Example 2 The level of the Index increases by 15% from the Initial
Index Level of 100 to the Final Index Level of 115.
Because the Final Index Level is greater than the Trigger Level,
JPMorgan Chase will pay you your principal amount plus a return equal to the product of (i) the principal amount times (ii) the greater of (a) the Contingent Return of 10% and (b) the
Index Return, subject to the Maximum Gain.
Because the Index Return of 15% is greater than the Contingent Return
of 10%, but is less than the Maximum Gain of 44.50%, at maturity,
JPMorgan Chase will pay you a cash payment per $10 principal amount
Security equal to:
$10.00 + ($10.00 × Index Return)
$10.00 + ($10.00 × 15.00%) = $11.50
You would receive $11.50 at maturity for each $10 principal amount
Security for a total return on the Securities equal to the Index
Return of 15.00%.
Example 3 The level of the Index decreases by 10% from the Initial
Index Level of 100 to the Final Index Level of 90.
Even though the level of the Index has declined, because the Final
Index Level is greater than the Trigger Level, JPMorgan Chase will
pay you your principal amount plus a return equal to the product of (i) the principal amount times (ii) the greater of (a) the Contingent Return of 10% and (b) the
Index Return, subject to the Maximum Gain.
Because the Index Return of -10.00% is less than the Contingent
Return of 10%, at maturity, JPMorgan Chase will pay you a cash
payment per $10 principal amount Security equal to:
$10.00 + ($10.00 × Contingent Return)
$10.00 + ($10.00 × 10.00%) = $11.00
You would receive $11.00 at maturity for each $10 principal amount
Security for a total return on the Securities equal to the Contingent
Return of 10.00%.
Example 4 The level of the Index decreases by 60% from the Initial
Index Level of 100 to the Final Index Level of 40.
Because the Final Index Level is less than the Trigger Level,
JPMorgan Chase will not pay the Contingent Return and you will lose
1% of the principal amount for each 1% that the Index Return is
below 0%.
Because the Index Return is -60.00% at maturity, JPMorgan Chase will
pay you a payment at maturity of $4.00 per $10.00 principal amount
Security, calculated as follows:
$10.00 + ($10.00 × Index Return)
$10.00 + ($10.00 × -60.00%) = $4.00
You would receive $4.00 at maturity for each Security for a loss on
the Securities of 60% (proportionate to the negative Index Return).
If the Final Index Level is less than the Trigger Level, investors
will be exposed to the negative Index Return at maturity, resulting
in a loss of principal that is proportionate to the Index's decline
from the Trade Date to the Final Valuation Date. Investors could lose
some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities for their entire term. These hypotheticals do not reflect fees or expenses that would be
associated with any sale in the secondary market. If these fees and
expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.