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Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated May 2, 2013
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7yr ETF Efficiente Contingent Annual Income Note
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OVERVIEW
JPMorgan ETF Efficiente 5 Index (the "Index") is a cross-asset strategy that
aims to maximize returns per unit of risk by using portfolio optimization
technology. The Index uses the concept of the efficient frontier to select the
optimum portfolio from a universe of 12 exchange-traded funds and a cash index,
and aims to maximize returns while targeting a realized volatility of 5%. The
strategy rebalances monthly and is non-discretionary. The Index levels
incorporate an adjustment factor of 0.50% per annum which is deducted daily.
The Notes offer an annual interest payment equal to the greater of a minimum
interest rate of 0.0% per annum or the annualized performance of the Index. Any
payment on the Notes is subject to the credit risk of JPMorgan Chase and Co.
May be appropriate for investors requiring asset and geographical
diversification and full repayment of principal at maturity, subject to the
credit risk of JPMorgan Chase and Co.
Summary of Terms
Issuer: JPMorgan Chase and Co.
Minimum Denomination: $1,000
Underlying: JPMorgan ETF Efficiente 5 Index
Underlying Ticker: EEJPUS5E
Interest Rate: Cumulative Index Return x Index
Factor, subject to Minimum Interest
Rate
Cumulative Index Return: On each Interest Determination Date,
(Ending Index Level -- Initial Index
Level) / Initial Index Level
Index Factor: 1/n, where "n" is equal to the number
of Interest Determination Dates that
have occurred to date, including the
current Interest Determination Date
Minimum Interest Rate: 0.0%*
Ending Index Level: The Index closing level on an Interest
Determination Date
Interest Determination Annual
Dates:
Pricing Date: May 24, 2013
Maturity Date: May 29, 2020
CUSIP: 48126D2Y4
Preliminary Term Sheet: http://www.sec.gov/Archives/edgar/data/
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19617/000095010313002594/crt_dp3783
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1-fwp.pdf
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For information about the estimated value of the notes, which will be lower
than the price you paid for the notes, see the hyperlink above.
Return Profile
The Interest Rate for each annual Interest Payment Date will be a percentage
equal to the Cumulative Index Return multiplied by the Index Factor, provided
that the Interest Rate will not be less than the Minimum Interest Rate.
You are entitled to repayment in full of your principal investment plus the
minimum return at maturity, even if the strategy declines, subject to the
credit risk of JPMorgan Chase and Co.
Hypothetical Back-Tested and Historical Performance of the JPMorgan ETF
Efficiente 5 Index
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Hypothetical back-tested results are neither an indicator nor guarantee of
future returns. Actual results will vary, perhaps materially, from the analysis
implied in the hypothetical back-tested and historical information that forms
part of the information contained in the chart above.
Hypothetical Interest Payments** Interest Rate for certain Interest Payment
Dates
Cumulative
First Seventh
Index Third Year Fifth Year
Year Year
Return
---------- ------ ---------- ---------- -------
70.00% 70.00% 23.33% 14.00% 10.00%
---------- ------ ---------- ---------- -------
50.00% 50.00% 16.67% 10.00% 7.14%
---------- ------ ---------- ---------- -------
30.00% 30.00% 10.00% 6.00% 4.29%
---------- ------ ---------- ---------- -------
15.00% 15.00% 5.00% 3.00% 2.14%
---------- ------ ---------- ---------- -------
10.00% 10.00% 3.33% 2.00% 1.43%
---------- ------ ---------- ---------- -------
5.00% 5.00% 1.67% 1.00% 0.71%
---------- ------ ---------- ---------- -------
0.00% 0.0% 0.0% 0.0% 0.0%
---------- ------ ---------- ---------- -------
-10.00% 0.0% 0.0% 0.0% 0.0%
---------- ------ ---------- ---------- -------
-20.00% 0.0% 0.0% 0.0% 0.0%
---------- ------ ---------- ---------- -------
-70.00% 0.0% 0.0% 0.0% 0.0%
*To be determined on the Pricing Date, but not less than 0.0% per annum
**The hypothetical interest payments set forth above assume a Minimum Interest
Rate of 0.0% p.a. and are illustrative and may not be the actual interest
payments on the Notes. These returns 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 shown above would likely be lower.
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
|
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7yr ETF Efficiente Contingent Annual Income Note
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North America Structured Investments Selected Benefits
[] The Notes offer full return of principal at maturity, subject to the credit
risk of JPMorgan Chase and Co.
[] The Notes will pay a coupon equal to at least the Minimum Interest Rate on
an annual basis
[] Minimum denominations of $10,000 and integral multiples of $1,000 in excess
thereof
[] The Index dynamically allocates among the following 12 ETFs (the "ETF
Constituents") and the JPMorgan Cash Index USD 3 Month (the "Cash
Constituent"), each a "Basket Constituent"
SPDR([R]) SandP 500([R]) ETF iShares([R]) Emerging iShares([R]) Barclays 20+ Year iShares([R])
MSCI
SPDR([R]) Gold Trust (GLD) Emerging
Markets
Trust (SPY) Markets Bond Fund (EMB) Treasury Bond Fund (TLT)
Index Fund
(EEM)
-------------------------- --------------------------- ------------------------------- ------------------------------- -----------------
iShares([R]) Russell 2000 iShares([R]) Dow Jones Real iShares([R]) Barclays TIPS Bond iShares([R]) iBOXX $ Investment
Grade Corporate Bond Fund Index Fund (IWM)
Estate Index Fund (IYR) Fund (TIP)
(LQD)
-------------------------- --------------------------- ------------------------------- ------------------------------- -----------------
iShares([R]) MSCI EAFE iShares([R]) SandP GSCI[] JPMorgan Cash Index USD 3 iShares([R]) iBOXX $ High Yield
Commodity-Indexed
Index Fund (EFA) Month (JPCAUS3M) Corporate Bond Fund (HYG) Trust (GSG)
-------------------------- --------------------------- ------------------------------- ------------------------------- -----------------
Selected Risks
[]The risks identified below are not exhaustive. Please see "Risk Factors" in
the applicable product supplement and "Selected Risk Considerations" to the
applicable term sheet for additional information.
[]For each Interest Determination Date, if the Cumulative Index Return is
negative or less than the Minimum Interest Rate, your interest payment will
equal the Minimum Interest Rate for that period. No guaranteed interest payment
above the Minimum Interest Rate.
[] Payment on the Notes at maturity, as well as any interest payment, is
subject to our credit risk. Therefore the value of the Notes prior to maturity
will be subject to changes in the market's view of our creditworthiness.
[] Your aggregate interest payments may yield a lower return than the Index
performance over the term of the Notes.
[] The Index Factor negatively impacts the Interest Rate over time, which can
result in lower interest payments later in the term of the Notes.
[] The Index may not be successful. It may not outperform an alternative
strategy related to the Basket Constituents. Changes in the value of Basket
Constituents may offset each other.
[] The Index is subject to emerging markets risk, fixed income risks, currency
exchange risk, real estate risk, small capitalization stock risk and the
uncertain legal and regulatory regimes which govern commodities future
contracts.
[] Upon the occurrence of a commodity hedging disruption event, the amount of
your coupon payments may be reduced. [] Our affiliate, JPMS plc, is the index
calculation agent and may adjust the Index in a way that affects its level.
[] No interest payments, dividend payments or voting rights with respect to
assets underlying the Index.
[] The tax consequences of the Notes may be uncertain. You should consult your
tax adviser regarding the U.S. federal income tax consequences of an investment
in the Notes.
[]JPMS' estimated value does not represent future values and may differ from
others' estimates.
[]The notes' value in customer account statements may be higher than JPMS' then
current estimated value for a limited time. []Lack of liquidity: JPMorgan
Securities, LLC, acting as agent for the Issuer (and who we refer to as JPMS),
intends to offer to purchase the notes in the secondary market but is not
required to do so. The price, if any, at which JPMS will be willing to purchase
notes from you in the secondary market, if at all, may result in a significant
loss of your principal.
[]Potential conflicts: we and our affiliates play a variety of roles in
connection with the issuance of Notes, including acting as note calculation
agent and index calculation agent, and hedging our obligations under the Notes.
The profits JPMorgan earns on the notes do not depend on the performance of the
Index. It is possible that such hedging or other trading activities of JPMorgan
or its affiliates could result in substantial returns for JPMorgan and its
affiliates while the value of the Notes decline.
Disclaimer
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 this offering will arrange to send you
the prospectus and each prospectus supplement as well as any product 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. 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. 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.
Additional information about the symbols depicted in each cube in the top
right-hand corner of this fact sheet can be accessed via the hyperlink to one
of our filings with the SEC:
http://www.sec.gov/Archives/edgar/data/19617/000095010309000965/symbol_guide.pd
f
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
|