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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
Pultegroup Inc, due June 25, 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 Pultegroup Inc (PHM)
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 $46.500 (equivalent to an interest rate of 18.60%
per annum, payable at a rate of 4.6500% 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: 70% of the Initial Stock Price (subject to adjustments)
Interest Rate: 18.60% per annum, payable at a rate of 4.6500% 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 X 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 30% of your initial investment and may lose
all of your initial investment at maturity.
Review Dates: September 19, 2013 (first Review Date), December 19, 2013
(second Review Date), March 20, 2014 (third Review Date),
June 20, 2014 (final Review Date)
Preliminary term
sheet http://www.
sec.gov/Archives/edgar/data/19617/000119312513246383/d549531dfwp.
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 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.
Automatic Call
If the closing price of one
Share of the Reference
Stock is greater than or The notes will be automatically called and you will receive (i) the principal
equal to the Initial amount plus (ii) the Contingent Interest Payment with respect to
Stock Price the related review date
The closing price of one You will receive the
share of the Reference Contingent Interest
Stock is greater than or Payment. Proceed to
If the closing price of one equal to the Interest Barrier the next review date.
Share of the Reference
No Automatic Call
Stock is less than the
The closing price of one Initial Stock Price 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 $22.00, an Interest
Barrier and a Trigger Level of $15.40 (equal to 70% of the hypothetical Initial
Stock Price) and reflect the Interest Rate of 18.60% per annum (payable at a
rate of 4.6500% 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)
----------------- ------------------------------ ----------------------------------- ------------ ---------------------------------
$39.600 80.000% $1,046.500 80.000% $1,046.500
$35.200 60.000% $1,046.500 60.000% $1,046.500
$30.800 40.000% $1,046.500 40.000% $1,046.500
$26.400 20.000% $1,046.500 20.000% $1,046.500
$24.200 10.000% $1,046.500 10.000% $1,046.500
$23.100 5.000% $1,046.500 5.000% $1,046.500
----------------- ------------------------------ ----------------------------------- ------------ ---------------------------------
$22.000 0.000% $1,046.500 0.000% $1,046.500
$20.900 -5.000% $46.500 -5.000% $1,046.500
$19.800 -10.000% $46.500 -10.000% $1,046.500
$18.700 -15.000% $46.500 -15.000% $1,046.500
$15.400 -30.000% $46.500 -30.000% $1,046.500
$15.400 -30.001% $0.00 -30.001% $699.990
$13.200 -40.000% $0.00 -40.000% $600.000
$6.600 -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: June 04, 2013
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