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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, prospectus
supplement and prospectus, which further describe the terms, conditions and
risks associated with the notes.
JPMorgan Auto Callable Contingent Interest Notes linked to the Common Stock of
Bank Of America Corp, due June 18, 2014
The notes are designed for investors who seek a Contingent Interest Payment
with respect to each Review Date for which the closing price of one share of
the Reference Stock is greater than or equal to the Interest Barrier.
Trade Details/Characteristics
Reference Stock The common stock, no par value, of Bank Of America Corp (BAC)
Contingent Interest Payments: If the notes have not been previously called and the closing price of one share of the
Reference Stock on any
Review Date is greater than or equal to the Interest Barrier, you will receive on the
applicable Interest Payment
Date for each $1,000 principal amount note a Contingent Interest Payment equal to
$32.700 (equivalent to an interest rate of 13.08% per annum, payable at a rate of 3.2700%
per quarter).
If the closing price of one share of the Reference Stock on any Review Date is less than
the Interest Barrier, no
Contingent Interest Payment will be made with respect to that Review Date.
Interest Barrier / Trigger Level: 80% of the Initial Stock Price (subject to adjustments)
Interest Rate: 13.08% per annum, payable at a rate of 3.2700% per quarter, if applicable
Automatic Call: If the closing price of one share of the Reference Stock on any Review Date (other than
the final Review Date) is
greater than or equal to the Initial Stock Price, the notes will be automatically called
for a cash payment, for each
$1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment applicable to that
Review Date, payable on the applicable Call Settlement Date.
Payment at Maturity: If the notes have not been previously called and the Final Stock Price is greater than or
equal to the Trigger Level,
you will receive a cash payment at maturity, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b)
the Contingent Interest Payment applicable to the final Review Date. If the notes have
not been previously called
and the Final Stock Price is less than the Trigger Level, at maturity you will lose 1% of
the principal amount of your
notes for every 1% that the Final Stock Price is less than the Initial Stock Price. Under
these circumstances, your
payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 [] Stock
Return).
If the notes have not been automatically called and the Final Stock Price is less than
the Trigger Level, you will lose
more than 20% of your initial investment and may lose all of your initial investment at
maturity.
Review Dates: September 12, 2013 (first Review Date), December 12, 2013 (second Review Date), March 13,
2014 (third Review
Date), June 13, 2014 (final Review Date)
Preliminary term sheet http://www.sec.gov/Archives/edgar/data/19617/000095010313003258/dp38530_fwp-0528.htm
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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 and is subject to the credit risk of JPMorgan Chase and Co.
[] The notes do not guarantee the payment of interest and may not pay interest
at all.
[] The appreciation potential of the notes is limited, and you will not
participate in any appreciation in the price of the Reference Stock. [] The
benefit provided by the Trigger Level may terminate on the final Review Date.
[] JPMorgan Chase and Co. and its affiliates play a variety of roles in
connection with the notes and their interests may be adverse to yours. [] If
the notes are automatically called early, there is no guarantee that you will
be able to reinvest the proceeds at a comparable return [] JPMS's estimated
value of the notes will be lower than the original issue price (price to
public) of the notes.
[] JPMS's estimated value does not represent the future values of the notes and
may differ from others' estimates [] 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's then-current estimated value of the notes for a limited time. []
Secondary market prices of the notes will be impacted by many economic and
market factors.
[] No ownership or dividend rights in the Reference Stock.
[] Risk of the closing price of the Reference Stock falling below the Interest
Barrier or Trigger Level is greater if the Reference Stock is volatile. [] Lack
of liquidity - JPMS intends to offer to purchase the notes in the secondary
market but is not required to do so.
[] The anti-dilution protection for the Reference Stock is limited and may be
discretionary.
Hypothetical Return on a Note
First 3 Review Dates
Compare the closing price of one share of the Reference Stock to the Initial
Stock Price and the Interest Barrier until the final review date or any
automatic call.
If the closing price of one Share of the Reference Stock is greater than or
equal to the Initial Stock Price
Automatic Call
The notes will be automatically called and you will receive (i) the principal
amount plus (ii) the Contingent Interest Payment with respect to the related
review date
If the closing price of one Share of the Reference Stock is less than the
Initial Stock Price
The closing price of one You will receive the share of the Reference Contingent
Interest Stock is greater than or Payment. Proceed to equal to the Interest
Barrier the next review date.
No Automatic Call
The closing price of one
No Contingent Interest share of the Reference
Payment. Proceed to Stock is less than the the next review date. Interest
Barrier
For more information about the payments upon an Automatic Call or at maturity
in different hypothetical scenarios, see "Hypothetical Payment upon Automatic
Call or at Maturity" below.
What Are the Payments on the Notes, Assuming a Range of Performances for the
Reference Stocks?
The following table illustrates payments on the notes, assuming a range of
performance for the Reference Stock on a given Review Date. The hypothetical
payments set forth
below assume an Initial Stock Price of $13.00, an Interest Barrier and a
Trigger Level of $10.40 (equal to 80% of the hypothetical Initial Stock Price)
and reflect the Interest Rate of 13.08% per annum (payable at a rate of 3.2700%
per quarter) . The hypothetical total returns set forth below are for
illustrative purposes only and may not be the actual total returns applicable
to a purchaser of the notes. The numbers appearing in the following table and
examples have been rounded for ease of analysis.
Hypothetical Payment upon Automatic Call or at Maturity
------------------------------------------------------------------------------------ ------------ ---------------------------------
Review Dates Prior to the Final Review Date Final Review Date
------------------------------------------------------------------ ------------ ---------------------------------
Closing Price Reference Stock Appreciation / Payment on Interest Payment Date or
Stock Return Payment at Maturity (2)
Depreciation at Review Date Call Settlement Date (1)(2)
----------------- ------------------------------ ----------------------------------- ------------ ---------------------------------
$23.400 80.000% $1,032.700 80.000% $1,032.700
$20.800 60.000% $1,032.700 60.000% $1,032.700
$18.200 40.000% $1,032.700 40.000% $1,032.700
$15.600 20.000% $1,032.700 20.000% $1,032.700
$14.300 10.000% $1,032.700 10.000% $1,032.700
$13.650 5.000% $1,032.700 5.000% $1,032.700
----------------- ------------------------------ ----------------------------------- ------------ ---------------------------------
$13.000 0.000% $1,032.700 0.000% $1,032.700
$12.350 -5.000% $32.700 -5.000% $1,032.700
$11.700 -10.000% $32.700 -10.000% $1,032.700
$11.050 -15.000% $32.700 -15.000% $1,032.700
$10.400 -20.000% $32.700 -20.000% $1,032.700
$10.40 -20.001% $0.00 -20.001% $799.990
$7.800 -40.000% $0.00 -40.000% $600.000
$3.900 -70.000% $0.00 -70.000% $300.000
$0.000 -100.000% $0.00 -100.000% $0.000
----------------- ------------------------------ ----------------------------------- ------------ ---------------------------------
(1) The notes will be automatically called if the closing price of one share of
the Reference Stock on any Review Date (other than the final Review Date) is
greater than or equal to the Initial Stock Price.
(2) You will receive a Contingent Interest Payment in connection with a Review
Date if the closing price of one share of the Reference Stock on that Review
Date is greater than or equal to the Interest Barrier.
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 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 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
("JPMS") 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. 333-177923
Dated: May 29, 2013
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