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- Free Writing Prospectus - Filing under Securities Act Rules 163/433 (FWP)

Date : 05/03/2012 @ 6:03AM
Source : Edgar (US Regulatory)
Stock : JPMorgan Chase & (JPM)
Quote : 59.45  0.29 (0.49%) @ 8:00PM
JP Morgan Chase share price Chart

- Free Writing Prospectus - Filing under Securities Act Rules 163/433 (FWP)

 
 
Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated May 2, 2012
 
 
 
 
 
 
 
 
 
 
 
 




JPMORGAN STRATEGIC VOLATILITY INDEX PERFORMANCE DETAILS

 May 1, 2012



 
 
 

 
 
 




JPMorgan Strategic Volatility Index

jpmorgan strategic volatility index performance details

J.P. Morgan Strategic Volatility Index (the "Index") Performance -- Bloomberg JPUSSTVL Index
2012 Jan Feb Mar Apr May Jun Jul Aug Sep Oct0 Nov Dec Year to
 Date
JPUSSTVL Index 5.42% 6.32% 5.54% -1.24% 16.83%
2011 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSSTVL Index -1.73% -0.53% -6.12% 6.30% 1.08% -4.08% -10.24% 34.04% 23.44% -20.11% 2.67% -2.84% 11.94%
2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSSTVL Index -0.17% 4.40% 6.10% -0.46% 0.98% -11.52% 10.16% 8.03% 7.50% 5.97% -2.19% 1.63% 32.55%
2009 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSSTVL Index -3.47% 10.25% 4.32% -0.97% 3.13% 4.59% 7.66% 4.09% 7.14% -1.49% 9.04% 6.20% 62.43%
2008 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSSTVL Index -5.42% 1.43% -3.48% 3.67% 10.41% -8.25% -9.72% 5.42% 4.32% 75.78% 19.55% -3.63% 95.49%
2007 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSSTVL Index 2.49% -7.47% -8.54% 3.30% 2.68% -4.13% 3.77% 11.89% -8.04% 5.16% -6.17% 5.15% -2.28%
2006 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSSTVL Index -1.17% 0.94% 2.49% 2.44%


Please see key risks on the next page for additional information. Source: J.P.
Morgan. Past performance is not a guide to future performance. "JPUSSTVL Index"
refers to the performance of J.P. Morgan Strategic Volatility Index (Bloomberg:
JPUSSTVL Index).

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 (1) 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 amount of the change, if any, in
the level of the exposure to the synthetic short 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 position and the contingent synthetic
short position in the relevant VIX futures 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.

Hypothetical, historical performance measures: Represents the monthly, 2012 year
to date, and full calendar year performance of the Index based on as applicable
to the relevant measurement period, the hypothetical back tested daily closing
levels from September 19, 2006 through July 30, 2010, and the actual historical
performance of the Index based on daily closing levels from July 30, 2010
through April 30, 2012. The hypothetical historical values above have not been
verified by an independent third party. The back-tested, hypothetical historical
results above have inherent limitations. These back-tested results are achieved
by means of a retroactive application of a back-tested model designed with the
benefit of hindsight. No representation is made that an investment in the notes
will or is likely to achieve returns similar to those shown. Alternative
modelling techniques or assumptions would produce different hypothetical
historical information that might prove to be more appropriate and that might
differ significantly from the hypothetical historical information set forth
above. Hypothetical back- tested results are neither an indicator nor a
guarantee of future returns. Actual results will vary, perhaps materially, from
the analysis implied in the hypothetical historical information that forms part
of the information contained in the table above.
 1



 
 
 

 
 
 



Key Risks

[] Any securities we may issue linked to the Index may result in a loss, and
 are exposed to the credit risk of J. P. Morgan Chase and Co.

[] The Index has limited operating history.

[] The reported level of the Index incorporates the daily deduction of (a) an
 index fee of 0.75% per annum and (b) a "daily rebalancing adjustment
 amount" (on the previous page).

[] 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 subject to
 significant fluctuations, are not suitable for all investors.

[] When the synthetic short position is activated, your return on the notes is
 dependent 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.

[] The Index comprises only notional assets and liabilities.

[] The Index is an excess return index and reflects the performance of an
 uncollateralized investment in futures contracts.

[] Our affiliate, J. P. Morgan Securities Ltd. ("JPMSL"), is the Sponsor and
 Calculation Agent for the Index and may adjust the Index in a way that
 affects its level.

[] The Index is subject to risks associated with futures contracts.

DISCLAIMER

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 offerings 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, the prospectus supplement, as well as the particular
product supplement, underlying supplement, the relevant termsheet or pricing
supplement, and any other documents that J.P. Morgan will file with the SEC
relating to such offering for more complete information about J.P. Morgan and
the offering of any 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 termsheet or pricing supplement, if you so
request by calling toll-free (800) 576 3529.

Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-177923

 2



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