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This slide is not for distribution in isolation and must be viewed in
conjunction with the accompanying term sheet, product supplement, underlying
supplement, prospectus supplement and prospectus, which further describe the
terms, conditions and risks associated with the notes.
Capped Return Enhanced Notes Linked to the JPX Nikkei Index 400 due August 17,
2016
The notes are designed for investors who seek a return of 3 times the
appreciation of the JPX Nikkei Index 400 at maturity, subject to a maximum
return of 15.15% . Investors should be willing to forgo interest and dividend
payments and, if the Ending Index Level is less than the Initial Index Level,
be willing to lose some or all of their principal. Any payment on the notes is
subject to the credit risk of JPMorgan Chase & Co.
Trade Details/Characteristics
Reference Index: The JPX Nikkei Index 400 ("the Index")
Maximum Return: At least 15.15%. For example, assuming the Maximum Return is 15.15%, if the Index Return is equal to or greater
than 5.05%, you will receive the Maximum Return of 15.15%, which entitles you to a maximum payment at maturity
of $1,151.50 per $1,000 principal amount note that you hold. The actual Maximum Return will be determined on the
pricing date and will not be less than 15.15%. Accordingly, the actual maximum payment at maturity per $1,000
principal amount note will not be less than $1,151.50.
Upside Leverage Factor: 3.00
Index Return: (Ending Index Level -- Initial Index Level) / Initial Index Level
Pricing Date: July 31, 2015
Initial Index Level: The Index closing level on the pricing date
Ending Index Level: The arithmetic average of the closing levels of the Index on each of the Ending Averaging Dates
Ending Averaging Dates: August 08, 2016, August 09, 2016, August 10, 2016, August 11, 2016, and August 12, 2016 (the Final Ending
Averaging Date)
Payment at Maturity: If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a cash payment that
provides you with a return per $1,000 principal amount note equal to the Index Return multiplied by 3, subject to the
Maximum Return. Accordingly, if the Ending Index Level is greater than the Initial Index Level, your payment at
maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 [] Index Return x 3), subject to the Maximum Return
If the Ending Index Level is equal to the Initial Index Level, you will receive the principal amount of your notes at
maturity.
Your investment will be fully exposed to any decline in the Index. If the Ending Index Level is less than the Initial
Index Level, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less
than the Initial Index Level, and your payment at maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 [] Index Return)
If the Ending Index Level is less than the Initial Index Level you will lose some or all of your initial investment at
maturity.
Preliminary Termsheet http://www.sec.gov/Archives/edgar/data/19617/000095010315005869/dp58217_fwp-742.htm
Please see the term sheet hyperlinked above for additional information about
the notes, including JPMS's estimated value, which is the estimated value of
the notes when the terms are set.
Hypothetical Return for the Notes at Maturity
[GRAPHIC OMITTED]
The following table illustrates the hypothetical total return at maturity on
the notes. The "total return" as used herein is the number, expressed as a
percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000.
Each hypothetical total return or hypothetical payment at maturity set forth
above and below assumes an Initial Index Level of 15000.00, an Upside Leverage
Factor of 3.00 and a Maximum Return of 15.15% . The actual Maximum Return will
be set on the pricing date and will not be less than 15.15% .
Risk Considerations
The risks identified below are not exhaustive. Please see the term sheet
hyperlinked above for more information.
[] Your investment in the notes may result in a loss.
[] Your maximum gain on the notes is limited to the maximum return.
[] Any payment on the notes is subject to the credit risk of JPMorgan Chase &
Co.
[] JPMorgan Chase & Co. and its affiliates play a variety of roles in
connection with the issuance of the notes, including acting as calculation
agent and hedging JPMorgan
Chase & Co.'s obligations under the notes. Their interests may be adverse to
your interests.
[] No ownership or dividend rights or interest payments in the stocks that
comprise the Index.
[] Lack of liquidity - J.P. Morgan Securities LLC ("JPMS") intends to offer to
purchase the notes in the secondary market but is not required to do so. Even
if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily.
[] JPMS's estimated value does not represent the future value of the notes and
may differ from others' estimates.
[] JPMS's estimated value will be lower than the issue price (price to the public) of the notes.
[] JPMS's estimated value is not determined by reference to credit spreads for
our conventional fixed rate debt.
[] The value of the notes as published by JPMS may be higher than JPMS's
then-current estimated value of the notes for a limited time.
[] Secondary market prices of the notes will likely be lower than the price you
paid for the notes and will be be impacted by many economic and market factors.
[] Risks related to non-U.S. issuers of equity securities.
[] The averaging convention used to calculate the Ending Index Level could
limit returns.
[] No direct exposure to fluctuations in foreign exchange rates.
[] The Index has a limited operating history.
Hypothetical Examples of Amounts Payable at Maturity
---------------------------------------------------------
Ending Index Level Index Return Total Return on Notes
------------------ ------------ -------------------------
27000.00 80.00% 15.150%
22500.00 50.00% 15.150%
21000.00 40.00% 15.150%
19500.00 30.00% 15.150%
17250.00 15.00% 15.150%
16500.00 10.00% 15.150%
15750.00 5.00% 15.000%
15757.50 5.05% 15.150%
15375.00 2.50% 7.500%
------------------ ------------ -------------------------
15000.00 0.00% 0.000%
14250.00 -5.00% -5.000%
13500.00 -10.00% -10.000%
12750.00 -15.00% -15.000%
10500.00 -30.00% -30.000%
9000.00 -40.00% -40.000%
7500.00 -50.00% -50.000%
1500.00 -90.00% -90.000%
0.00 -100.00% -100.000%
------------------ ------------ -------------------------
SEC Legend: JPMorgan Chase & Co. has filed a registration statement (including
a prospectus) with the SEC for any offerings to which these materials relate.
Before you invest, you should read the prospectus in that registration
statement and the other documents relating to this offering that JPMorgan Chase &
Co. has filed with the SEC for more complete information about JPMorgan Chase &
Co. and this offering. You may get these documents without cost by visiting
EDGAR on the SEC Web site at www.sec.gov. Alternatively, JPMorgan Chase & Co.,
any agent or any dealer participating in the this offering will arrange to send
you the prospectus, the prospectus supplement as well as any relevant product
supplement, underlying supplement and term sheet if you so request by calling
toll-free 866-535-9248.
IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not
provide tax advice. Accordingly, any discussion of U.S. tax matters contained
herein (including any attachments) is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendation
by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters address
herein or for the purpose of avoiding U.S. tax-related penalties.
Investment suitability must be determined individually for each investor, and
the financial instruments described herein may not be suitable for all
investors. 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.
This material is not a product of J.P. Morgan Research Departments.
Filed pursuant to Rule 433
Registration Statement No. 333-199966
Dated: July 28, 2015
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