Hypothetical historical illustration of the exposure to the short component of
the Strategic Volatility Index: Sep 2006 to May 2013
Source: J.P. Morgan. As of 5/31/2013. PAST PERFORMANCE AND BACK-TESTED
PERFORMANCE ARE NOT INDICATIVE OF FUTURE LEVELS. The Strategic Volatility Index
was launched on 7/30/2010; therefore any data used for that Index prior to that
date is back-tested. The hypothetical, exposure to the short leg obtained from
such back-testing should not be considered indicative of the actual exposure
that would be realized during an investment in the Index. The information in
this chart is provided solely for reference.
Index fee and deductions for rebalancing What are the main risks in the Index?
adjustments [] Any securities we may issue linked to the Index may result
[] The reported level of the Index incorporates the daily in a loss, and are
exposed to the credit risk of J.P. Morgan deduction of (a) an index fee of
0.75% per annum and (b) a Chase & Co.
"daily rebalancing adjustment amount" that is determined by [] The Index has
limited operating history. applying a rebalancing adjustment factor of between
0.20%
[] The
reported level of the Index incorporates the daily and 0.50% per day, both to
the aggregate notional amount deduction of (a) an index fee of 0.75% per annum
and (b) a of each of the VIX futures contracts hypothetically traded "daily
rebalancing adjustment amount" (as described that day and the amount of the
change, if any, in the level of above). the exposure to the synthetic short
position.
[] The daily rebalancing adjustment amount is likely to have a
[] The daily rebalancing adjustment amount is intended to substantial adverse
effect on the level of the Index. approximate the "slippage costs" that would
be experienced by a professional investor seeking to replicate the [] The Index
may not be successful and may not outperform hypothetical portfolio
contemplated by the Index at prices any alternative strategy. that approximate
the official settlement prices (which are not [] Strategies that provide
exposure to equity volatility, which generally tradable) of the relevant VIX
futures contracts. are subject to significant fluctuations, are not suitable
for all investors.
Glossary of Select Terms
[] When
the synthetic short position is activated, your return "contango" is used to
describe the shape of a futures curve on the notes is dependent on the net
performance, not the when the price of a futures contract with a later
expiration is absolute performance, of the long and short positions. higher
than that of a futures contract with an earlier expiration.
[] Due
to the time lag inherent in the Index, the exposure to "backwardation" is the
opposite of contango and is used to the synthetic short position may not be
adjusted quickly describe the shape of a futures curve when the price of a
futures enough to offset loss or generate profit. contract with a later
expiration is lower than the price of a futures
[] The
Index comprises only notional assets and liabilities. contract with an earlier
expiration.
[] The Index is an excess return index and reflects the
"negative roll yield" / "positive roll yield": Because futures performance of
an uncollateralized investment in futures contracts have specific expiration
dates, in order for an investor contracts. to maintain exposure, the investor
needs to sell a futures contracts as it gets close to expiration and purchase
another [] Our affiliate, J.P. Morgan Securities Ltd. ("JPMSL"), is the
contract with a later expiration date. This process is known as Sponsor and
Calculation Agent for the Index and may "rolling" the futures position. When a
futures curve is in adjust the Index in a way that affects its level.
"contango" (see above), all else being equal, an investor in a [] The Index is
subject to risks associated with futures long futures position pays a higher
price to buy a later expiration contracts. futures contract than the price at
which the investor sells the contract as it nears expiration, thus suffering
negative returns
These risk factors are not exhaustive. Please review the
("negative roll yield"). Whereas when the futures curve is in relevant product
supplement we have filed and any relevant
"backwardation" (see above), all else being equal, an investor in term sheet or
pricing supplement for further information on a long futures position pays a
lower price to buy a later expiration risk factors associated with the J.P.
Morgan Strategic futures contract than the price at which the investor sells
the
Volatil
ity Index. contract as it nears expiration thus generating positive returns
("positive roll yield").
Disclaimer
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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 &
Co. has filed with the SEC for more complete information about JPMorgan Chase &
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 & 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, pricing supplement and term sheet if you so request by calling
toll-free 800-576-3529.
Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No.
333-177923
To the extent there are any inconsistencies between this free writing
prospectus and the relevant pricing supplement, the relevant pricing
supplement, including any hyperlinked information, shall supersede this free
writing prospectus.
Investment suitability must be determined individually for each investor. 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
their own advisors on these matters.
IRS Circular 230 Disclosure: JPMorgan Chase & 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 & Co. of any of the matters address
herein or for the purpose of avoiding U.S. tax-related penalties.
J.P. Morgan Structured Investments | 800 579 3529 |
JPM_Structured_Investments@jpmorgan.com June 3, 2013
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