Free Writing Prospectus

Filed Pursuant to Rule 433

Registration Statement No. 333-199966

Dated September 4, 2015

 

J. P. Morgan Efficiente Plus 5 Index (Net ER) OVERVIEW The J.P.Morgan Efficiente Plus 5 Index (Net ER) (the "Index") is a J.P. Morgan strategy 100 that seeks to provide exposure to a range of asset classes and geographic regions based on the modern portfolio theory approach to asset allocation. The index utilizes the rapidly growing investment options available with ETFs . The Index selects from a basket 80 of 19 ETFs, 1 exchange-traded note and a cash index ("the Basket Constituents"). The index targets an annualized realized volatility of 5% by rebalancing monthly into the best performing portfolio that has an historical realized volatility of less than or equal to 5% using a six-month look back period. The levels of the Index 60 reflect the performance of the Basket constituents above the cash index and incorporate the daily deduction of a fee of 0.85% per annum. Hypothetical and Actual Historical Performance40 -- November 1, 2007 to August 31, 2015 Hypothetical and Actual Historical Volatility -- May 2, 2008 to August 10% 3 , 2 5 Key Features of the Index [] Exposure to developed market equities, bonds, loans, preferred stock, emerging markets, alternative investments including REITs, MLPs, commodity futures and gold. [] Each month, the index rebalances into the best-performing portfolio over the past six months with volatility at or below 5%, subject to weighting constraints and diversification criteria. [] The Index targets an annualized realized volatility of 5%. [] Index levels published on Bloomberg under the ticker EFPLUS5E. Historical Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year Performance* 2015 2.97% -0.65% 0.31% -1.45% -0.21% -1.96% 0.35% -2.65% -3.35%** 2014 -1.33% 2.64% 0.19% 0.84% 1.51% 2.09% -0.75% 4.14% -3.18% 1.86% 1.25% 0.46% 9.95% 2013 0.97% 0.23% 1.31% 2.31% -3.42% -0.91% 1.60% -1.25% 1.40% 1.41% 0.85% 0.92% 5.42% 2012 0.90% 0.54% -0.64% 1.35% -1.00% 1.72% 2.35% 0.23% -0.08% 0.07% -1.19% 0.20% 4.47% 2011 0.69% 1.90% 0.35% 1.72% -1.20% -1.45% 2.75% 2.76% 0.14% 1.06% 0.21% 0.72% 9.98% *Represents the monthly and full calendar year performance of the Index based on, as applicable to the relevant monthly or annual measurement period, the hypothetical back tested daily Index closing levels from December 31, 2010 to December 31, 2014, and the actual historical performance of the Index based on the daily Index closing levels from January 1, 2015 to August 31, 2015. See Note 6 on page 4 for important information about the limitations of hypothetical historical performance measures. **As calculated through August 31, 2015. iShares[R] iBoxx Vanguard Vanguard Vanguard iShares[R] MSCI iShares[R] 20+ iShares[R] 7-10 $ Investment Vanguard SandP Vanguard FTSE FTSE iShares[R] TIPS Short-Term Recent Index 500 ETF Small-Cap ETF Developed EAFE Small- Year Treasury Year Treasury Grade Emerging Bond ETF Corporate Composition Markets ETF Cap ETF Bond ETF Bond ETF Corporate Markets ETF Bond ETF Bond ETF VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH Sep 2015 0% 0% 0% 10% 0% 0% 20% 0% 0% 10% Aug 2015 20% 0% 10% 10% 0% 0% 0% 0% 0% 0% PIMCO 0-5 PowerShares iShares([R]) J.P. SPDR([R]) Year High ETRACS DB JPMorgan PowerShares iShares([R]) U.S. Morgan USD Market Recent Index Barclays High Yield Vanguard Alerian MLP Commodity iShares([R]) Gold Cash Index Senior Loan Preferred Emerging Vectors([R]) Gold Composition Yield Bond Corporate Portfolio Stock ETF Markets Bond REIT ETF Miners ETF Infrastructure Index Trust USD 3 Month (Continued) ETF Bond Index ETF Index ETN Tracking ETF Fund JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU JPCAUS3M Sep 2015 0% 0% 0% 10% 5% 0% 0% 0% 0% 0% 45% Aug 2015 0% 0% 5% 5% 0% 0% 0% 0% 0% 0% 50% J. P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com September 2015

Comparative Hypothetical and Historical Annualized Returns (%), Annualized Volatility (%), Sharpe Ratio, and Correlation -- August 31, 2015 Annualized Return Annualized Sharpe Ratio 3 Year Annualized 5 Year Annualized Correlation (Since (Since Nov 1, Volatility (Since (Since Nov 1, Return(1) Return(1) Nov 1, 2007)(4) 2007)(1) Nov 1, 2007)(2) 2007)(3) --------------------------- ----------------- ----------------- ----------------- ----------------- ------------- ------------------ Efficiente Plus 5 Index(5) 3.51% 5.45% 5.45% 5.70% 0.96 100.00% --------------------------- ----------------- ----------------- ----------------- ----------------- ------------- ------------------ SandP 500 Index (Excess Return) 13.85% 15.31% 4.55% 22.42% 0.20 28.63% --------------------------- ----------------- ----------------- ----------------- ----------------- ------------- ------------------ Barclays Aggregate Bond Index (Excess Return) 1.12% 2.49% 3.33% 3.93% 0.85 26.25% --------------------------- J. P. Morgan Efficiente Plus 5 Index (Net ER) Performance Details J. P. Morgan Efficiente Plus 5 Index (Net ER) Performance(6) -- Bloomberg EFPLUS5E Index 2008 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EFPLUS5E Index 1.47% 1.68% -0.74% -0.71% -0.14% 0.74% -1.23% -0.85% -2.26% -6.34% 2.05% 4.89% -1.84% 2009 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EFPLUS5E Index -2.42% -0.75% 0.74% 0.84% 2.30% -0.22% 2.55% 0.82% 1.90% -0.15% 1.88% 0.12% 7.75% 2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EFPLUS5E Index 0.42% 0.92% 2.04% 1.88% -2.93% 1.31% 2.27% 2.72% 1.33% 0.47% -1.40% 0.96% 10.31% 2011 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EFPLUS5E Index 0.69% 1.90% 0.35% 1.72% -1.20% -1.45% 2.75% 2.76% 0.14% 1.06% 0.21% 0.72% 9.98% 2012 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EFPLUS5E Index 0.90% 0.54% -0.64% 1.35% -1.00% 1.72% 2.35% 0.23% -0.08% 0.07% -1.19% 0.20% 4.47% 2013 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EFPLUS5E Index 0.97% 0.23% 1.31% 2.31% -3.42% -0.91% 1.60% -1.25% 1.40% 1.41% 0.85% 0.92% 5.42% 2014 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EFPLUS5E Index -1.33% 2.64% 0.19% 0.84% 1.51% 2.09% -0.75% 4.14% -3.18% 1.86% 1.25% 0.46% 9.95% -------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- --------- 2015 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD EFPLUS5E Index 2.97% -0.65% 0.31% -1.45% -1.96% 0.35% -2.65% -3.35% Please see Notes on the next page. Past hypothetical and historical performance is not a guide to future performance. The levels of the Index incorporate a fee of 0.85% per annum. Sources: Bloomberg and J.P.Morgan. J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com September 2015

Glossary -------- -------------------------------------------------------- VOO Vanguard SandP 500 ETF -------- -------------------------------------------------------- VEA Vanguard FTSE Developed Markets ETF -------- -------------------------------------------------------- VWO Vanguard FTSE Emerging Markets ETF -------- -------------------------------------------------------- VB Vanguard Small-Cap ETF -------- -------------------------------------------------------- SCZ iShares([R]) MSCI EAFE Small-Cap ETF -------- -------------------------------------------------------- TLT iShares([R]) 20+ Year Treasury Bond ETF -------- -------------------------------------------------------- IEF iShares([R]) 7-10 Year Treasury Bond ETF -------- -------------------------------------------------------- LQD iShares([R]) iBoxx $ Investment Grade Corporate Bond ETF -------- -------------------------------------------------------- TIP iShares([R]) TIPS Bond ETF -------- -------------------------------------------------------- VCSH Vanguard Short-Term Corporate Bond ETF -------- -------------------------------------------------------- JNK SPDR([R]) Barclays High Yield Bond ETF -------- -------------------------------------------------------- HYS PIMCO 0-5 Year High Yield Corporate Bond Index ETF -------- -------------------------------------------------------- BKLN PowerShares Senior Loan Portfolio -------- -------------------------------------------------------- PFF iShares([R]) U.S. Preferred Stock ETF -------- -------------------------------------------------------- EMB iShares([R]) J.P. Morgan USD Emerging Markets Bond ETF -------- -------------------------------------------------------- GDX Market Vectors([R]) Gold Miners ETF -------- -------------------------------------------------------- VNQ Vanguard REIT ETF -------- -------------------------------------------------------- MLPI ETRACS Alerian MLP Infrastructure Index ETN -------- -------------------------------------------------------- DBC PowerShares DB Commodity Index Tracking Fund -------- -------------------------------------------------------- IAU iShares([R]) Gold Trust -------- -------------------------------------------------------- JPCAUS3M JPMorgan Cash Index USD 3 Month -------- -------------------------------------------------------- Key Risks [] Our affiliate, J. P. Morgan Securities plc, or JPMS plc, is the index 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 is under no obligation to consider your interest as an investor with returns linked to the Index. [] The level of the Index will include the deduction of a fee of 0.85% per annum. [] The Index was established on December 31, 2014 and therefore has a limited operating history. [] There are risks associated with a momentum -based investment strategy. If market conditions do no represent a continuation of prior observed trends, the performance of the Index, which is rebalanced based on prior trends, may be adversely affected. [] The Index comprises notional assets and liabilities. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. [] The Index may not be successful, may not outperform any alternative strategy and may not achieve its target volatility of 5%. [] The Index may be partially uninvested if the cash index is included in the Monthly Reference Portfolio. [] The investment strategy used to construct the index involves monthly rebalancing and weighting constraints that are applied to the Basket Constituents. [] Changes in the values of the Basket Constituents may offset each other. [] The commodity futures contracts underlying the PowerShares DB Commodity Index Tracking Fund are subject to uncertain legal and regulatory regimes. [] Investments linked to the index may be issued by J. P. Morgan. In this case, the value of the investment and any payment owed on the investment will be subject to the credit risk of J. P. Morgan. [] The performance of the Index, and therefore any return on an investment linked to the Index, may be based in part on the performance of an ETN issued by UBS AG. As such, you will be exposed to the credit risk of UBS AG to the extent the Index has an allocation to the ETN. [] An investment linked to the Index is subject to risks associated with non-U. S. securities markets (including emerging markets, and currency exchange risk), small capitalization stocks, preferred stocks, fixed income securities and loans (including interest-rate related risks and credit risk), risks associated with the real estate industry and MLPs, and risks associated with investments in commodity futures contracts and gold. The risks identified above are not exhaustive. You should also review carefully the related "Risk Factors" section in any relevant product supplement, underlying supplement, term sheet or pricing supplement. " 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, underlying supplement, the relevant termsheet 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, underlying supplement and termsheet or pricing supplement, if you so request by calling toll-free (800) 576 3529. Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No. 333-199966 J. P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com September 2015

Notes 1. Hypothetical, historical performance measures: Represents the performance of the Index based on the hypothetical back-tested closing levels from November 1, 2007 through December 31, 2014 and actual performance from January 1, 2015 to August 31, 2015, as well as the actual performance of the SandP 500 Index (Excess Return) and the Barclays Aggregate 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). The "SandP 500 Index (Excess Return)" and "Barclays Aggregate Bond Index (Excess Return)" refer to hypothetical indices constructed from the total returns of the relevant index with the returns of the Cash Index deducted. There is no guarantee the Efficiente Plus 5 Index will outperform the SandP 500 Index (Excess Return), the Barclays Aggregate Bond Index (Excess Return) or any alternative investment strategy. 2. Volatility: the annualized standard deviation of the relevant index's arithmetic daily returns as of November 1, 2007. Volatility levels are calculated from the hypothetical and historical returns, as applicable to the relevant measurement period, of the Efficiente Plus 5 Index, SandP 500 Index (Excess Return), and the Barclays Aggregate Bond Index (Excess Return)." 3. Sharpe Ratio: a measure of risk-adjusted performance, and is computed as the annualized hypothetical and historical return since November 1, 2007 divided by the annualized volatility since November 1, 2007. 4. Correlation: the performance of the relevant index to the Efficiente Plus 5 Index, calculated based on the daily returns since November 1, 2007. 5. For time periods prior to the launch of any Exchange-Traded Constituent and such Exchange-Trade Constituents' initial satisfaction of a minimum size and liquidity standard, the hypothetical back-testing uses alternative performance information derived from a related index, after deducting hypothetical expenses and fees, rather than performance information for such ETF. The back-tested, hypothetical, historical annualized volatility and index returns have inherent limitations. These volatility and return results were achieved by means of a retroactive application of back-tested models designed with the benefit of hindsight. No representation is made that in the future the relevant indices will have the volatility or returns shown. Alternative modeling techniques or assumptions might produce significantly different results and may prove to be more appropriate. Actual annualized volatilities and returns may vary materially from this analysis. 6. Hypothetical, historical performance measures: Represents the monthly and full calendar year performance of the Index based on, as applicable to the relevant measurement period, the hypothetical back tested daily closing levels from December 31, 2007 through December 31, 2014, and the actual historical performance of the Index based on daily closing levels from January 1, 2015 through August 31, 2015. YTD reflects the year to date performance of the Index from the last business day of the previous calendar year through, and including August 31, 2015. The hypothetical historical values above have not been verified by an independent third party. The back-tested, hypothetical historical results above have inherent limitations. These back-tested results are achieved by means of a retroactive application of a back-tested model designed with the benefit of hindsight. No representation is made that an investment linked to the Index will or is likely to achieve returns similar to those shown. Alternative modelling techniques or assumptions would produce different hypothetical historical information that might prove to be more appropriate and that might differ significantly from the hypothetical historical information in the table. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical historical information that forms part of the information contained in the table. Please see Key Risks on page 3 for additional information.

J. P. Morgan Efficiente Plus 5 Index (Net ER) Hypothetical Back-Tested and Historical Weightings J. P. Morgan Efficiente Plus 5 Index (Net ER) Weightings -- 2013 to Present 2015 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash September 0% 0% 0% 10% 0% 0% 20% 0% 0% 10% 0% 0% 0% 10% 5% 0% 0% 0% 0% 0% 45% August 20% 0% 10% 10% 0% 0% 0% 0% 0% 0% 0% 0% 5% 5% 0% 0% 0% 0% 0% 0% 50% July 0% 0% 20% 10% 0% 0% 0% 0% 0% 10% 5% 10% 10% 0% 10% 0% 0% 0% 0% 0% 25% June 0% 10% 10% 10% 0% 0% 20% 0% 0% 5% 15% 10% 5% 10% 0% 0% 0% 0% 0% 0% 5% May 0% 10% 15% 10% 0% 15% 20% 0% 0% 10% 0% 0% 0% 10% 0% 0% 0% 0% 0% 0% 10% April 10% 10% 0% 0% 0% 20% 15% 0% 0% 0% 0% 0% 0% 10% 0% 10% 0% 0% 0% 0% 25% March 20% 10% 0% 0% 0% 20% 20% 0% 5% 5% 0% 0% 0% 10% 0% 10% 0% 0% 0% 0% 0% February 20% 10% 0% 0% 0% 20% 20% 0% 10% 0% 0% 0% 0% 10% 0% 10% 0% 0% 0% 0% 0% January 20% 10% 0% 0% 0% 20% 20% 0% 10% 0% 0% 0% 0% 10% 0% 10% 0% 0% 0% 0% 0% 2014 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash December 20% 10% 0% 0% 0% 20% 20% 0% 5% 0% 0% 0% 0% 10% 0% 10% 0% 5% 0% 0% 0% November 20% 0% 0% 0% 5% 20% 20% 0% 0% 0% 0% 0% 0% 10% 5% 10% 0% 10% 0% 0% 0% October 20% 0% 0% 0% 15% 20% 10% 0% 0% 0% 0% 0% 0% 10% 10% 5% 0% 10% 0% 0% 0% September 10% 0% 0% 0% 20% 20% 0% 0% 10% 0% 0% 0% 0% 10% 10% 10% 0% 10% 0% 0% 0% August 20% 0% 0% 0% 20% 20% 0% 0% 0% 0% 0% 0% 0% 10% 10% 10% 0% 10% 0% 0% 0% July 10% 0% 0% 0% 5% 20% 0% 10% 0% 0% 5% 0% 0% 10% 10% 10% 10% 10% 0% 0% 0% June 20% 0% 0% 5% 0% 20% 0% 0% 10% 0% 0% 0% 0% 10% 10% 10% 5% 10% 0% 0% 0% May 20% 0% 0% 5% 0% 20% 0% 0% 0% 0% 15% 0% 0% 10% 0% 10% 0% 10% 10% 0% 0% April 20% 5% 0% 5% 0% 10% 0% 0% 20% 0% 20% 5% 0% 10% 0% 5% 0% 0% 0% 0% 0% March 10% 10% 0% 10% 0% 10% 0% 0% 20% 0% 20% 10% 0% 10% 0% 0% 0% 0% 0% 0% 0% February 10% 10% 0% 10% 0% 0% 0% 0% 20% 5% 20% 10% 10% 5% 0% 0% 0% 0% 0% 0% 0% January 20% 0% 10% 10% 0% 0% 0% 0% 0% 10% 15% 10% 10% 0% 0% 0% 0% 0% 0% 0% 15% 2013 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash December 15% 10% 0% 10% 0% 0% 0% 0% 0% 5% 5% 10% 10% 0% 0% 0% 0% 0% 0% 0% 35% November 20% 10% 0% 5% 0% 0% 0% 0% 0% 5% 0% 5% 0% 0% 0% 0% 0% 5% 0% 0% 50% October 15% 10% 0% 10% 0% 0% 0% 0% 0% 0% 0% 10% 5% 0% 0% 0% 0% 0% 0% 0% 50% September 20% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 0% 0% 50% August 20% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 0% 0% 50% July 20% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 0% 0% 50% June 20% 10% 0% 0% 0% 5% 0% 0% 0% 10% 5% 10% 10% 10% 0% 5% 0% 10% 0% 0% 5% May 0% 0% 20% 10% 0% 20% 5% 0% 0% 0% 10% 10% 0% 5% 0% 10% 0% 10% 0% 0% 0% April 0% 10% 5% 10% 0% 5% 5% 0% 5% 0% 20% 10% 0% 10% 0% 10% 0% 10% 0% 0% 0% March 0% 0% 15% 10% 0% 0% 0% 0% 20% 5% 20% 10% 0% 10% 0% 0% 0% 10% 0% 0% 0% February 0% 0% 20% 10% 0% 5% 5% 0% 0% 0% 20% 10% 10% 10% 0% 0% 0% 10% 0% 0% 0% January 0% 0% 20% 10% 0% 5% 0% 0% 20% 0% 20% 10% 5% 0% 10% 0% 0% 0% 0% 0% 0% Please see the Glossary on page 3 for definitions related to the exchange-traded constituent tickers. Please see Key Risks on page 3 for additional information. Source: J.P. Morgan. Hypothetical and Historical weightings: Represents the monthly allocations to each exchange-traded constituent in the Index based on the hypothetical allocations of the exchange-traded constituents from January 1, 2013 to December 31, 2014 and actual historical allocations of the exchange-traded constituents to the Index from January 1, 2015 through August 31, 2015. The hypothetical monthly allocations are obtained from hypothetical back-testing of the algorithm used to construct the Index and should not be considered indicative of the actual weights that would be assigned to the applicable exchange-traded constituents during the term of your investment linked to the Index. J.P. Morgan provides no assurance or guarantee that the actual performance of the Index would result in the allocations among the exchange-traded constituents consistent with the hypothetical allocations displayed in the preceding charts. The hypothetical historical weights above have not been verified by an independent third party. The back-tested, hypothetical historical results above have inherent limitations. Alternative modeling techniques or assumptions would produce different hypothetical allocation information that might prove to be more appropriate and that might differ significantly from the hypothetical historical allocations set forth above. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical allocations contained in the table above. J. P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com September 2015

J. P. Morgan Efficiente Plus 5 Index (Net ER) Hypothetical Back-Tested Weightings J. P. Morgan Efficiente Plus 5 Index (Net ER) Weightings -- 2010 to 2012 2012 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash December 0% 0% 10% 0% 0% 0% 0% 0% 20% 0% 20% 10% 0% 10% 10% 0% 0% 10% 10% 0% 0% November 0% 0% 0% 0% 0% 10% 0% 0% 20% 10% 5% 10% 10% 10% 10% 0% 15% 0% 0% 0% 0% October 0% 0% 0% 0% 0% 20% 5% 0% 20% 0% 20% 0% 0% 10% 10% 0% 10% 0% 0% 5% 0% September 0% 0% 0% 0% 0% 20% 0% 0% 20% 0% 20% 10% 0% 10% 10% 10% 0% 0% 0% 0% 0% August 10% 0% 0% 0% 0% 20% 10% 0% 20% 0% 0% 10% 0% 10% 10% 10% 0% 0% 0% 0% 0% July 0% 0% 0% 0% 0% 20% 0% 0% 20% 0% 20% 10% 0% 10% 10% 10% 0% 0% 0% 0% 0% June 20% 0% 0% 0% 0% 20% 0% 0% 20% 0% 10% 10% 0% 10% 0% 10% 0% 0% 0% 0% 0% May 20% 0% 0% 0% 0% 15% 15% 0% 0% 0% 0% 10% 10% 10% 0% 10% 0% 10% 0% 0% 0% April 15% 0% 0% 0% 0% 15% 0% 5% 5% 0% 5% 10% 10% 10% 10% 5% 0% 10% 0% 0% 0% March 20% 5% 0% 0% 0% 20% 5% 10% 5% 0% 0% 10% 10% 5% 0% 0% 0% 10% 0% 0% 0% February 15% 0% 0% 0% 0% 20% 10% 0% 0% 0% 5% 10% 10% 5% 0% 0% 0% 10% 0% 0% 15% January 10% 0% 0% 0% 0% 20% 15% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 5% 0% 0% 40% 2011 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash December 5% 0% 0% 0% 0% 20% 5% 0% 0% 0% 0% 0% 5% 0% 0% 0% 0% 10% 0% 5% 50% November 15% 0% 0% 0% 0% 15% 20% 5% 0% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 25% October 5% 0% 0% 0% 0% 20% 20% 0% 0% 0% 10% 0% 0% 0% 10% 0% 0% 0% 0% 0% 35% September 10% 0% 0% 0% 0% 15% 20% 10% 0% 5% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 20% August 0% 0% 0% 0% 0% 20% 20% 10% 0% 0% 10% 0% 0% 0% 10% 10% 0% 0% 10% 10% 0% July 0% 10% 0% 0% 0% 20% 20% 10% 0% 0% 0% 0% 0% 10% 0% 10% 0% 0% 10% 10% 0% June 10% 5% 0% 0% 0% 10% 0% 0% 5% 0% 20% 10% 5% 10% 0% 10% 0% 0% 10% 5% 0% May 5% 10% 0% 0% 0% 0% 0% 5% 0% 5% 0% 10% 10% 10% 0% 0% 0% 10% 10% 10% 15% April 10% 10% 0% 0% 0% 0% 0% 5% 0% 0% 0% 10% 10% 10% 0% 0% 0% 10% 10% 0% 25% March 10% 10% 0% 0% 0% 0% 0% 5% 0% 10% 10% 10% 10% 0% 0% 0% 0% 10% 10% 0% 15% February 0% 10% 0% 0% 0% 0% 0% 5% 5% 10% 20% 10% 10% 0% 0% 0% 0% 10% 10% 0% 10% January 0% 10% 0% 0% 0% 0% 5% 0% 0% 10% 10% 10% 10% 10% 0% 0% 0% 10% 5% 10% 10% 2010 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash December 0% 0% 0% 10% 5% 0% 20% 0% 5% 0% 10% 10% 10% 10% 10% 0% 0% 10% 0% 0% 0% November 0% 0% 0% 0% 5% 0% 20% 0% 20% 0% 10% 10% 0% 10% 10% 0% 0% 10% 0% 5% 0% October 0% 0% 0% 0% 0% 20% 20% 0% 10% 0% 0% 10% 0% 5% 10% 5% 0% 10% 0% 10% 0% September 0% 0% 0% 0% 0% 20% 20% 0% 10% 0% 0% 10% 0% 5% 10% 5% 0% 10% 0% 10% 0% August 0% 0% 0% 0% 0% 20% 20% 0% 5% 0% 5% 10% 0% 0% 10% 10% 0% 10% 0% 10% 0% July 0% 0% 0% 0% 0% 20% 20% 0% 10% 0% 0% 10% 0% 0% 10% 10% 0% 10% 0% 10% 0% June 0% 10% 0% 0% 0% 20% 20% 0% 0% 5% 0% 10% 10% 10% 0% 5% 0% 10% 0% 0% 0% May 0% 5% 0% 0% 0% 0% 5% 0% 15% 10% 5% 10% 10% 10% 10% 10% 0% 10% 0% 0% 0% April 0% 0% 0% 0% 0% 0% 0% 10% 15% 10% 10% 10% 10% 10% 5% 10% 0% 10% 0% 0% 0% March 0% 0% 0% 0% 0% 0% 15% 10% 0% 10% 20% 10% 10% 10% 0% 5% 0% 10% 0% 0% 0% February 0% 0% 0% 0% 0% 0% 0% 10% 10% 10% 20% 10% 10% 0% 10% 0% 0% 10% 0% 10% 0% January 5% 0% 0% 0% 0% 0% 0% 5% 15% 10% 15% 10% 10% 5% 10% 0% 0% 10% 0% 5% 0% Please see the Glossary on page 3 for definitions related to the exchange-traded constituent tickers. Please see Key Risks on page 3 for additional information. Source: J.P. Morgan. Hypothetical and Historical weightings: Represents the monthly allocations to each exchange-traded constituent in the Index based on the hypothetical allocations of the exchange-traded constituents from January 1, 2010 to December 31, 2012. The hypothetical monthly allocations are obtained from hypothetical back-testing of the algorithm used to construct the Index and should not be considered indicative of the actual weights that would be assigned to the applicable exchange-traded constituents during the term of your investment linked to the Index. J.P. Morgan provides no assurance or guarantee that the actual performance of the Index would result in the allocations among the exchange-traded constituents consistent with the hypothetical allocations displayed in the preceding charts. The hypothetical historical weights above have not been verified by an independent third party. The back-tested, hypothetical historical results above have inherent limitations. Alternative modeling techniques or assumptions would produce different hypothetical allocation information that might prove to be more appropriate and that might differ significantly from the hypothetical historical allocations set forth above. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical allocations contained in the table above. J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com September 2015

J. P. Morgan Efficiente Plus 5 Index (Net ER) Hypothetical Back-Tested Weightings J. P. Morgan Efficiente Plus 5 Index (Net ER) Weightings -- November 2007 to 2009 2009 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash December 0% 0% 0% 5% 0% 5% 0% 5% 20% 10% 5% 10% 10% 0% 10% 0% 0% 10% 0% 10% 0% November 0% 0% 0% 5% 0% 0% 0% 10% 20% 10% 5% 10% 10% 5% 10% 0% 0% 5% 0% 5% 5% October 0% 0% 0% 10% 0% 0% 0% 0% 20% 10% 5% 10% 10% 5% 10% 0% 0% 0% 0% 0% 20% September 0% 0% 0% 5% 0% 0% 5% 0% 0% 10% 0% 10% 10% 10% 0% 0% 0% 0% 0% 0% 50% August 0% 0% 0% 5% 5% 0% 0% 5% 0% 10% 5% 10% 10% 0% 10% 0% 0% 0% 0% 0% 40% July 0% 0% 0% 0% 5% 0% 0% 10% 0% 10% 0% 10% 10% 0% 10% 0% 0% 5% 0% 5% 35% June 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 5% 10% 10% 0% 10% 0% 5% 0% 0% 5% 45% May 0% 0% 0% 0% 0% 0% 10% 0% 15% 10% 0% 10% 10% 0% 10% 0% 0% 0% 0% 10% 25% April 0% 0% 0% 0% 0% 5% 20% 0% 0% 0% 0% 10% 5% 0% 0% 0% 0% 5% 0% 5% 50% March 0% 0% 0% 0% 0% 5% 20% 0% 0% 0% 0% 10% 5% 0% 5% 0% 0% 0% 0% 5% 50% February 0% 0% 0% 0% 0% 10% 15% 0% 0% 0% 0% 10% 5% 0% 0% 0% 0% 5% 0% 5% 50% January 5% 0% 0% 0% 0% 20% 5% 0% 0% 0% 0% 10% 5% 0% 0% 0% 0% 0% 0% 5% 50% 2008 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash December 0% 5% 0% 0% 0% 20% 10% 0% 0% 0% 0% 10% 0% 0% 5% 0% 0% 0% 0% 5% 45% November 0% 0% 0% 0% 0% 20% 5% 0% 0% 0% 0% 10% 10% 0% 0% 0% 0% 0% 0% 5% 50% October 0% 0% 0% 0% 0% 20% 10% 0% 0% 0% 0% 5% 10% 0% 0% 0% 0% 0% 0% 10% 45% September 0% 10% 0% 0% 0% 20% 0% 0% 0% 0% 0% 0% 10% 0% 0% 10% 0% 0% 0% 0% 50% August 0% 5% 0% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 0% 0% 10% 0% 0% 10% 5% 50% July 0% 0% 0% 0% 0% 0% 10% 10% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 10% 10% 50% June 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 15% 0% 0% 5% 0% 0% 0% 0% 10% 10% 50% May 0% 0% 0% 0% 0% 10% 20% 10% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 10% 10% 30% April 0% 0% 0% 0% 0% 5% 20% 10% 0% 5% 0% 0% 0% 0% 5% 0% 0% 0% 10% 10% 35% March 0% 0% 0% 0% 5% 10% 20% 10% 0% 5% 0% 0% 0% 0% 10% 0% 0% 0% 10% 10% 20% February 0% 0% 0% 0% 0% 15% 20% 10% 0% 5% 0% 0% 0% 0% 10% 0% 0% 0% 10% 10% 20% January 0% 0% 0% 0% 5% 20% 20% 10% 0% 0% 0% 0% 0% 0% 10% 0% 0% 0% 10% 10% 15% 2007 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash December 0% 0% 0% 0% 10% 20% 20% 10% 0% 0% 0% 0% 0% 0% 5% 0% 0% 0% 5% 10% 20% November 0% 0% 0% 0% 15% 10% 20% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 0% 35% Please see the Glossary on page 3 for definitions related to the exchange-traded constituent tickers. Please see Key Risks on page 3 for additional information. Source: J.P. Morgan. Hypothetical and Historical weightings: Represents the monthly allocations to each exchange-traded constituent in the Index based on the hypothetical allocations of the exchange-traded constituents from November 1, 2007 to December 31, 2009. The hypothetical monthly allocations are obtained from hypothetical back-testing of the algorithm used to construct the Index and should not be considered indicative of the actual weights that would be assigned to the applicable exchange-traded constituents during the term of your investment linked to the Index. J.P. Morgan provides no assurance or guarantee that the actual performance of the Index would result in the allocations among the exchange-traded constituents consistent with the hypothetical allocations displayed in the preceding charts. The hypothetical historical weights above have not been verified by an independent third party. The back-tested, hypothetical historical results above have inherent limitations. Alternative modeling techniques or assumptions would produce different hypothetical allocation information that might prove to be more appropriate and that might differ significantly from the hypothetical historical allocations set forth above. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical allocations contained in the table above. J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com September 2015