Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated April 4, 2014
 


SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index

SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index

April 3, 2014

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SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index

SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index

Excess Return Index(the "Index") Performance -- Bloomberg SPXD8UE Index
        2004     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index 1.00%  2.69%  -1.56% -0.17% 1.14%  1.01%  -2.33% 0.76%  0.49%  1.32%  2.35%  2.62%      9.58%
        2005     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index -1.27% 1.08%  -0.54% -1.83% 1.12%  -1.12% 2.61%  -1.97% -0.83% 0.02%  1.72%  -0.05%    -1.18%
        2006     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index 1.15%  1.35%  0.66%  1.88%  -1.96% 0.19%  -0.05% 1.18%  1.37%  2.43%  -0.24% 1.15%      9.42%
        2007     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index 1.51%  -1.48% -0.13% 2.29%  2.05%  -2.27% -2.92% 0.77%  0.36%  -0.66% -1.45% -1.29%    -3.32%
        2008     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index -1.25% -1.47% 0.18%  1.12%  0.12%  -4.59% 1.19%  0.87%  0.05%  -2.03% -0.37% 0.09%     -6.06%
        2009     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index -1.91% -2.11% 1.92%  2.17%  0.71%  -0.22% 2.76%  1.27%  1.58%  -0.56% 2.26%  0.42%      8.48%
        2010     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index -0.74% 1.40%  3.15%  1.57%  -3.31% -1.80% 2.95%  -1.16% 4.06%  0.85%  -0.25% 3.36%     10.23%
        2011     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index -0.31% 2.95%  0.25%  2.53%  0.23%  -1.22% -2.36% -3.74% -1.46% 2.46%  0.81%  0.56%      0.47%
        2012     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index 0.99%  1.02%  1.80%  0.37%  -2.47% 1.71%  1.03%  0.78%  1.82%  -0.30% 1.14%  -0.07%     8.02%
        2013     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec      Full Year
  SPXD8UE Index 3.68%  1.99%  3.40%  1.22%  0.36%  -0.63% 3.22%  -2.92% 2.70%  3.40%  1.32%  1.60%     20.89%
        2014     Jan    Feb    Mar    Apr    May    Jun     Jul   Aug    Sep    Oct    Nov    Dec        YTD
  SPXD8UE Index -3.56% 2.49%  0.77%                                                                    -0.40%

Please see key risks on the next page for additional information. Source: J.P.
Morgan. Past hypothetical performance results are neither indicative of nor a
guarantee of future returns. Actual results will vary, potentially materially,
from the hypothetical historical performance provided herein. There is no
assurance the Index will outperform the SandP 500[R] Index, the SandP 500[R]
Dividend Aristocrats Total Return Index, or any other alternative investment
strategy.

Hypothetical, historical performance measures: Represents the performance of the
Index based on, as applicable to the relevant measurement period, the
hypothetical backtested daily Index closing levels from December 31, 2003
through August 24, 2010, and the actual historical performance of the Index
based on the daily Index closing level from August 25, 2010 through March 31,
2014, as well as the performance of the SandP 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
SandP 500[R] Total Return Index, the SandP 500[R] Dividend Aristocrats Total
Return Index or any alternative investment strategy. Sources: Bloomberg and
JPMorgan. 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 set forth above.
Hypothetical back-tested results are neither an indicator nor a guarantee of
future returns. 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 above.




 
 
 

 
 
 


SandP 500[R] Dividend Aristocrats Risk Control 8% Excess Return Index

Key Risks

[]   The Index may not be successful, may not outperform the SandP 500[R]
     Dividend Aristocrats Total Return Index and may not achieve its target
     volatility of 8%. No assurance can be given that the volatility strategy
     will be successful.

[]   J.P. Morgan Securities LLC ("JPMS"), one of our affiliates, worked with
     SandP 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 Index is not a total return index, and is subject to short-term money
     market fund borrowing costs-- As an "excess return" index, the SandP 500[R]
     Dividend Aristocrats Risk Control 8% Excess Return Index calculates the
     return on a leveraged or deleveraged investment in the SandP 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 SandP 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 SandP 500[R] Dividend Aristocrats Total Return
     Index.

[]   The Index represents portfolios consisting of the SandP 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 SandP 500[R] Dividend Aristocrats Total Return Index based
     on the SandP 500[R] Dividend Aristocrats Total Return Index's historic
     volatility. The Index's' exposure to the SandP 500[R] Dividend Aristocrats
     Total Return Index will decrease when historical volatility causes the risk
     level of the SandP 500[R] Dividend Aristocrats Total Return Index to reach
     a high threshold. If, at any time, the Index exhibits low exposure to the
     SandP 500[R] Dividend Aristocrats Total Return Index and the SandP 500[R]
     Dividend Aristocrats Total Return Index subsequently appreciates
     significantly, the Index will not participate fully in this appreciation.

[]   The Index began publishing on August 25, 2010 and, therefore, has a limited
     history.

Index Disclaimers

[]   "Standard and Poor's[R]," "SandP[R]," "SandP 500[R]," "SandP 500[R]
     Dividend Aristocrats," and "SandP 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 SandP, and
     SandP makes no representation regarding the advisability of purchasing
     securities generally or financial instruments issued by JPMorgan Chase and
     Co. SandP has no obligation or liability in connection with the
     administration, marketing, or trading of products linked to the SandP
     500[R] Dividend Aristocrats Risk Control 8% Excess Return Index.

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 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, underlying supplement and term sheet 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. 333-177923