5.47%
3 Month Return 12.68%
1Year Return -36.89%
3 Year Return -50.78%
5 Year Return -50.78%
Monthly Return (%)
Jan Feb Mar Apr
---- ------ ---- ---- ----
2014
2015 -15.11 1124 4.94 3.62
May Jun Jul Aug Sep
---- ----- ----- ---- ------
-1.78 -5.65 2.81 []2.54
3.73 -0.98
Oct Nov Dec Year
------ ---- ------ ------
-22.41 3.88 -20.05 -46.53
5.47
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Footnotes (l) Calculation descriptions The first twelve columns under 'Monthly Return(%)' above reflect the performance of the index from the first trad ing day of the month displayed to the last trading day of that month. The final column reflects the performance of the index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the monthly and annual returns displayed in the future. Past performance is not indicative of future retu rns. [][] [] As of the date shown above, the index was calculated based on a level for such index equal to 100 on the date specified at the "Selected Start Date". Index l evel Data Current: Current refers to the closing level of the index as of the trading day immed iately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during the time period selected, with the date on which such highest closing level occurs indicated under the ' Date" column next to the High level. The High level may be a hypothetical, historical level and not an actual level of the Index. There is no guarantee that the Index will achieve the High Level in the future. l ow: low refers to the lowest closing level of the index during the time period selected, with the date on which such lowest closing level occurs indicated under the ' Date" column next to the low level. The low level may be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future, decline below the Low Level displayed on this website. Start: Start refers to the closing level of the index on the first trading day of the time period indicated. End: End refers to the closing level of the index on the last trading day of the time period indicated. Risk Measures Volatility: Volatility refers to the standard deviation of the daily logarithmic returns of the index over the time period specified and annualized. Volatility is a widely used measure to express the risk of the financial instrument over the specified time period. Compared to conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative retur ns. The volatility calculations include hypothetical, historical back-tested information that has inherent limitations. No representation is made that in the future the Index will have the Volatility shown. Actual annualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. |
 |
Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential return of an index per unit of risk. For a given index and a specified ti me period, it is calculated by dividing the Annualized Return for the specified time period by the Volatility for the specified ti me period. The Sharpe Ratio calculation may contain components with hypothetical, historical back[]tested information that have inherent limitations. No representation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Return and the Volatility and, accordingly, the Sharpe Ratio, may vary materially from the analysis implied in any hypothetical, historical calculation. Maximum Drawdown.: Maximum Drawdown is the percentage change in the index from the highest value reached over the specified time period to the lowest value reached over the specified time period. The Maximum Drawdown may be b ased on hypothetical, historical Index levels and not actual Index levels. The Maximum Drawdown could, in the future, be larger than the Maximum Drawdown displayed above. Embedded Index Fee: The levels of the Index may be reduced by an adjustment factor which may have a considerable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the percentage change in the index from the fi rst day of the specified time period to the last day of the specified ti me period and an nualized. The Annualized Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Annualized Return in the future. Past performance is not indicative of future returns. Average Monthly Return: Average Monthly Return is the arithmetic average of the Monthly Returns for each full calendar month during the specified time period. For a given monthly period the Monthly Return is the percentage change in the index during the monthly period. The Average Monthly Retu rn may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Average Monthly Return in the future. Past performance is not indicative of future returns. Return Daily Return: The Daily Return is the return of the Index from the trading day immediat ely preceding the specified end date to the specified end date, provided that if the specified end date is today's dare or not a trading day, the Daily Return is the return of the Index from the trading day that is two trading days immed iately preceding the specified end date to the trading day immediately preceding the specified end date. The Daily Return m ay be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the Daily Return in the future. Past performance is not indicative of fuwre returns. Month to Date Return: The Month to Date Return is the return of the Index from the last trading day of the month that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trad ing day immediately preceding the specified end dare. The Month to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Month to Date Return in the future. Past performance IS not indicative of future returns. Year to Date Return: The Year to Date Return is the return of the Index from the last trading day of the year that occurs prior to the specified end date to the specified end date, provided that if the specified end date is roday's date or not a trading day, to the trading day immediately preceding the specified end date. The Year to Date Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Year to Date Retu rn in the future. Past performance is nor indicative of future r eturns. 3 Month Return: The 3 Month Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring three months prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The 3 Month Return may be based on hypothetical, historical Index levels and nor actual Index levels. There is no guar antee that the Index will achieve the 3 Month Return in the future. Past performance is not indicative of future returns. 1 Year Return: The 1 Year Return is the trailing return of the Index from the trading day ! hat occurs on or 1mmed1ately preceding the date occurring one year prior to the specified end date to the specified end dare. provided that 1f the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end date. The 1 Year Return may be based on hypothetical, historical Index levels and not acruallndex levels. There is no guarantee that the Index will achieve the 1 Year Retu rn in the furure. Past performance is not indicative of future returns. |
 |
3 Year Return.:
The 3 Year Return is the trailing return of Index from the
trading day thar occurs on or immediately preceding the
date occurring three years prior to the specified end date
to rhe specified end date, provided that if the specified
end date is today?s date or not a uading day, to the
trading day immediately preceding the specified end
dateland is not annualized!. The 3 Year Return may be based
on hypothetical, historical Index levels and not actual
Index levels. There is no guarantee that rhe Index will
achieve the 3 Year Return in the future. Past performance
is not indicative of future retur ns.
5Y Return:
The 5 Year Retu rn is the trailing return of the Index from
the trading day rhar occurs on or immediately preceding the
date occurring five years prior to the specified end dare w
rhe specified end date, provided that if the specified end
date is today's date or nor a rrading day, to the trading
day immediately preceding the specified end date, and is
not annualized. The 5 Year Return may be based on
hypothetical, historical Index levels and
not actual Index levels. There is no guarantee that : he
Index will achieve the 5 Year Return in the future. Past
performance is not indicative of futu re returns.
(2) Short Summary of the Risks
The Index was established on August 14. 2014 and therefore
has limited operating history. Past per formance should not
be considered indicative of futur e performance. The level
of the Index incorporates the daily deduction of (a) an
adjustment factor of 0.75% per annum and (b) a ?daily
rebalancing adjustment amount? that is determined by
applying a rebalancing adjustment factor of between 0.20%
and 0.50% per day (depending on the level of the VIX Index)
10 both (1) the aggregate notional amount of each of the
VIX futures contracts hypothetically traded that day and
(2) the amount of the change. if any, in the level of the
exposure to the synthetic short position. Unlike the
adjustment factor, the rebalancing adjuSlment factor is not
a per annum fee. The daily rebalancing adjustment amou nt
is intended to approximate the slippage costs that would be
experienced by a professional inveswr seeking to replicate
the hypotnetical portfolio contemplated by the Index at
prices that approximate the official serrlement prices
(which are not generally tradable) of the relevant VIX
futures contracts. Slippage costs are costs that arise from
deviations between the actual official settlement price of
a VIX futures contract and the prices at which a
hypothetical investor would expect to be able to execute
trades in the market when seeking co match the expected
official serrlement price of a VIX futures contract. The
daily rebalancing adjustment amount is likely to have a
substantial adverse effect on the level of the Index. The
Index may not be successful and may not outperform any
alternative strategy. Strategies that provide exposure to
eQuity volatility, which are subjea to significant
fluctuations, are not suitable for all investors. The Index
com prises only notional assets and liabil ities and
1herefore there is no actual portfolio of assets to which
any person is entitled or in which any person has any
ownership. The synthetic investment strat egy on which the
Index is based may not be successful, may nor outperform
any alternative strategy. There is unlimited loss exposure
to the synthetic short position, when activated, and such
exposure may result in a significant drop in the level of
the Index. Because exposure to the syntftetic short
position is decreased only if the applicable conditions are
satisfied for four consecutive index business days, the
exposure to the synthetic short position may not be
decreased during non[]rrending market conditions. Changing
prices of the VIX futures contracts included in the Index
may have an adverse effect on the level of the Index. The
level of the Index may not increase even when the svnrhetic
long position or the symhettC short posiuon. when
activated, generates a positive return. Due to the !tme lag
inherent 1n the Index, the exposure to the synthetic short
position may not be adjusted Quickly enough in response to
a change in market conditions for the investment strategy
on which the index is based to be successful. The Index is
subjeu. to risks associated with futures contracts. Our
affiliate, J.P. Morgan Securities pic ("JPMS pic"), is the
calculation agent and may adjust the Index in a way that
affects its level. The polides and judgments for which JPMS
pic is responsible could have an impact, positive or
negative, on the level of the Index. JPMS pic is under no
obligation to consider your interest as an investor in
securities linked to the Index. The risks identified above
are not exhaustive. The Index Rules, and not any
description in this summary of risks, govern : he
calculation and constitution of the lndeJ{ and other
decisions and actions relating to its maintenance.
Additional information is available upon reQuest. For more
information regarding the Index. clients should contact
their J.P. Morgan.
(3) General Disclaimers
For certificates of deposit: The information contained on
this Website is ior discussion purposes only. Any
information relating to performance contained in these
materials is illustrative and no assurance is given that
any indicative returns, performance or results. whether
historical or hypothetical, will be achieved. These terms
are subject to change, and JPMorgan undertakes no duty to
update this information. This information shall be amended,
superseded and replaced in its entirety by a subseQuent
term sheet, disclosure supplement and/or private placement
memorandum, and the documents referred 10 there10. In the
event any inconsistency between the information presented
herein and any such term sheet, disclosure supplement and/
or private placement memorandum, such term sheet,
disclosure supplement and/or private placement memorandum
shall govern.
Investments in products linked to an Index require
investors to assess se11eral characteristics and risk
factors that may not be present in other types of
uansactions. In reaching a determination as to the
appropriateness of any proposed transaction, clients should
undertake a :horough independent review oi the legal,
regulatory, credit, tax, accounting and economic
conseQuences of such transaaion in relation to their
particular circumstances. This website contains market data
from various sources o1her than us and our affiliates, and,
accordingly, we make no representation or warranty as to
the market data's accuracy or completeness. All information
is subject to change without notice.
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SEC LEGEND
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
offering of securities 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 and the other documents relating to the offering
that J.P. Morgan files with the SEC for more complete
information about J.P. Morgan and the offering of
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, underlying supplement and
term sheet or pricing supplement, if you so r eQuest by
call ing toll-free 866-535-9248.
Use of Simulated Returns
Back-testing and other statistical analysis material that
is provided in connection with the explanations of the
potential returns of the products linked to the Index use
simulated analysis and hypothetical circumstances to
estimate how it may have performed prior to its actual
existence. The results obtained from such 'back-testing"
information should not be considered indicative of the
actual results that might be obtained from an investment or
participation in a financial instrument or transaction
referencing the Index. J.P. Morgan provides no assurance or
guarantee that the products linked to the Index will
operate or would have operated in the past in a manner
consistent with these materials. The hypothetical,
back-tested, historical levels presented herein have not
been verified by an independent third party, and such
hypothetical, back-tested, historical levels have inherent
limitations. Alternative simulations, techniQues, modeling
or assumptions might produce significantly different
results and prove to be more appropriate. Hypothetical
back-tested results are neither an indicator nor guarantee
of future returns. Actual results will vary, perhaps
materially, from the simulated returns presented in this
website.
IRS Circular 23D Disclosure
We and our affiliates do not provide tax advice.
Accordingly, any discussion of U.S. tax matters contained
herein is not intended or written to be used, and cannot be
used, in connection with the promotion, marketing or
recommendation by anyone unaffiliated with J.P. Morgan 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. This information is
not intended to provide and should not be relied upon as
providing accounting, legal, regulatory or tax advice.
Investors should consult with their own advisors as to
these matters.
J.Pl\lorgan I : \ 'e ' ,. I 'elll[] tl[]- I ' e l-[]:
Copyright ll20!5JPMorganChaseandCo.AIIRightsReserved
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f.P. Morganlnvestable Indices Hom- -lnd CI?S -Index Summary [GRAPHIC OMITTED] Summary ... I I I " [] t " J.P. Morgan Volemont Strategy- U.S. Equity (Series 1) (USD): Jun 10 2014 to Jwl o8 2015 [GRAPHIC OMITTED] [GRAPHIC OMITTED] |
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Index Level Data
---------------- -----------
Level Date
------- -------- -----------
Current 260.64 08-Jun-2015
High 278.67 19-Sep-2014
Low 249.94 30-Jan-2015
Start 272.1 10-Jun-2014
End 260.64 08- Jun-2015
Risk Measures
================ =======
Volatility 5.5%
Sharpe Ratio -0.77
Maximum Drawdown -10.31%
Return Statistics
====================== ======
Annualized Return -4.23%
Average Monthly Return -0.31%
Return
==================== ======
Daily Return -0.24%
Month to Date Return 0.09%
Year To Date Return 2.24%
3 Month Return 1.54%
1Year Return -4.11%
3 Year Return 9.2%
5 Year Return 45.5%
Monthly Return (%)
Jan Feb Mar Apr
---- ----- ---- ----- ----
2014
2015 -1.95 3.18 -0.75 1.05
May Jun Jul Aug Sep
---- ---- ----- ---- -----
1.29 -0.92 1.49 -0.02
0.68 0.09
Oct Nov Dec Year
----- ---- ----- -----
-5.19 1.65 -4.04 -6.36
2.24
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Footnotes (1) calculation descriptions The first twelve columns under "Monthly Return (%)' above reflect the performance of the index from the first trading day of the mooch displayed co the last trading day of that month. The final column reflects the performance of che index for the year displayed. These returns may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee chat the Index will achieve che monthly and annual returns displayed in the future. Past performance is not indicative of future returns. [][] []As of the date shown above, the index was calculated based on a level for such index equal to 100 on the date specified a: the "Selected Start Date". Index level Data Current: Current refers to the closing level of the index as of the trading day immediately preceding the date you have accessed this website. High: High refers to the highest closing level of the index during the time period selected, with the date on which such highest closing level occurs indicated under the "Date" column next to the High level. The High level may be a hypothetical, historical level and not an actual level of the Index. There is no guarantee that the Index will achieve the High level in the future. low: low refers to the lowest closing level of the index during the time period selected, with the date on which such lowest closing level occurs indicated under the "Date" column next to the Low level. The Low Level may be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future. decline below the Low level displayed on this website. Start: Start refers to the closing level of the index on the first trading day of the time period indicated. End: End refers to the closing level of the index on the last trading day of the time period indicated. Risk Measures Volatility: Volatility refers to the standard deviation of the daily logarithmic returns of the index over the time period specified and annualized. Volatility is a widely used measure to express the risk of the financial instrument over the specified time period. Compared co conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volatility calcu lations include hypothetical, historical back-tested information that has inherent limitations. No representation is made that in the future the Index will have the Volatility shown. Actual annualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. |
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Sharpe Ratio:
The Sharpe Ratio is a measure that aims to capture the
potential return of ao index per unit or risk. For a given
index and a specified time period, it is calculated by
dividing the Annualized Return for the specified rime
period by the Volatility for the specified time period. The
Sharpe Ratio calculation may contain components with
hypothetical, historical back[]tested information that have
inherent limitations. No r epresemation is made that in the
future the Index will have the Sharpe Ratio shown. The
actual Annualized Return and the Volatility and,
accordingly, the Shar pe Ratio, may vary materially from
the analysis implied in any hypothetical, historical
calculation.
Maximum Drawdown:
Maximum Drawdown is the percentage change in the index from
the highest value reached over the specifted tim e period
to the lowest value reached over the specified time period.
The Maximum Drawdown may be
based on hypothetical, historical Index levels and not
actual Index levels. The Maximum Drawdown could, in rhe
future, be larger than the Maximum Drawdown displayed
above.
Embedded Index Fee:
The levels of the Index may be reduced by an adjustment
factor which may have a constderable impact on the level of
the Index.
Return Statistics
Annualized Return:
The Annualized Return is the percentage change in the index
from the first{lay of the specified time period ro the last
day of the specified time period and an nualized. The
Annualized Return may be based on
hypothetical, historical Index levels and not actual Index
levels. There is no guarantee that rhe lnde- wm achieve 1he
Annualized Return in the futu re. Past performance is not
indicative of future returns. Average Monthly Return:
Average Monthly Return is the arithmetic average of the
Monthly Returns for each full calendar month during the
specified time period. For a given monthly period the
Monthly Return is the percentage change in rhe index during
the monthly period. The Average Monthly Retu rn may be
based on hypothetical, historical Index levels and not
actual Index levels. There is no guarantee that the Index
will achieve the Average Monthly Return in the future. Past
performance is not indicative of future returns.
Return
Daily Return:
The Daily Return is the return of the Index from the
crading day immediately precedi ng the soecified end da1e
to the specified end date, provided that if the specified
end date is roday's date or not a trading day, the Daily
Return is the return of the Index from the trading day that
is two trading days immediately preceding the specified end
date to the trading day immediately preceding the specified
end date. The Daily Return may be based on hypothetical,
historical index levels and not actual index levels. There
is no guarantee that the Index will achieve the Daily
Return in the future. Past performance is not indicative of
fuwre re: urns.
Month to Date Return:
The Month to Date Return is the return of the Index from
the last tradi ng day of the month thac occurs prior to the
specified end date to the specified end date, provided that
if the specified end date is today's date or not a trading
day, to the trading day immediately preceding the specified
end date. The Month to Date Return may be based on
hypothetical, historical Index levels and nor actual Index
levels. There is no guarantee that the Index will achieve
che Month to Date Return in che future. Past performance ts
not indicative of future returns.
Year to Date Return:
The Year to Date Return is the retu rn of the Index from
the last trading day of the year thac occurs prior to the
specified end date to the specified end date, provided that
if the specified end date is today's date or not a trading
day, to the trading day immediately preceding the specified
end date. The Year 10 Date Return may be based on
hypothetical, historical Index levels and not actual Index
levels. There as no guarantee that the Index will achieve
the Year to Date Return in the future. Past performance is
not indicative of future returns.
3 Month Return:
The 3 Month Return is the trailing return of the Index from
the trading day that occurs on or immediately preceding the
date occurring three months prior to the specified end date
to the specified end date, provided that if the specified
end date is today's date or not a trading day, to the
uading day immediately preceding che specified end date.
The 3 Month Return may be based on hypothetical, historical
Index levels and not actual Index levels. There is no
guarantee that the Index will achieve the 3 Month Return in
the future. Pas: performance is not indicative of future
returns.
1 Year Return:
The I Year Return is the trailing return of the Index from
the trading day that occurs on or tmmedtately preceding the
date occurring one year prior to the specified end date to
the specified end date. provided that it the
specified end date is today's date or not a rrading day, to
the trading day tmmediacely preceding the specified end
date. The I Year Return may be based on hypothetical,
hiscoricallndex levels and not actual Index leveis.
There is no guarantee that the Index will achieve the I
Year Retu rn in the futUre. Past performance is not
indicative of future returns.
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3 Year Return:
The 3 Year Return is the trailing return of Index from the
trading day that occurs on or immediately preceding the
date occurring three years prior to the specified end date
to the specified end date, provided that if the specified
end date is today?s date or not a trading day, to the
trading day immediately preceding the specified end
dateland is not annualized]. The 3 Year Return may be based
on hypothetical, historical Index levels and not actual
Index levels. There is no guarantee that the Index will
achieve the 3 Year Return 1n the future. Past performance
is not ind1cative of future returns.
5Y Return:
The 5 Year Return is the trailing rerurn of the Index from
the trading day that occurs on or immediately preceding che
date occurring five years prior to the specified end date
to the specified end date, provided that if the specified
end date is today's date or not a uading day, to the
trading day immediately preceding me specified end date,
and is not annualized. The 5 Year Return may be based on
hypothetical, historical Index levels and not actual Index
levels. There is no guarantee that the Index will achieve
the 5 Vear llewrn 1n the future. Past performance IS not
indicative of future returns.
{2) Short Summary of the Risks
The Index was established on Aprill3, 2013 and therefore
has limited operating h[]story. Past performance should not
be cons1dered mdicative of future performance. Strategies
that provide exposure to equity volatility, which are
subject to significant fluctuations, are not suitable for
all investors. The Index comprises only notional assets and
liabilities and therefore there is no actual portfolio of
assets to which any person is entitled or in which any
person has any ownership. The synthetic investment strategy
on which the Index is based may not be successful and may
not outperform any alternative strategy. The weighting
methodology of the Index may not be successful. There are
concentration risks associated with the Index. The
determonation of the stnke level as part of the calculation
of the variance component includes a downward adjustment
that will adversely affect the level of the variance
component. The daily rebalancing adjustment amount is
likely to have a substantial adverse effen on the level of
the futures component over time. There are risks associated
with the methodology employed with respect to the variance
component: [] The returns on the synthetic variance swaps
underlying the variance component are capped. [] The
returns on the synthetic variance swaps underlying the
variance component are non-linear, which may have an
adverse effect on the level of the variance component.[]
The variance component may be uninvested ai any rime.[]
During low volatility market conditions, the variance
component will provide decreased exposure 10 shon positions
in any symhetic variance swaps. [] Mark-to-market values of
the existing shan positions in the synthetic variance swaps
will have direct and indirect effects on the level of the
variance component. There are risks associated with the
methodology employed with respect to the futures component:
[] The level of the futures component is expected to
increase only in limited market conditions and is expected
to decrease in other market conditions, which may adversely
affect the level of the volatility index. [] The futures
component is likely to be uninvested (and, therefore,
provide no exposure to VIX futures contracts) for sustained
periods of time. [] Because the long return exposure IS
adjusted only if the applicable conditions are satisfied
for three consecutive futures component calculation days,
that are no disrupted futures component calculation days,
the long return exposure may not be adjusted during non
-trending market conditions.[] Due to the time lag inherent
in the futures component, the long return exposure may not
be adjusted quickly enough in response to a change in
market conditions for :he investment strategy on which the
futures component is based to be successful. [] Changing
prices of the VIX futures contracts included in the futures
component may have an adverse effect on the level of the
futures component. [] VIX futures contracts have limited
historical information. Our affiliate, J.P. Morgan
Securities pic ("JPMS pic"), is the calculation agent and
may adjust the Index in a way that affects its level. The
policies and judgments for which JPMS pic \s responsible
could have an impact, positive or negative, on the level of
the Index. JPMS pic is under no obligation to consider your
interest as an investor in securities linked to the Index.
The risks identified above are not exhaustive. The Index
Rules, and not any description in this summary of risks,
govern the calculation and constitution of the Index and
other decisions and actions relating to its matntenance.
A{lditional information is available upon request. For more
information regarding the Index, clients should contact
their J.P. Morgan representative.
(3) General Disclaimers
For certificates of deposit: The information contained on
this Website is for discussion purposes only. Any
information relating to performance contained in these
materials is illustrative and no assurance is given that
any indicative returns, performance or results, whether
historical or hypothetical, will be achieved. These terms
are subject to change, and JPMorgan undertakes no duty to
update this information. This information shall be amended,
superseded and replaced in its entirety by a subsequent
term sheer, disclosure supplement and/or private. placement
memorandum, and the documents referred to therein. I n the
event any inconsistency between the information presented
herein and any such term sheet, disclosure supplement
and/or pnvate placement meiT".orandum, such term sheet,
disclosure supplement and/ or private placement memorandum
shall govern.
Investments in products linked to an Index require
investors to assess several characteristics and risk
factors that may not be present in other types of
lfansactions. In reaching a determination as to the
appropriateness of any proposed transaction, clients should
undenake a thorough independent review of the legal,
regularory, credit, tax. accounting and econom1c
consequences of such transaction in relation to their
particular circumstances. This website contains market data
from various sources other than us and our affiliates, and,
accordingly, we make no representation or warranty as to
the market data's accuracy or completeness. All information
is subject to change without notice.
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SEC LEGEND
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
offering of securities 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 and che ocher documents relating to the offering
that J.P. Morgan files with the SEC for more complete
information about J.P. Morgan and the offering of
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 par
ticipating in the particular offering will arrange to s.end
you the prospectus and the prospectus supplement, as well
as any product supplemem, underlying supplement and term
sheet or pricing supplement, if you so request by call ing
toll-free 866[]535-9248.
Use of Simulated Returns
Back[]testing and other statistical analysis mater ial that
is provided in connection with the explanations of the
potential returns of the products linked to the Index use
simulated analysis and hypothetical circumstances ro
estimate how it may have performed prior to its actual
existence. The results obtained from such "back[]resting"
information should not be considered indicative of the
actual results that might be obtained from an investment or
participation in a financial instrument or transaaion
referencing the Index. J.P. Morgan provides no assurance or
guarantee that the products linked to the Index will
operate or would have operated in the past in a manner
consistent with rhese materials. The hypothetical,
back[]tested, historical levels presented herein have not
been verified by an independent third party, and such
hypothetical, back-tested, historical levels have inherent
limitations. Alternative simulations, techniques, modeling
or assumptions might produce significantly different
results and prove to be more appropriate. Hypothetical
back[]tested results are neither an indicator nor guarantee
of future returns. Actual resuh;s will vary, perhaps
materially. from the simulated returns presented in :his
website.
IRS Circular 230 Disclosure
We and our affiliates do not provide tax advice.
Accordingly, any discussion of U.S. tax matters contained
herein is not intended or wrirten to be used. and cannot be
used, in connection with the promotion, marketing or
recommendat ion by anyone unaffiliated with J.P. Morgan 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 descri bed herei n may nor be
suitable for all investors. This information is not
intended to provide and should not be relied upon as
providing accounting, legal, regulatory or tax advice.
Investors should consult with their own advisors as to
these matters.
J.P l\lorgan I ' . - [], '[]"'' ,. I T"' [][]l[] []t ' ''"
I [] .- , "' "',,.
Copyright 0 2015 JPMorgan Chase and Co. All Rights Reserved
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J.P. Morganlnvestable Indices Hn"l- -i'ldirl?s -Index Summary [GRAPHIC OMITTED] Summary ... [] [] JPMorga.n US Treasury Note Futures (G) Tracker: Jun 10 2014 to Jun o8 2015 [GRAPHIC OMITTED] [GRAPHIC OMITTED] |
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Index Level Data
---------------- ------------
Level Date
------- -------- ------------
Current 226.38 05-J un-2015
High 234.54 02-Feb-2015
Low 219.81 17-Jun-2014
Start 220.09 10-Jun-2014
End 226.38 05-Jun-2015
Risk Measures
================ ======
Volatility 4.8%
Sharpe Ratio 0.6
Maximum Drawdown -3.48%
Return Statistics
====================== =====
Annualized Return 2.9%
Average Monthly Return 0.23%
Return
==================== =======
Daily Return []0.66%
Month to Date Return -2.02%
Year To Date Return -0.34%
3 Month Return -0.26%
1Year Return 2.57%
3 Year Return 2.03%
5 Year Return 19.27%
Monthly Return (%)
Jan Feb Mar Apr
---- ---- ----- ---- -----
2014
2015 3.21 -1.86 0.87 -0.41
May Jun Jul Aug Sep
----- ----- ----- ---- -----
0.22 -0.45 1.39 -0.91
-0.03 -2.02
Oct Nov Dec Year
---- ---- ---- -----
1.38 1.04 -0.2 5.83
-0.34
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Footnotes Ul Calculation descriptions The first twelve columns under "Monthly Return(%)' above reflect th e perfo rmance of the index from the first trading day of the month displayed to the last trading day of that momh. The final column reflects the performance of the index for the year displayed. These returns mav be based on hypothetical, historical index levels and rot actual index levels. There is no guarantee that the Index will achieve the monthly and annual returns displayed in the future. Pasc perform ance is not indicative of future retu rns. [][] [] As of the date shown abov e, the index was calculated based on a level for such index equal to 100 on the date specified at the "Selected Start Date' . Index Level Data Current: Current refers to the closing level of the index as of the trading day immediately preceding the date you have accl'ssed this website. High: High refers to the highest closing level of the index during the time perio1 selected, with the date on which such highest closing level occurs indicated under the "Date" column next to the High level. The High Level m ay be a hypothetical, historical level and not an actual level of the Index, There is no guarantee that the Index will achieve the High Level in the future, Low: Low refers to the lowest closing level of the index during the time period selected, with the date on which such lowest closing level occurs indicated under the "Date" colum n next to the Low level. The l ow l evel mav be a hypothetical, historical level and not an actual level of the Index. The level of the Index could, in the future. decline below the Low level displayed on this website. Start: Start refers to the closing level of the index on the first trading day of the ti me period indicated. End: End refers to the closing level of the index on the last trading day of the time period indicated. Risk Measures Volatility: Volatility refers to the standar d deviation of the daily logarithmic returns of rhe index over the time period specified and annualized. Volatility is a widely used measure to express the risk of!he financial instrument over the specified time period. Com pared to conventional arithmetic return calculations, logarithmic returns are generally lower for positive returns and generally have higher magnitude for negative returns. The volarili1y calcu lations include hypothetical, historical back-tested information that has inherent limitations. No representation is made that in the future the Index will have the Volatility shown. Actual annualized Volatility may vary materially from the analysis implied in this hypothetical, historical calculation. |
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Sharpe Ratio: The Sharpe Ratio is a measure that aims to capture the potential return of an index per unit of risk. For a given index and a specified time period, it is calculated by dividing the Annualized Return for the specified time period by the Volatility for the specified ti me period . The Sharpe Ratio calculation may contain components with hypothetical. historical back-tested information that have inherent limitations. No represem ation is made that in the future the Index will have the Sharpe Ratio shown. The actual Annualized Return and the Volatility and, accordingly, the Shar pe Ratio. may vary materially from the analysis implied in any hypothetical, historical calculation. Maximum Drawdown: Maximum Drawdown is rhe per centage change in the index from the highest value reached over the specified tim e period to the lowest value reached over the specified time period. The Maximum Drawdown may be based on hypothetical . historical Index levels and nor actual Index levels. The Maximum Drawdown could, in the future. be larger than the Maximum Drawdown displayed above. Embedded Index Fee: The levels of the Index may be reduced by an adjustment factor which may have a considerable impact on the level of the Index. Return Statistics Annualized Return: The Annualized Return is the percentage change in the index from the first day of the specified time period to the last day of the specified ti me period and annualized. The Annualized Return may be based on hypothetical, historical Index levels and nor actual Index levels. There is no guarantee that the Index will achieve the Annualized Return in the future. Past performance is not indicative of future returns. Average Monthly Return: Average Monthly Return is the arithmetic average of the Monthly Returns for each full calendar month during the specified time period. For a given monthly period the Monthly Return is the percentage change in the index during the monthly period. The Average Monthly Return may be based on hypothetical, historical Index levels and not actual Index levels. There is no guarantee that the Index will achieve the Average Monthly Return in the future. Past performance is not indicative of futu re returns. Return Daily Return: The Daily Return is the return of the Index from the trading day immedia:ely preceding the specified end date to the specified end date, provided that if the specified end date is wday's date or not a trading day, 1he Daily Return is the return of the Index from the trading day that is two uadingdays immediately preceding the specified end date to the trading day immediately preceding the specified end date. The Daily Return may be based on hypothetical, historical index levels and not actual index levels. There is no guarantee that the Index will achieve the Daily Return in the future. Past performance is not indicative of future rew rns. Month to Date Return: The Month to Date Return is the return of the Index from the last trading day of the month that occurs prior to the specified end date to the specified end date, provided that if the specified end dare is roday"s date or nor a trading day, to the trading day immediately preceding the specified end date. The Month to Date Return may be based on hypothetical, historical Index levels and nor actual Index levels. There is no guarantee that the Index will achieve the Month to Date Return in the future. Past performance is not indicative of future returns. Year to Date Return: The Year to Date Return is the return of the Index from the last trading d-y of !he year that occurs prior to the specified end date to the specified end date, provided that if the specified end date is today's date or not a u ading day, to the trading day immediately preceding the specified end date. The Year to Date Return may be based on hypothetical, histor ical Index levels and not acw allndex levels. There is no guarantee that the Index will achieve the Year to Date Return in the future. Past per formance is not indicative of future returns. 3 Month Return: The 3 Month Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring three months prior to the specified end date to the specified end date, provided rhat if the specified end date is today's date or not a trading day, to the trading day immediately preceding the specified end dare. The 3 Month Return may be based on hypothetical. historical Index levels and nor actual Index levels. There is no guarantee that the Index will achieve the 3 Month Return in the future. Past performance is not indicative of future returns. 1 Year Return: The 1 Year Return is the trailing return of the Index from the trading day that occurs on or immediately preceding the date occurring one year prior to the specified end date to the specified end dare. provided that if the specified end date is today's date or nor a trading day, to the trading day immediately preceding the specified end date. The 1 Year Return may be based on hypothetical. historical Index levels .;nd nor acw allnde[] levels. There is no guarantee that rhe Index will achieve the 1 Year Return in rhe future. Past oerformance is not indicative of future returns. |
 |
3 Year Return:
The 3 Year Return is the trailing return of Index from the
trading day that occurs on or immediately preceding the
dare occurring tllree years prior to t he specified end
date to the specified end date, provided that if the
specified end date is today?s date or not a trading day, to
the trading day immediately preceding the specified end
dateland is nor annualized]. The 3 Year Return may be based
on hypothetical, historical Index levels and not actual
Index levels. There is no guarantee that the Index will
achieve the 3 Year Return 10 the future. Past performance
IS not mdicative of future returns.
5Y Return:
The 5 Year Return is the trailing return of the Index from
the trading day that occurs on or immediately preceding the
dare occurring five years prior to the specified end date
to tile SJ}ecified end date, provided that if the specified
end date is today's date or not a trading day, to the
trading day immediately preceding the specified end date,
and is not annualized. The 5 Year Return may be based on
hypothetical, historical Index levels and not anual lndex
levels. There is no guarantee that the Index will achieve t
he 5 Year Return in the future. Past performance is not
indicative of future returns.
(2) Short Summary of the Risks
The Index was established on August 28, 2009 and therefore
has limited operating history. Past performance should not
be consider ed mdicative of future performance. The Index
may in the future be subject to an adjustment factor that
could negatively affect the level of the Index The Index
comprises notional assets only. Vou will not have any claim
again;;t any of the lO[]year Treasury futures underlying
the Index or rhe related Treasury securities. The level of
the Index changes daily, at times significantly based upon
the current market prices of the volatile lO[]year Treasury
futures contracts and the related Treasury notes. These
market pn ces are influenced by a variety of factors,
particularly interest rate changes, the yields on the
Treasury futures/ notes as compared to current market
imeres: rates and the actual or perceived credit quali!V of
rhe U.S. government. The Index may be subject to high
levels of volatility. Futu res comram on the lO[]year U.S.
Treasury notes are highly leveraged and often display
higher volatility and less liquidity than the lO[]year U.S.
Treasury Notes. The settlement price of 10 year Treasury
Futures may not be readily available. Our affiliate,
J.P.Morgan Securities pic ('JPMS pic"), is the index
calculation agem and may adjust the Index in a way that
affects its level. The policies and judgments for which
JPMS pic is responsible cou ld have an impact. positive or
neganve, on the level of the Index and the value of your
investment. JPMS pic IS under no obligation to consider
your interest as an investor in financial instruments
linked to the Index. The risks identified above are not
exhaustive. The Index Rules. and not any description in
this summary of risks, gover n the calculation and
constitution of the Index and other decisions and actions
relating to its maimenance. Additional information is
available upon request. For more information regarding the
lmlex, clients should contac: : heir J.P. Morgan
representative.
(3) General Disclaimers
For certificates of deposit: The information contained on
this Website is fo r discussion purposes only. Any
information relating to performance contained in these
matenals is illustrative and no assurance is g1ven that any
indicative returns, performance or results, whether
historical or hypothetical, will be achieved. These terms
are subject to change, and JPMorgan undertakes no duty to
update this information. This mformation shall be amended,
superseded and replaced in its entirety by a subsequent
term sheet, disclosure supplement and/or private placement
memorandum, and the documems referred to tllerein. In the
event any inconsistency between the information presented
herein and any such term sheet, disclosure supplement and/
or private placement memor andum, such term sheet.
disclosure supplement and/or private placemenr memorandum
shall
govern.
Investments in products linked to an Index require
investors to assess sev eral characteristics and risk
factors that may not be present in other types of
rransac;ions. In reaching a determination as to the
appropriateness of any proposed transaction, clients should
undertake a thorough independent reVtew of the legal,
regulatory, credit, tax, accounting and economic
consequences of sucln ransawon in relation to their
particular circumstances. This website contains market data
from various sources other than us and our affiliates, and,
accordingly. we m ake no representation or warranry as to
the market data's accuracy or completeness. All information
is subject to change without notice.
SEC LEGEND
JPMorgan Chase and Co. (' J.P. Morgan') has fi led a
registration statement (including a prospectus) with tile
Securities and Exchange Commission (thl? ' SEC") for any
offering of securities 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 and t he other documents relating to the offering
that J.P. Morgan files with the SEC for more complete
information about J.P. Morgan and the offering of
securities. You may get these documents without cost by
visiting EDGAR on the SEC Website at [] .. w ..sEc.go [] .
Alternatively, J.P. Morgan, any agent, or any dealer
participating in the particular offering will arrange to
send you the prospectus and rhe prospectus supplement, as
well as anv product supplement, underlying suoplement and
term sheet or pricing supplement, if you so request by
calling toll[]free 866[]535[]9248.
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Use of Simulated Returns Back-testing and other statistical analysis material that is provided in connection with the explanations of the potential rew rns of the products linked to the Index use simulated analYSIS and hypothetical mcumstances w estimate how it may have performed prior to its actual existence. The resuiiS obtained from such ' back-testing" information should not be considered indicative of the actual results that might be obtained from an investment or participation in a financial instrument or transaction referencing the Index. J.P. Morgan provides no assurance or guarantee that the pwducts linked to the Index will operate or would have operated in the past in a manner consistent wit h t hese materials. The hypothetical, back-tested, historical levels presented herein have not been verified by an independent third parry, and such hypothetical. back-tested, historical levels have inherent limitations. Alternative simulations, techniques, modeling or assumptions might produce significantly different results and prove to be more appropriate. Hypothetical back-rested results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the simulated returns presented in this website. IRS Circular 230 Disclosure We and our affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with J.P. Morgan of any of the maners address herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitab ility must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. This information is not intended to provide and should nor be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. J.P.l\[]lorgan I P ,,,c, 1. '"""[]-} I T"'l"oflh- I Ccuf 1e' p," []c, CopyrightCI2015JPMorganChaseandCo.AIIRightsReserved |
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