J.P. Morgan Balanced Capital Strength Index 8.5%

OVERVIEW

The J.P. Morgan Balanced Capital Strength Index 8.5% (the "Index") is a
rules-based index designed to track the performance of a hypothetical
investment in a notional dynamic portfolio that consists of the Capital
Strength Total Return Index, the PIMCO Total Return Exchange Traded Fund and a
Cash Constituent while seeking to maintain a Target Volatility of 8.5% . The
Index is subject to a daily deduction of 0.50% per annum index fee and a daily
deduction of a synthetic borrowing cost calculated based on a composite LIBOR
rate.

Index Features

[] The Index has three constituents:

1. The Capital Strength Total Return Index (the "Equity Constituent").

2. The PIMCO Total Return Exchange Traded Fund (the "Bond Constituent").

3. The Cash Constituent bearing interest at a blended rate determined based
on the 3-month and 2-month LIBOR rates.

[GRAPHIC OMITTED]

Hypothetical historical performance comparison: February 20, 2007 through July
31, 2015

[GRAPHIC OMITTED]

2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSBLCS Index -1.61% 1.39% 3.35% 0.62% -3.93% -0.57% 3.11% -1.19% 5.15% 3.07% -1.43% 2.72% 10.80%
-------------- ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2011 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSBLCS Index 0.93% 4.19% 0.34% 3.62% 0.57% -0.99% -1.96% -3.58% -2.69% 3.39% -0.27% 1.97% 5.30%
-------------- ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2012 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSBLCS Index 3.27% 1.77% 3.60% 0.17% -2.87% 2.13% 1.56% 0.89% 1.50% -2.96% 1.04% 0.09% 10.40%
-------------- ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2013 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSBLCS Index 3.82% 2.82% 3.61% 2.06% 0.97% -1.54% 2.55% -2.76% 3.14% 4.06% 2.87% 1.04% 24.85%
-------------- ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2014 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
JPUSBLCS Index -3.02% 2.62% 0.92% 0.15% 1.89% 0.37% -0.53% 3.73% -1.02% 1.63% 3.39% -0.68% 9.65%
-------------- ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2015 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
JPUSBLCS Index -0.57% 2.99% -0.65% -1.43% 1.31% -2.05% 2.44% 1.92%

Notes: Source: J.P. Morgan and Bloomberg. As of 07/31/2015. The Index is
launched as of April 30, 2014. Therefore, the performance depicted is
hypothetical performance based on back-tested data. PAST PERFORMANCE AND
BACK-TESTED PERFOMANCE ARE NOT INDICATIVE OF FUTURE RESULTS. No guarantee can
be given that the Index will outperform the SandP 500([R]) Total Return Index
or the Barclays US Aggregate Bond Index in the future. The "SandP500 Index
(Excess Return)" and "Barclays US Aggregate Bond Index (Excess Return)"
represent hypothetical indices constructed from the total returns of the SandP
500 Index and Barclays US Aggregate Bond Index, respectively, with the returns
of the Cash Constituent deducted.

J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com August 3, 2015

The Capital Strength TR Index

[]    The Capital Strength TR Index aims to provide exposure to well capitalized
      companies with strong market positions.

[]    The  Capital  Strength  TR  Index is an equal-dollar weighted index and is
      composed of 50 U.S. securities selected objectively based on cash on hand,
      debt ratios and volatility that meet the following criteria:

[]    be a member of NASDAQ US Benchmark Index (NQUSB);

[]    have  a  minimum  three-month  average  daily  dollar trading volume of $5
      million;

[]    must  be in the top 500 securities by float adjusted market capitalization
      after meeting the above criteria;

[]    have at least $1 billion in cash or short term investments;

[]    have  a  long-term  debt  to market capitalization ratio that is less than
      30%;

[]    have a return on equity that is greater than 15%;

[]    may not be issued by an issuer currently in bankruptcy proceedings; and

[]    may  not  have  entered  into  a definitive agreement or other arrangement
      which  would  likely  result  in the security no longer being eligible for
      inclusion in the Capital Strength TR Index.

The PIMCO Total Return Exchange Traded Fund

[]    An actively managed fund that does not seek to track the performance of an
      index

[]    Invests primarily in investment-grade debt securities

Selected Risks

[]    JPMS,  the  index  calculation  agent,  may adjust the Index in a way that
      affects its level, and JPMS has no obligation to consider your interests.

[]    The  Index may not be successful, outperform any alternative strategy that
      might  be  employed  in  respect of the Target Constituents or achieve its
      target volatility.

[]    The level of the Index will include the deduction of a fee and a borrowing
      cost.

[]    The  daily  adjustment  of  the  exposures  of  the  Index  to  its Target
      Constituents  will  vary,  and  may  be partially uninvested in its Target
      Constituents

[]    By  reducing  its  exposure  to  its  Equity  Constituent,  the  Index may
      significantly underperform its Equity Constituent.

[]    The  exposure of the Index to its Bond Constituent may be greater, perhaps
      significantly greater, than its exposure to its Equity Constituent. [] The
      Index may have significant exposure to its Cash Constituent.

[]    The returns of the Target Constituents may offset each other or may become
      correlated in decline.

[]    The  Index  is  subject  to significant risks associated with fixed-income
      securities, including interest rate-related risks and credit risk.

[]    The Index is subject to the negative impact of an interest deduction.

[]    The Index comprises notional assets and liabilities.

[]    The  Index  and  its  Target  Constituents  each  have a limited operating
      history and may perform in unanticipated ways.

[]    The Index is subject to market risks.

[]    The  investment  strategy  used  to  construct  the  Index  involves daily
      adjustments  to  its synthetic exposure to its Target Constituents. [] The
      Capital Strength TR Index is subject to the risk relating to its selection
      methodology.

[]    The  PIMCO  Total  Return Exchange Traded Fund is an actively managed fund
      and is subject to different risks than passively managed funds.

Disclaimer

This material has been prepared solely for informational purposes. Nothing in
this material or any other communications related thereto should be deemed to
or be construed as creating a "fiduciary relationship".  During the course of
normal business, JPMorgan Chase and Co. and its affiliates ("J.P. Morgan") may
enter into or promote, offer or sell transactions or investments linked to the
Index, or any of the fixed income securities referenced in the Index. J.P.
Morgan will not have any duty to consider the circumstances of any person when
participating in such transactions or to conduct themselves in a manner that is
favorable to anyone with exposure to the Index. Persons interested in the Index
should refer to the official Index Rules, when available, for a complete
description of the rules and methodology for the Index. Opinions expressed
herein may differ from the opinions expressed by other areas of J.P. Morgan,
including research. The simulated data presented herein was constructed using
certain procedures that may be different from the procedures used to calculate
the closing levels of the Index, and on the basis of certain assumptions that
may not hold in future periods. The differences in procedures used in producing
simulated data from those used to calculate the closing levels of the Index
could produce differences in returns in terms of both direction and amount.
Hypothetical and historical performance results are neither indicative nor a
guarantee of future returns.  Actual results will vary, potentially materially,
from the hypothetical and historical performance described herein. There is no
guarantee that the Index will outperform any alternative investment strategy,
including the SandP 500([R]) Index or the Barclays US Aggregate Bond Index.
Past performance is not indicative of future results. No one may reproduce or
disseminate the information contained in this document without the prior
written consent of J.P. Morgan. Additional information is available upon
request. Clients should contact their J.P. Morgan representative in, and
execute transactions through, their home jurisdiction unless governing law
permits otherwise.

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(including a prospectus) with the SEC for any offering to which these materials
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1-866-535-9248.

Past performance, and especially hypothetical back-tested performance, is not
indicative of future results. Actual performance may vary significantly from
past performance or any hypothetical back-tested performance.  This type of
information has inherent limitations and you should carefully consider these
limitations before placing reliance on such information.

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J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com August 3, 2015