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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- August 31, 2015
[GRAPHIC OMITTED]
Notes on performance, volatility, leverage and, Sharpe Ratio statistics
Hypothetical, historical performance measures: Represent the performance of the
Index based on, as applicable to the relevant measurement period, the
hypothetical backtested daily Index closing levels from August 31, 2005 through
August 24, 2010, and the actual historical performance of the Index based on
the daily Index closing level from August 25, 2010 through August 31, 2015, as
well as the performance of the S&P 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 are calculated arithmetically (not
compounded). There is no guarantee the relevant Index will outperform the S&P
500[R] Total Return Index, the S&P 500[R] Dividend Aristocrats Total Return
Index or any alternative investment strategy. Sources: Bloomberg and
JPMorgan.Volatility is calculated from the historical returns, as applicable to
the relevant measurement period, of the S&P 500[R] Total Return Index, the S&P
500[R] Dividend Aristocrats Total Return Index and the S&P 500[R] Dividend
Aristocrats Risk Control 8% Excess Return Index. Volatility represents the
annualized standard deviation of the relevant index's arithmetic daily returns
through August 31, 2015. The index leverage is the hypothetical back-tested
amount of exposure of the Index to the S&P 500[R] Dividend Aristocrats Total
Return Index and should not be considered indicative of the actual leverage
that would be assigned during an investment in the Index. 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 as 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
o The Index has a limited operating history and may perform in unexpected ways.
The Index began publishing on August 25, 2010 and, therefore, has a limited
history. S&P 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.
o The Index may not be successful, may not outperform the S&P 500[R] Dividend
Aristocrats Total Return 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 S&P 500[R] Dividend Aristocrats Total Return
Index or any alternative strategy that might be employed to reduce the level of
risk of the S&P 500[R] Dividend Aristocrats Total Return Index . We also can
give no assurance that the Index will achieve its target volatility of 8%.
o The Index is not a total return index, and is subject to short-term money
market fund borrowing costs-- As an "excess return" index, the S&P 500[R]
Dividend Aristocrats Risk Control 8% Excess Return Index calculates the return
on a leveraged or deleveraged investment in the S&P 500[R] Dividend Aristocrats
Total Return Index where the investment was made through the use of borrowed
funds. Investments linked to this "excess return" index, which represents an
unfunded position in the S&P 500[R] Dividend Aristocrats Total Return Index ,
will be subject to short-term money market fund borrowing costs and will not
include the "total return" feature or the cash component of the "total return"
index, which represents a funded position in the S&P 500[R] Dividend
Aristocrats Total Return Index .
o The Index represents portfolios consisting of the S&P 500[R] Dividend
Aristocrats Total Return Index and a borrowing cost component accruing interest
based on a synthetically rolling 3-month bond with reference to the 2-month and
3-month U.S. LIBOR rates. The Index dynamically adjusts its exposures to the
S&P 500[R] Dividend Aristocrats Total Return Index based on the S&P 500[R]
Dividend Aristocrats Total Return Index's historic volatility. The Index's'
exposure to the S&P 500[R] Dividend Aristocrats Total Return Index will
decrease when historical volatility causes the risk level of the S&P 500[R]
Dividend Aristocrats Total Return Index to reach a high threshold. If, at any
time, the Index exhibits low exposure to the S&P 500[R] Dividend Aristocrats
Total Return Index and the S&P 500[R] Dividend Aristocrats Total Return Index
subsequently appreciates significantly, the Index will not participate fully in
this appreciation.
Key Risks Continued
o J.P. Morgan Securities LLC ("JPMS"), one of our affiliates, worked with S&P in
developing the guidelines and policies governing the composition and
calculation of the Index. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the
Indices. 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 & Poor's[R]," "S&P[R]," "S&P 500[R]," "S&P 500[R] Dividend
Aristocrats," and "S&P 500[R] Dividend Aristocrats Risk Control 8% Excess
Return Index" 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 S&P, and S&P makes no representation
regarding the advisability of purchasing securities generally or financial
instruments issued by JPMorgan Chase & Co. S&P has no obligation or liability
in connection with the administration, marketing, or trading of products linked
to the S&P 500[R] Dividend Aristocrats Risk Control 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/19617/000095010312003746/dp31802_fwp-ari
stocrats.htm
DISCLAIMER
JPMorgan Chase & 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.
333-199966
J.P. Morgan Structured Investments | 800 576 3529 |JPM_Structured_Investments@jpmorgan.com September 1, 2015
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