Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 07 2015 - 6:02AM
Edgar (US Regulatory)
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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.
Return Notes Linked to the European Dividend Futures 2018 (USD) Index due
December 27, 2018
The notes are designed for investors who seek exposure to the performance of the
European Dividend Futures 2018 (USD) Index, as increased by the Index Adjustment
Factor. Investors should be willing to forgo interest and dividend payments and,
if the Index declines by more than 1.24432%, be willing to lose some or all of
their principal. Any payment on the notes is subject to the credit risk of
JPMorgan Chase and Co.
Trade Details/Characteristics
Reference Index: European Dividend Futures 2018 (USD) Index (Bloomberg Ticker: SOLEDF18) (the "Index")
Index Adjustment Factor: 101.26%
Index Return: (Ending Index Level - Initial Index Level) / Initial Index Level
Initial Index Level: The closing level of the Index on the Pricing Date
Ending Index Level: The closing level of the Index on the Observation Date
Payment at Maturity: Payment at maturity will reflect the performance of the Index as increased by the Index Adjustment Factor. Accordingly, at
maturity, you will receive an amount per $1,000 principal amount note calculated as follows:
$1,000 x (1 + Index Return) x Index Adjustment Factor
Because the Index Adjustment Factor is 101.26%, you will lose some or all of your principal amount at maturity if the Index
Return reflects a decline in the closing level of the Index of more than 1.24432%. For more information on how the Index
Adjustment Factor can affect your payment at maturity, please see "Hypothetical Examples of Total Return at Maturity" below.
Pricing Date: October 09, 2015
Observation Date December 21, 2018
Maturity Date: December 27, 2018
CUSIP: 48125U7L0
Preliminary Termsheet: http://www. sec. gov/Archives/edgar/data/19617/000114036115036965/formfwp. 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.
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 of some or all of your
principal.
[] Any payment on the notes is subject to the credit risk of JPMorgan Chase and
Co.
[] JPMorgan Chase and 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 and Co.'s obligations under the notes.
Their interests may be adverse to your interests.
[] No interest in the futures contract composing the Index and no interest or
dividend payments or voting rights in the securities composing the Euro
Stoxx 50[R] Index.
[] The Index may not be successful or outperform any alternative strategy
that might be employed in respect of the futures contract composing the
Index.
[] Issuance, hedging and other trading activities of financial institutions,
including us, may adversely affect the value of the notes and may result
in conflicts of interest.
[] The issuers of the securities composing the EURO STOXX 50[R] Index may
reduce the amount of dividends paid or cease to pay dividends at any time
in their discretion.
[] Prior to the expiry of the futures contract underlying the Index, the
level of the Index will reflect, among other things, market expectations
of the total cash dividends to be paid during the 12-month period
preceding the expiry of the relevant futures contract.
[] Non-U.S. securities risk
[] Exchange rate risk
[] 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.
[] Secondary market prices of the notes will be impacted by many economic and
market factors
[] 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 will likely be higher than
JPMS' then-current estimated value of the notes for a limited time.
Hypothetical Return for the Notes at Maturity
[GRAPHIC OMITTED]
The following table and examples illustrate the hypothetical total return at
maturity or payment at maturity for each $1,000 principal amount note. The
"total return" as used in this term sheet 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 payment at
maturity set forth below assumes an Initial Index Level of 100 and reflects the
Index Adjustment Factor of 101.26% . Each hypothetical total return or payment
at maturity set forth below is for illustrative purposes only and may not be the
actual total return or payment at maturity applicable to a purchaser of the
notes. The numbers appearing in the following table and examples have been
rounded for ease of analysis.
Hypothetical Examples of Total Return at Maturity
Ending Index Level Index Return Total Return on Notes
189.00000 80.00000% 82.2680%
168.00000 60.00000% 62.0160%
147.00000 40.00000% 41.7640%
136.50000 30.00000% 31.6380%
126.00000 20.00000% 21.5120%
110.25000 5.00000% 6.3230%
105.00000 0.00000% 1.2600%
103.95000 -1.00000% 0.2474%
103.69346 -1.24432% 0.0000%
99.75000 -5.00000% -3.8030%
94.50000 -10.00000% -8.8660%
84.00000 -20.00000% -18.9920%
73.50000 -30.00000% -29.1180%
63.00000 -40.00000% -39.2440%
52.50000 -50.00000% -49.3700%
10.50000 -90.00000% -89.8740%
0.00000 -100.00000% -100.0000%
SEC Legend: JPMorgan Chase and 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 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, 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 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 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. 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 J. P. Morgan Research Departments. J. P.
Morgan 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 J. P. Morgan entity qualified in their home jurisdiction unless
governing law permits otherwise.
Filed pursuant to Rule 433
Registration Statement No. 333-199966
Dated: October 06, 2015
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