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Notes
(1) Represents the performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical backtested daily Index
closing levels from April 30, 2002 through June 2, 2011, and the actual
historical performance of the Index based on the daily Index closing level
from June 3, 2011 through April 30, 2012, as well as the performance of the
SandP 500[R] Index over the same period. For purposes of these examples,
each index was set equal to 100 at the beginning of the relevant
measurement period and returns calculated arithmetically (not compounded).
There is no guarantee the Index will outperform the SandP 500[R] Index or
any alternative investment strategy. Source: Bloomberg and JPMorgan.
(2) Calculated based on the annualized standard deviation for the ten year
period prior to April 30, 2012. Past performance is not indicative of
future returns.
(3) The historical volatility levels of the SandP 500[R] Index are presented
for informational purposes only and have inherent limitations. For the
purpose of this graph, volatility is calculated in accordance with Standard
and Poor's official methodology used in the calculation of the SandP 500[R]
RC2 Index. No representation is made that in the future the SandP 500[R]
Index will have the volatility shown above. Alternative modeling techniques
or assumptions might produce significantly different results and may prove
to be more appropriate. The hypothetical equity exposure obtained from such
back-testing should not be considered indicative of the actual exposure
that would be assigned during your investment in the Index. No
representation is made that the actual performance of the Index would
result in exposure consistent with the hypothetical exposure displayed in
the preceding graph. Actual annualized volatilities and exposures will
vary, perhaps materially, from this analysis. Source: Bloomberg and
JPMorgan.
(4) Correlation is calculated from the historical returns, as applicable to the
relevant measurement period, of the SandP 500[R] Index (the "Underlying
Index") over a six-month observation period. Correlation refers to the
degree that the SandP 500 RC2 8% Excess Return Index has changed relative
to daily changes in the SandP 500 Index Index for the ten year period prior
to April 30, 2012.
(5) For the above analysis, the Sharpe Ratio, which is a measure of
risk-adjusted performance, is computed as the ten year annualized
historical return divided by the ten year annualized volatility.
KEY RISKS
[] The Index has a limited operating history and may perform in unexpected
ways -- the Index began publishing on June 3, 2011 and, therefore, has a
limited history. SandP has calculated the returns that hypothetically might
have been generated had the Index existed in the past, but those
calculations are subject to many limitations and do not reflect actual
trading, liquidity constraints, fees and other costs.
[] The Index may not be successful, may not outperform either underlying index
and may not achieve its target volatility --no assurance can be given that
the volatility strategy will be successful or that the Index will
outperform the Underlying Equity Index or the Underlying Bond Index or any
alternative strategy that might be employed to reduce the level of risk of
the Underlying Equity Index. We also can give you no assurance that the
Index will achieve its target volatility of 8%.
[] The Index may significantly underperform the Underlying Equity Index --the
Index is designed to allocate its exposure between the Underlying Equity
Index and the Underlying Bond Index in a manner that results in the Index
targeting a volatility of 8%.It is not possible to predict the level of
exposure that the Index will have to either the Underlying Equity Index or
Underlying Bond Index over a given period of time. However the Index will
likely have less, and possibly significantly less, than 100% exposure to
the Underlying Equity Index over a period of time. Consequently, if the
Underlying Equity Index increases in value over the applicable period, the
Index will likely underperform the Underlying Equity Index, possibly
significantly, over the same period if the Underlying Bond Index declines
or does not increase in value to the same extent over that period. If the
Underlying Equity Index and the Underlying Bond Index are negatively
correlated and the Index has relatively high exposure to the Underlying
Bond Index and relatively low exposure to the Underlying Equity Index, the
Index may experience a significant negative performance even as the
Underlying Equity Index rises.
[] In certain circumstances, the Index will be notionally invested, in part,
in cash, on which no interest or other return will accrue --in certain
circumstances the Index will be solely allocated to the Underlying Equity
Index with a weight less than 100% and with the balance notionally
allocated to cash. No net return or interest will accrue on any such
portion of the Index exposure that is notionally allocated to cash, and
such portion may be significant. Such portion is effectively uninvested.
[] The Index is subject to the negative impact of an interest
deduction--because the Index is an excess return index, the level of the
Index reflects the weighted returns of the Underlying Indices less an
interest deduction, which is generally based on the return from a synthetic
daily roling 3-month bond, with reference to the 2-month and 3-month U.S.
LIBOR rates. As a result, the performance of the Index will be subject to
the negative impact of those interest rates.
KEY RISKS CONTINUED
[] The returns of the Underlying Indicies may offset each other or may become
correlated in decline --at a time when the value of one Underlying Index
increases, the value of the other Underlying Index may not increase as much
or may even decline, offsetting the potentially positive effect of the
performance of the former Underlying Index on the performance of the Index.
Historically, the performance of the Underlying Equity Index has often been
negatively correlated with the performance of the futures contracts
underlying the Underlying Bond Index. It is also possible that the returns
of the Underlying Indices may be positively correlated with each other. In
this case, a decline in one Underlying Index would not moderate the effect
of a decline in the other Underlying Index on the performance of the Index,
but would rather exacerbate it. As a result, the Index may not perform as
well as an alternative index that tracks only one Underlying Index.
[] Our affiliate, J.P. Morgan Securities LLC ("JPMS") helped develop the SandP
500[R] Daily RC2 8% Excess Return Index. JPMS worked with SandP in
developing the guidelines and policies governing the composition and
calculation of the SandP 500[R] Daily RC2 8% Excess Return Index. Although
judgments, policies and determinations concerning the SandP 500[R] Daily
RC2 8% Excess Return Index were made by JPMS, JPMorgan Chase and Co., as
the parent company of JPMS, ultimately controls JPMS. In addition, the
policies and judgments for which JPMS was responsible could have an impact,
positive or negative, on the level of the SandP 500[R] Daily RC2 8% Excess
Return Index. JPMS is under no obligation to consider your interests as an
investor.
The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in the relevant product supplement and the
"Selected Risk Considerations" in the relevant term sheet or pricing supplement.
INDEX DISCLAIMERS
"Standard and Poor's[R]," "SandP[R]," "SandP 500[R]" and "SandP 500[R] Daily RC2
8% Excess Return" are trademarks of the McGraw-Hill Companies, Inc. and have
been licensed for use by J.P. Morgan Securities LLC. This transaction is not
sponsored, endorsed, sold or promoted by SandP, and SandP makes no
representation regarding the advisability of purchasing CDs issued by JPMorgan
Chase Bank, N.A. SandP has no obligation or liability in connection with the
administration, marketing, or trading of products linked to the SandP 500[R]
Daily RC2 8% Excess Return Index.
For more information on the Index and for additional key risk information see
Page 4 of the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010312002004/crt-dp30021_fwp
..pdf
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, the relevant term sheet 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 and term sheet or
pricing supplement, if you so request by calling toll-free (866) 535-9248. Free
Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-177923
J. P. Morgan Structured Investments | 800 576 3529 |
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