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The First Trust Dorsey Wright Focus 5 ETF
[] The First Trust Dorsey Wright Focus 5 ETF seeks
investment results that correspond generally to the price
and yield (before fees and expenses) of the Dorsey Wright
Focus Five Index
[] The Dorsey Wright Focus 5 Index is designed to provide
targeted exposure to the five First Trust Advisors L.P.
("First Trust") sector-based ETFs that are expected to
offer the greatest potential to outperform the other First
Trust sector-based ETFs based on Dorsey Wright and
Associates' proprietary "Relative Strength" methodology
[] Relative Strength" is a momentum technique that measures
the price performance of a security versus a market
average, another security or a universe of securities.
Relative Strength is a way of recording historic
performance patterns, and Dorsey Wright and Associates uses
Relative Strength signals as a trend indicator to find
those components with a higher likelihood for positive
future returns.
The J.P. Morgan Dynamic Treasury Futures Index (USD)
The J.P. Morgan Dynamic Treasury Index (USD) is designed to
track the returns of a long position in a weekly rebalanced
synthetic portfolio of four J.P. Morgan Treasury futures
tracker indices each of which tracks certain futures
contracts on the U.S. Treasury securities with a maturity
ranging from 2-year, 5-year, 10-year to 20-year.
[] The allocation of index weight to each Futures Tracker
is determined based on (i) the ratio of the aggregate
principal amount of the outstanding Relevant Treasury
Securities of the relevant Futures Tracker and the
aggregate principal amount of the outstanding Relevant
Treasury Securities of all Futures Trackers and (ii) the
relevant Futures Tracker's realized volatility compared
with the realized volatility of the J.P. Morgan Global
Government Bond Index -- US Bonds Only in US
[] The index is designed to track the total-return
performance of the U.S. Treasury securities included in the
Reference Index, which are selected from all outstanding
U.S. Treasury securities based on certain broad selection
criteria, and therefore, the Reference Index is designed to
be a benchmark for the U.S. Treasury securities market.
Cash Constituent
The Cash Constituent of the Index is intended to track a
notional 3-month time deposit in U.S. dollars. It earns
interest daily at a blended rate, which is a composite rate
of interest determined based on the 3-month and 2-month
LIBOR rates that Any allocation to the Cash Constituent at
any given time represents the portion of the Index that is
uninvested at that time.
Selected Risks
[] JPMS, the index calculation agent, may adjust the Index
in a way that affects its level, and JPMS has no obligation
to consider your interests.
[] The Index may not be successful, outperform any
alternative strategy that might be employed in respect of
the Target Constituents or achieve its target volatility.
[] The level of the Index will include the deduction of a
fee and a borrowing cost.
[] The daily adjustment of the exposures of the Index to
its Target Constituents will vary, and may be partially
uninvested in its Target Constituents
[] By reducing its exposure to its Equity Constituent, the
Index may significantly underperform its Equity
Constituent.
[] The exposure of the Index to its Bond Constituent may be
greater, perhaps significantly greater, than its exposure
to its Equity Constituent.
[] The Index may have significant exposure to its Cash
Constituent.
[] The returns of the Target Constituents may offset each
other or may become correlated in decline.
[] The Index is subject to significant risks associated
with fixed-income securities, including interest
rate-related risks and credit risk.
[] The Index is subject to the negative impact of an
interest deduction.
[] The Index comprises notional assets and liabilities.
[] The Index and its Target Constituents each have a
limited operating history and may perform in unanticipated
ways.
[] The Index is subject to market risks.
[] The investment strategy used to construct the Index
involves daily adjustments to its synthetic exposure to its
Target Constituents.
[] The First Trust Dorsey Wright Focus 5 ETF is subject to
the risk relating to its selection methodology.
[] The J.P. Morgan Dynamic Treasury Index (USD) is subject
to the risk relating to its selection methodology.
Disclaimer
This material has been prepared solely for informational
purposes. Nothing in this material or any other
communications related thereto should be deemed to or be
construed as creating a "fiduciary relationship". During
the course of normal business, JPMorgan Chase and Co. and
its affiliates ("J.P. Morgan") may enter into or promote,
offer or sell transactions or investments linked to the
Index, or any of the fixed income securities referenced in
the Index. J.P. Morgan will not have any duty to consider
the circumstances of any person when participating in such
transactions or to conduct themselves in a manner that is
favorable to anyone with exposure to the Index. Persons
interested in the Index should refer to the official Index
Rules, when available, for a complete description of the
rules and methodology for the Index. Opinions expressed
herein may differ from the opinions expressed by other
areas of J.P. Morgan, including research. The simulated
data presented herein was constructed using certain
procedures that may be different from the procedures used
to calculate the closing levels of the Index, and on the
basis of certain assumptions that may not hold in future
periods. The differences in procedures used in producing
simulated data from those used to calculate the closing
levels of the Index could produce differences in returns in
terms of both direction and amount. Hypothetical and
historical performance results are neither indicative nor a
guarantee of future returns. Actual results will vary,
potentially materially, from the hypothetical and
historical performance described herein. There is no
guarantee that the Index will outperform any alternative
investment strategy, including the SandP 500([R]) Index or
the Barclays US Aggregate Bond Index. Past performance is
not indicative of future results. No one may reproduce or
disseminate the information contained in this document
without the prior written consent of J.P. Morgan.
Additional information is available upon request. Clients
should contact their J.P. Morgan representative in, and
execute transactions through, their home jurisdiction
unless governing law permits otherwise.
SEC Legend: JPMorgan Chase and Co. has filed a registration
statement (including a prospectus) with the SEC for any
offering 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 and Co. has filed with the SEC for more
complete information about JPMorgan Chase and 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 and Co., any agent or any
dealer participating in the this offering will arrange to
send you the prospectus and the prospectus supplement as
well as any product supplement and term sheet if you so
request by calling toll-free 1-866-535-9248.
Past performance, and especially hypothetical back-tested
performance, is not indicative of future results. Actual
performance may vary significantly from past performance or
any hypothetical back-tested performance. This type of
information has inherent limitations and you should
carefully consider these limitations before placing
reliance on such information.
Copyright 2014 JPMorgan Chase and Co. All rights reserved.
The presentation was developed, compiled, prepared and
arranged by JPMorgan through the expenditure of substantial
time, effort and money and constitutes valuable
intellectual property and trade secrets of JPMorgan. All
right, title, and interest in and to the presentation is
vested in JPMorgan and the presentation cannot be used
without JPMorgan's prior written consent.
The information contained in this presentation has been
distributed to you on a stand-alone basis and is not to be
combined with, consolidated, incorporated or otherwise used
with any other written materials provided by JPMorgan.
IRS Circular 230 Disclosure: JPMorgan Chase and 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 and Co. of any of the matters addressed 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. The products
described herein should generally be held to maturity as
early unwinds could result in lower than anticipated
returns. 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 JPMorgan Research
Departments. Structured Investments may involve a high
degree of risk, and may be appropriate investments only for
sophisticated investors who are capable of understanding
and assuming the risks involved. JPMorgan and its
affiliates may have positions (long or short), effect
transactions or make markets in securities or financial
instruments mentioned herein (or options with respect
thereto), or provide advice or loans to, or participate in
the underwriting or restructuring of the obligations of,
issuers mentioned herein. JPMorgan is the marketing name
for JPMorgan Chase and Co. and its subsidiaries and
affiliates worldwide. J.P. Morgan Securities LLC is a
member of FINRA, NYSE and SIPC. Clients should contact
their salespersons at, and execute transactions through, a
JPMorgan entity qualified in their home jurisdiction unless
governing law permits otherwise.
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com July 1, 2015
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