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Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated June 20, 2012
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J.P. Morgan Asia-Pacific Equity Rotator 5 Index
Performance Update - June 2012
OVERVIEW
The J.P. Morgan Asia-Pacific Equity Rotator 5 Index is a notional rules-based
proprietary index that, on a monthly basis, tracks the excess return of a
synthetic portfolio exposed to the Asia-Pacific region. Up to five constituents
are chosen from eleven Asia-Pacific equity indices and an equity futures
tracker and, if fewer than five Equity Constituents have been selected, the
J.P. Morgan U.S. Treasury Notes Futures Tracker. The strategy uses a 5%
volatility budgeting approach, above the return of the JPMorgan Chase Index USD
3 Month (the Cash Constituent).
Hypothetical and Actual Historical Performance -
May 31, 2002 to May 31, 2012
J.P. Morgan Asia-Pacific Equity Rotator 5 Index
250 MSCI Asia Pacific Index (Excess Return)
JPMorgan US Government Bond Index (Excess Return)
200
============== ====== ====================== ======
150
====== ============== ====== ====================== ======
100
====== -------------- ====== ---------------------- ------
50
May-02 May-04 May-06 May-08 May-10 May-12
Key Features of the Index
[] Potential exposure to up to five of 11 investable underlyings across the
Asia-Pacific region
[] Momentum style allocation to the five highest positive performing Equity
Constituents, if any, and if there are fewer than five positive equity
constituents, then the Bond Constituent
[] The weight for each Non-Cash Constituent is equal to the individual
volatility allocation divided by the annualized realized volatility of that
Constituent over the last month, subject to a maximum weight of 30% for an
Equity Constituent and 100% for the Bond Constituent [] The Index reflects the
weighted performance of the Non-Cash Constituents in excess of the Cash
Constituent
[] The Index is calculated in U. S. dollars and levels are published on
Bloomberg under the ticker CIJPAER5
Recent Index Performance
May 2012 April 2012 March 2012
------------------------ -------- ---------- ----------
Historical Return(1) -4.26% -0.39% -0.77%
------------------------ -------- ---------- ----------
Recent Index Composition
Hang Seng China
J.P. Morgan J.P. Morgan US
Enterprises MSCI Singapore MSCI Taiwan S and P/ASX 200 MSCI Indonesia MSCI
Malaysia MSCI Thailand Indian Equity Treasury Notes
Hang Seng Index Index Free Index Index TOPIX Index Index KOSPI 200 Index Index Index
Index Futures Tracker Futures Tracker
-------------------------- --------------- -------------- ----------- ----------- ----------- --------------- --------------
------------- ------------- -------------------------------
Jun-12 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
0.0% 0.0% 100.0%
-------------------------- --------------- -------------- ----------- ----------- ----------- --------------- --------------
------------- ------------- ------------- -----------------
May-12 6.6% 5.4% 8.7% 0.0% 0.0% 8.3% 0.0% 0.0% 0.0%
5.2% 0.0% 0.0%
-------------------------- --------------- -------------- ----------- ----------- ----------- --------------- --------------
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June 20, 2012
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- May 31, 2012
Three Year Five Year Annualized Ten Year Annualized Ten Year Annualized Ten Year
Annualized Return Return Return Volatility Sharpe Ratio
Ten Year Correlation
--------------------------------------- ----------------- -------------------- ------------------- ------------------- ------------
--------------------
J.P. Morgan Asia-Pacific Equity Rotator
1.4% 3.2% 4.7% 4.6% 1.02
100.0%
5 Index
--------------------------------------- ----------------- -------------------- ------------------- ------------------- ------------
--------------------
MSCI Asia Pacific Index (Excess Return) 5.3% -5.3% 3.2% 21.2% 0.15
45.0%
--------------------------------------- ----------------- -------------------- ------------------- ------------------- ------------
--------------------
JPMorgan US Government Bond Index
5.6% 5.1% 3.3% 5.3% 0.62
26.3%
(Excess Return)
--------------------------------------- ----------------- -------------------- ------------------- ------------------- ------------
--------------------
Notes
[1] Past performance is not indicative of future returns.
Hypothetical, historical performance measures: Represents the performance of
the J.P. Morgan Asia-Pacific Equity Rotator 5 Index based on, as applicable to
the relevant measurement period, the hypothetical backtested daily closing
levels through August 31, 2011, and the actual historical performance of the
Index based on the daily closing level from September 1, 2011 through May 31,
2012, as well as the performance of the MSCI Asia Pacific Index (Excess
Return), and the JPMorgan US Government Bond Index (Excess Return) over the
same periods. For purposes of these examples, each index was set equal to 100
at the beginning of the relevant measurement period and returns are calculated
arithmetically (not compounded). There is no guarantee the J.P. Morgan
Asia-Pacific Equity Rotator 5 Index will outperform the MSCI Asia Pacific Index
(Excess Return), the JPMorgan US Government Bond Index (Excess Return), or any
alternative investment strategy. Sources: Bloomberg and JPMorgan.
Volatility and Correlation are calculated from the historical returns, as
applicable to the relevant measurement period, of the MSCI Asia Pacific Index
(Excess Return) and the JPMorgan US Government Bond Index (Excess Return).
Volatility is calculated from the historical daily logarithmic returns of each
index over a six-month observation period.
Correlation refers to the degree the J.P. Morgan Asia-Equity Rotator 5 Index
has changed relative to daily changes in the MSCI Asia-Pacific Index (Excess
Return) and the JPMorgan US Government Bond Index (Excess Return) for the ten
year period prior to May 31, 2012.
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.
The back-tested, hypothetical, historical annualized volatility and index
leverage have inherent limitations. These volatility and leverage results were
achieved by means of a retroactive application of a back-tested volatility
model designed with the benefit of hindsight. No representation is made that in
the future the relevant indices will have the volatility shown. Alternative
modeling techniques or assumptions might produce significantly different
results and may prove to be more appropriate. Actual annualized volatilities
and leverage may vary materially from this analysis. Source: Bloomberg and
JPMorgan.
Key Risks
[] The strategy comprises notional assets and liabilities and the exposures to
the dynamic basket that tracks the excess returns of the Basket Constituents
above the JPMorgan Cash Index USD 3 Month are purely notional. There is no
actual portfolio of assets to which any person is entitled or in which any
person has any ownership interest.
[] The Index does not target a specific volatility (5% or otherwise) for the
synthetic portfolio as a whole, and, due to potential correlation among the
Basket Constituents and individual weighting caps, the actual realized
volatility of the Index may be greater than or less than 5%.
[] The Strategy seeks to capitalize on positive market price trends based on
the supposition that positive market price trends may continue. This Strategy
is different from a strategy that seeks long- term exposure to a portfolio
consisting of constant components with fixed weights. The Strategy may fail to
realize gains that could occur from holding assets that have experienced price
declines, but experience a sudden price spike thereafter.
[] The Index will be subject to the performance of certain Asia-Pacific equity
markets. The performance of such markets may be subject to a global or regional
recession or a prolonged negative trend. Under these circumstances, the Index
may have exposure only to the Bond Constituent for an extended period of time
and no exposure to any Equity Constituent, if every Equity Constituent is in a
negative trend. Your return may be adversely affected by a prolonged exposure
to only the Bond Constituent.
[] The Index may use leverage to increase the return from any Non-Cash
Constituent because the sum of the weights of the Basket Constituents included
in the synthetic portfolio underlying the Index may be greater than 100%, up to
a maximum total weight of 220%. In particular, the use of leverage will magnify
any negative performance of the relevant Non-Cash Constituents which in turn
could cause you to receive a lower payment at maturity than you would otherwise
receive. In addition, the Futures Tracker Constituents are composed of highly
leveraged instruments, such as futures contracts.
[] Because of the method by which the weight of each Non-Cash Constituent
selected for inclusion in the synthetic portfolio underlying the Index is
determined, the weight of a selected Non-Cash Constituent generally decreases
as its annualized realized volatility during the month preceding the relevant
Index rebalancing day increases. If one or more of the selected Non-Cash
Constituents experienced heightened volatility over the relevant period, the
total weight of the Non-Cash Constituents included in the synthetic portfolio
may be less than 100%. A total weight of less than 100% means that the Index is
partially uninvested and, accordingly, the Index will reflect no return with
respect to the uninvested portion.
[] Under certain circumstances, one or more of the Non-Cash Constituents may
be replaced by the Cash Constituent or may be removed, which may result in the
portfolio being partially or wholly uninvested.
[] Performances among the Basket Constituents may become highly correlated from
time to time during the term of your investment. High correlation during
periods of negative returns among Basket Constituents representing any one
sector or asset type that have a substantial weighting in the Strategy could
have a material adverse effect on the performance of the Strategy.
[] The policies and judgments for which JPMSAPL is responsible could have an
impact, positive or negative, on the level of the Strategy and the value of
your investment. JPMSAPL is under no obligation to consider your interest as an
investor in securities linked to the Strategy.
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.
For more information on the Index and for additional key risk information see
Page 10 of the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010312001819/crt_dp29837-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 |
JPM_Structured_Investments@jpmorgan.com June, 2012
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