Free Writing Prospectus

Filed Pursuant to Rule 433

Registration Statement No. 333-199966

Dated June 3, 2015

 

J.P. Morgan ETF Efficiente 5 Index Performance Update - June 2015 OVERVIEW JPMorgan ETF Efficiente 5 Index (the "Index") is a J.P. Morgan strategy that seeks to generate returns through investing in exchange traded funds ("ETFs") and a cash index to provide exposure to a universe of diverse assets based on the efficient frontier portfolio analysis approach. The Index levels incorporate an adjustment fee of 0.50% per annum. Hypothetical and Actual Historical Performance -May 31, 2005 to May 29, 2015 Key Features of the Index The strategy is based on a universe of 12 ETFs covering a broad range of assets and geographic regions, and a cash index. Monthly rebalancing of portfolio allocation, with all positions financed by short term borrowing of cash. Targets a volatility of 5%. Levels published on Bloomberg under the ticker EEJPUS5E. Hypothetical and Actual Historical Volatility --through May 29, 2015 Historical Performance* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year ------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ----- --------- 2015 2.85% -0.75% 0.17% -2.04% -0.36% -0.20% ------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ----- --------- 2014 -1.68% 1.74% -0.14% 1.10% 1.72% 0.43% -0.70% 2.96% -3.84% 2.87% 1.70% 0.53% 6.67% ------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ----- --------- 2013 -0.37% 0.14% 0.34% 2.93% -4.25% -0.93% 2.21% -1.19% 0.69% 1.25% 0.95% 0.82% 2.41% ------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ----- --------- 2012 0.73% 0.28% -0.85% 1.28% -0.39% 1.43% 2.65% 0.27% 0.03% -0.16% 0.75% 0.72% 6.90% ------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ----- --------- 2011 -0.15% 1.76% 0.51% 1.38% -0.95% -1.26% 3.89% 3.07% 0.45% 1.44% 0.41% 0.64% 11.62% ------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ----- --------- *Represents the monthly and full calendar year performance of the Index based on the actual historical performance of the index based on the daily closing levels from December 31, 2010 to May 29, 2015. iShares iBoxx $ iShares JP Investment iShares iBoxx $ Morgan USD Recent Index iShares 20+ Grade High Yield iShares MSCI Emerging iShares SandP JPMorgan Cash SPDR SandP 500 iShares Russell iShares MSCI Year Treasury Corporate Bond Corporate Bond Emerging Markets Bond GSCI Cmdty- SPDR Gold iShares DJ US iShares TIPS Index USD 3 Composition ETF Trust 2000 ETF EAFE ETF Bond ETF ETF ETF Markets ETF ETF Indexed Trust Trust Real Estate ETF Bond ETF Month ---------------- -------------- --------------- ------------ ------------- --------------- --------------- ------------ ------------ ------------- --------- --------------- ------------ ------------- June 15 0.00% 10.00% 20.00% 10.00% 0.00% 20.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 40.00% ---------------- -------------- --------------- ------------ ------------- --------------- --------------- ------------ ------------ ------------- --------- --------------- ------------ ------------- May 15 5.00% 10.00% 20.00% 20.00% 5.00% 0.00% 0.00% 0.00% 0.00% 5.00% 0.00% 0.00% 35.00% ---------------- -------------- --------------- ------------ ------------- --------------- --------------- ------------ ------------ ------------- --------- --------------- ------------ ------------- April 15 0.00% 10.00% 0.00% 20.00% 5.00% 0.00% 0.00% 0.00% 0.00% 0.00% 20.00% 0.00% 45.00% ---------------- -------------- --------------- ------------ ------------- --------------- --------------- ------------ ------------ ------------- --------- --------------- ------------ ------------- March 15 20.00% 0.00% 0.00% 20.00% 20.00% 0.00% 0.00% 0.00% 0.00% 0.00% 20.00% 0.00% 20.00% ---------------- -------------- --------------- ------------ ------------- --------------- --------------- ------------ ------------ ------------- --------- --------------- ------------ ------------- February 15 20.00% 5.00% 0.00% 20.00% 20.00% 0.00% 0.00% 0.00% 0.00% 0.00% 20.00% 0.00% 15.00% ---------------- -------------- --------------- ------------ ------------- --------------- --------------- ------------ ------------ ------------- --------- --------------- ------------ ------------- Asset and Sector Caps ---------------- -------------- --------------- ------------ ------------- --------------- --------------- ------------ ------------ ------------- --------- --------------- ------------ ------------- Asset Cap 20.00% 10.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 10.00% 10.00% 20.00% 50.00% 50.00% ---------------- -------------- --------------- ------------ ------------- --------------- --------------- ------------ ------------ ------------- --------- --------------- ------------ ------------- Sector Cap 50.00% 50.00% 25.00% 25.00% 50.00% -------------- ------------ ------------- --------------- ------------- --------------- J.P. Morgan Structured Investments | 800 576 3529 | JPM_Structured_Investments@jpmorgan.com June 01, 2015

Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- May 29, 2015 Three Year Five Year Ten Year Annualized Ten Year Annualized Ten Year Sharpe Ten Year Annualized Return Annualized Return Return Volatility Ratio Correlation ------------------------------------- ----------------- ----------------- ------------------- ------------------- --------------- ----------- ETF Efficiente Index 4.88% 6.40% 5.26% 5.82% 0.90 100.00% ------------------------------------- ----------------- ----------------- ------------------- ------------------- --------------- ----------- SandP 500 Index (Excess Return) 19.19% 15.95% 5.88% 20.47% 0.29 29.50% ------------------------------------- ----------------- ----------------- ------------------- ------------------- --------------- ----------- Barclays Aggregate Bond Index (Excess 1.77% 3.37% 2.45% 3.71% 0.66 28.55% Return) ------------------------------------- ----------------- ----------------- ------------------- ------------------- --------------- ----------- Key Risks There are risks associated with a momentum-based investment strategy--The ETF Efficiente Index (the "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. Correlation of performances among the basket constituents may reduce the performance of strategy--performances among the basket constituents comprising the index from time to time (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. Our affiliate, JPMS plc, is the Calculation Agent and may adjust the Index in a way that affects its level--The policies and judgments for which JPMS plc is responsible could have an impact, positive or negative, on the level of the Index and the value of your investment. JPMS plc is under no obligation to consider your interest as an investor with returns linked to the Index. The Index may not be successful, may not outperform any alternative strategy related to the Basket Constituents, or may not achieve its target volatility of 5%. The investment strategy involves monthly rebalancing and maximum weighting caps applied to the Basket Constituents by asset type and geographical region that may reduce your return. Changes in the value of the Basket Constituents may offset each other. An investment linked to the Index is subject to risks associated with non-U. S. securities markets, such as emerging markets and currency exchange risk. The Index was established on October 29, 2010 and has a limited operating history The Index may be partially uninvested. Any uninvested portion will earn no return. The Index has an adjustment factor fee, which causes the Index to trail the value of a hypothetical identically constituted synthetic portfolio without a similar fee. 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 9 of the Strategy Guide at http://www.sec.gov/Archives/edgar/data/19617/000095010313004247/crt_dp39512-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. 333-199966 J.P. Morgan Structured Investments | 800 576 3529 | JPM_Structured_Investments@jpmorgan.com June 01, 2015