MediumRiskYieldEnhancement

Reverse Exchangeable on TSLA

Investment Terms• Issuer – JPM• Notional- $385,000.00• Unit Size-385 units• CUSIP- 48127DTG3• Underlying- Tesla Motors,

Inc.• Pricing date- 7/15/2014• Maturity data-10/20/2014• Max Return- 103%• Minimum Return- 0%

Issuer Details• Issuer - JPM• S&P Credit Rating.• Market capitalization: 223

Bn• CDS 5y spread 90.5 bps

Investment underlying opportunity: Tesla Motors, Inc. (TSLA) stock had been performing wellover the last few months. The stock rose from $149.56 to $224.54 by July 24th, 2014 increasingalmost 50% since January. This is due to variety of new strategic developments that have resultedin the stock price growth. Notable news the open sourcing of its patents and the introduction ofthe CUV known as Model X and a smaller sedan known as the Model III. This stock might pullback temporarily but has good potential for appreciation. This would suggest stock has highprobability to move with in a narrow range.

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Risk Return Dashboard

ExpectedReturn

6.142%

Volatility 13.4%

Risk Score 3

CapitalGuaranteed

No

MaximumLoss

100% ofinvestment

Performance Measure

ExpectedReturn

High

Market Risk High

Issuer Risk Low

Complexity Low

TSLA statistics

Beta 1.37

P/E N/A

RoE -18.7%

Current Ratio 1.9

Leverage Ratio 3.6

Altman's Z-Score 10.36

Dividend Yield 0.0

Total Debt/Equity 0.91

Structured note investment underlyinghas beta of 1.37, the Z-scoreis 10.36, and it has high debtto equity.

Currently TSLA shares are at $223.54 itscompetitors Toyota( TM ) , General Motors (GM)and Ford (F) are at $119.38, $35.74 and $19.60respectively.

This is a company that is about 4 years old.

This note has three months to maturity.The expected return is good. Reverseconvertible has a payoff similar toa covered strangle position. Thisposition pays limited amount onthe upside with potential to lossall of the initial investment . This is agood investment if the underlyingstock moves with in a narrow range.

Investment Metrics

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Note Return

Note Return

Note Performance

(Historical)

Note Performance(Future – Stress test)

Return 2.956% per annum 2.956 per annum

Note Payoff 103 103

Probability of Gain 96.9 96.9

Risk Score 3 3

Volatility 13.4% 13.4%

Probability of Loss 3 3

Expected Maturity 3 months 3 months

This note has returned 2.986% per annum historically with a probability of gain of 96.9.Therefore from a mathematical perspective, this note is most certain to deliver theexpected return without losing the principal.

Investment Performance

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6/29/2010 1/15/2011 8/3/2011 2/19/2012 9/6/2012 3/25/201310/11/20134/29/2014

Historical Analysis

Asset performance

Note Return

Recommendation: Metrics and historical analysis concludes this investment is a risky one for aconservative investor. In current market environment for an adventurous investor this investment willdefinitely help to obtain 3% per annum with protection up to a 23.75% decline in the stock price.

Pros Cons

•Note provides a coupon of 3% as longas note is above 23.75% of initial level

•Note offers exciting opportuneexposure to Tesla Motors stock•Note offers a pre packed approach tocombine a covered call and coveredput strategy.

•Note has potential to loss entireinvested principal if markets declinebelow 23.75% of initial level

•Historically this note has lost moneymany times•If the stock performs extremely wellor bad then note returns are limitedon upside to losing all of the investedamount

Score Card: Reverse Convertible on TSLA

Market Direction (SP 500):

Market Vol (SP 500):

Underlying Direction:

Underlying Vol:

Issuer Credit (CDS):

Investor Risk Appetite:

Investment Recommendation

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Disclaimer: This report is prepared by Gatick Global solutions team. This isnot an investment advise.

Contact Details:Karthik Misra and Chandra S Khandrika for further details and questions

Bearish Bullish

Low High

Bearish Bullish

Low High

Low High

Low High